How to Build an Exchange (2017) • Hacker News Board

Re: How to Build an Exchange (2017)

#101

Post by geph2021 » Sat, Jan 07, 2023, 12:29 AM UTC

hansvm wrote: post #84

dasil003 wrote: post #43

Earlier quoted context omitted.

Not many at Google receive that much in their offer letter, but with the stock appreciation over the last decade and stacked refresher grants, I'd be willing to wager there were thousands making >$1M as of Nov 2021 (many fewer since the stock has fallen though).

If Google is offering an initial total cash equivalents of $300k (say $140k salary, $480k/4 stock, 15% annual bonus on each), that's roughly the same deal as somebody else getting a base salary of $300k. The fact that a particular investment decision (GOOG) can accidentally push the individual's yearly increase in net worth past $1M isn't a good way to judge what Google is actually offering: Anyone with a base salary…

   Anyone with a base salary of $300k can obtain a similar payoff structure by taking out a $550k loan to invest in GOOG

I'm curious how someone could obtain such a large, unsecured loan of $550k? Even secured against a home with a mortgage cash-out Refi, that's a