I am an HFT Programmer • Hacker News Board

Re: I am an HFT Programmer

#191

Post by philwelch » Mon, Aug 01, 2011, 1:59 AM UTC

colanderman wrote: post #185

cletus wrote: post #39

I worked for a time in finance and investment banking. Problem-wise it can be pretty interesting but it's important to distinguish between two classes of developers. 1. Traders; and 2. Non-traders. Engineers who are traders are typically called "quants" (quantitative traders) as they write software that employs trading strategies to make money, as one or more of spread trading (trading between the bid-ask spread), pr…

> You want to buy a house? Well the only reason you can get a loan is that investor (and/or depositor) funds are matched to you. Is there any reason why this should be enabled, and profited from, by a select few commercial IBs who are "in the know", as opposed to a government entity which reinvests the profits into, say, a low-income housing fund or social security?

You could say the same about nearly every business enterprise, but the history of nationalized industry provides all the answers you need.

Re: I am an HFT Programmer

#192

Post by sliverstorm » Mon, Aug 01, 2011, 2:07 AM UTC

Would it be foolish to try to play with HFT (or perhaps "medium" frequency or something) as a private entity? Or is this something essentially only available to Wall Street?

Not looking for money, it just seems like it'd be interesting to explore.

Re: I am an HFT Programmer

#193

Post by avstraliitski » Mon, Aug 01, 2011, 2:56 AM UTC

AdamTReineke wrote: post #134

jrockway wrote: post #117

Earlier quoted context omitted.

So true. Finance attracts the most incompetent egomaniacs possible. I love getting lectures about how to design software from someone who has written: if x == 0: return "Monday"; elif x == 1: return "Tuesday"; ... This should be a criminal offense.

Honest question. What is wrong with something like that? I could see it justified by saving the overhead of a complex Date class.

1. Internationali[sz]ation. Never hardcode strings in code that is part of a real system that will be maintained and has any chance at all of moving forward. In the US, Spanish support is the obvious one. Globally, good programmers should get in the habit of always coding in a way that adequately supports Chinese, Arabic (right to left), etc. If you don't know how to do this, figure it out now and charge extra at your next gig: it's in demand, trust me.

2. Cherry-picked example factor. Hardcoding date strings is doubly bad, as they are usually provided by any modern system. Good libraries will also provide abbreviations (Monday = Mon = M), different calendar systems, etc. this problem is nearly as old as computing and elegantly solved many times over. Anyone who does not realise this is simply not experienced. Any team that allows such code past reviews and/or group reading is incompetent.

Re: I am an HFT Programmer

#194

Post by tlrobinson » Mon, Aug 01, 2011, 2:56 AM UTC

skybrian wrote: post #138

cletus wrote: post #39

I worked for a time in finance and investment banking. Problem-wise it can be pretty interesting but it's important to distinguish between two classes of developers. 1. Traders; and 2. Non-traders. Engineers who are traders are typically called "quants" (quantitative traders) as they write software that employs trading strategies to make money, as one or more of spread trading (trading between the bid-ask spread), pr…

I've never bought the liquidity argument. Ordinary investors don't need to buy and sell at any time. They'd be happy buying and selling once a day (as with mutual funds). What if the market consisted of a deep daily or hourly auction with lots of buyers and sellers matched up to discover a fair price? How is the current system better than that?

Your system might be more fair, but not one would use it. Traders want an exchange where they can buy/sell as soon as they receive new information, not in the future when everyone else has same information.

Re: I am an HFT Programmer

#195

Post by avstraliitski » Mon, Aug 01, 2011, 2:59 AM UTC

dkersten wrote: post #142

sleight42 wrote: post #53

Earlier quoted context omitted.

Spot on! I was on the verge of writing almost the same reply only to find yours. Let's crunch the numbers: 52 weeks/year - 4 weeks for vacation = 48 weeks $500,000 / 48 weeks = $10,417 / week $10,417 / 1 week * 1 week/ 100 hours = $104.17/hr As a freelance developer, in the US, and particularly in this startup economy (bubble?), it is entirely possible to earn 500k/year working 100 hours/week. Most modest freelancers…

I recently quoted $100/h for a side job I am doing for somebody. Though, we decided on a second option where I'm working for less, but get to GPL the deliverable code when I'm done.

Nice. I underquote for sea side jobs because I feel guilty about it, but you are raising my confidence :) Developing world living, first world salary, FTW.

Re: I am an HFT Programmer

#196

Post by nl » Mon, Aug 01, 2011, 3:32 AM UTC

rgrieselhuber wrote: post #57

cletus wrote: post #39

I worked for a time in finance and investment banking. Problem-wise it can be pretty interesting but it's important to distinguish between two classes of developers. 1. Traders; and 2. Non-traders. Engineers who are traders are typically called "quants" (quantitative traders) as they write software that employs trading strategies to make money, as one or more of spread trading (trading between the bid-ask spread), pr…

"The only way for an engineer to make real money is to be a quant, found a startup or join an early stage startup." This statement should be included in every CS curriculum.

"The only way for an engineer to make real money is to be a quant, found a startup or join an early stage startup." This statement should be included in every CS curriculum.

Except it isn't true (depending on your definition of "real money").

It's not especially hard to make high 6 figures (and even low 7 figures) as a consultant, if you specialize and sell yourself well.

This may be low by the standards of the $20M year Quant, but the risks are much lower too.

Most engineers who join an early stage startup won't make "real money" by those standards, either. Sure, some will make $20M when the company is sold, a few will make a lot more, and a larger number will make a substantial (5 figure) bonus when the company is sold, but many will get nothing.

Advice like this needs to be tailored to the individual. Deep algorithm expert with limited social skills? Then either quant or work for a startup. A mediocre programmer with some good ideas and good sales ability? Do a startup. Good technical ability and know how to talk to business users in their language? Consulting... etc etc...

Re: I am an HFT Programmer

#197

Post by yummyfajitas » Mon, Aug 01, 2011, 3:43 AM UTC

pak wrote: post #190

yummyfajitas wrote: post #184

Earlier quoted context omitted.

When 2/3 of your packets are travelling from one server to another inside the data center, you're not "providing information to consumers" in a way that's meaningful or useful to anyone. See the fallacy here? Also, HFT's are present only in very small numbers (relative to the size of the financial industry in general).

If those extra packets could suddenly and uncontrollably leak out on the Internet and destroy everything, requiring a trillion dollar government bailout to fix it and ten years to restore confidence in the infrastructure, yes I would be pissed and doubly so that this inadequate analogy was used to defend it.

When did HFT "destroy everything, requiring a trillion dollar government bailout" to fix?

Re: I am an HFT Programmer

#198

Post by tmsh » Mon, Aug 01, 2011, 3:47 AM UTC

pbz wrote: post #180

tmsh wrote: post #124

Earlier quoted context omitted.

Had an uncle in the industry (with wall street experience who was (re)starting an algorithmic shop for the first time in the late 90s). Sometimes I think I would've saved more time if I had stayed in the Bay Area and not gone into HFT (in Chicago), but I definitely appreciate the rigorousness of some of the mentors I had there. I didn't go right into writing backend matching engines for HFT though. Took time. Maybe n…

What kind of tools did you use? Was it all custom or some kind of system you tied in?

Pretty much all custom. On the trading client side, a lot of firms used to tie into TT (Trading Technologies), etc. Then usually they rewrite with their own order gateways / price servers, and if they have enough resources, develop their own trading clients, etc.

I've been at firms that are all Java and use command-line terminals for most of the trading feedback (while having other clients to view the market depth). I've been at firms that are all C++ and C, and have their own trading GUIs.

Generally speaking though performance is key and at some point one ends up just rewriting things in-house (and tying into the exchanges or markets directly).

But there are a lot of different types of trades, etc. A lot of different ways to go, some of which (as zedshaw was mentioning) might involve Visual Basic.

But yeah, most of my experience was with C + a very limited subset of C++ on Linux. I still probably can't say too much more than that (though it's been two-three years, etc., since I was active with it).

I can probably say though that the fun for me was rewriting the backend services and trying to make them as fast (and as stable and redundant) as possible. A lot of it is translation of different market sources, etc. I experimented with a lot of languages at the time (Haskell, OCAML, etc., a la Jane Street), but at the end of the day did most of our stuff in C on Linux (i.e., with vim and makefiles).

If I'd make one bit more of advice (and I advised/mentored maybe two or three younger developers while in Chicago -- so I'm no expert) -- but it would be that if you have the interest, a lot of this stuff gets really easy with time. I suppose that's like most fields. But yeah, the productivity I had when I started, and when I left, was very, very different. And part of that had to do with writing everything 'bespoke' / custom, when there was time. Anyway, I go on...

Re: I am an HFT Programmer

#199

Post by tmsh » Mon, Aug 01, 2011, 3:52 AM UTC

ad wrote: post #183

tmsh wrote: post #76

I used to work in HFT. From about 1999 (right out of high school) until 2008. In response to the OP, zedshaw and a couple of others (who make good points), I'd say: * obviously if you're good at your job in HFT after a while you don't have to work 100 hour weeks. People wait for you. There are levels of support. You still get woken up once in a while, but not if the firm is well structured and the support training /…

I'm sorry if you answered this elsewhere, but why did you stop working in HFT?

Combination of things. I'm originally from the Bay Area (Berkeley), so I always wanted to get back (I think I could've gotten into the Chicago winters if I'd picked up following hockey more, but was sort of too late by the time I realized this). The other thing is that pure technology companies really are a bit more exciting in some ways than financial firms, even if they make technology and algorithmic approaches to problem solving their primary focus. Long-term, the Bay Area seemed to make more sense. I sort of believe in the startup mentality more than the Chicago-, zero-sum trading world mentality (though as sort of hinting at, sometimes I miss a little bit of the rigorousness). But it's hard to generalize. Good people in both places.

Re: I am an HFT Programmer

#200

Post by mahyarm » Mon, Aug 01, 2011, 4:13 AM UTC

cletus wrote: post #95

rgrieselhuber wrote: post #73

Earlier quoted context omitted.

Agreed, however, the shelf life of a programmer is very short compared to other career paths. It all depends on your industry, of course, but once you hit 40-50, you're competing with younger developers who have more energy and require far less compensation. Hence the need to make "real money" before you hit the age ceiling.

I'm not sure I agree with that. And I say that as someone in my late 30s. Granted life is pretty good now if you're a recent graduate of a good school. You almost have your pick of jobs. But when was that not the case? It's true that you tend to have less commitments in your 20s. You should take advantage of that. Most people in their 20s still spend their money on crap however (cars, ski trips, eating/drinking out,…

You don't necessarily need vision or hands either, there are blind C programmers who can use foot based interfaces. (I heard this on slashdot years ago, so I don't have sources, but they supposedly exist!)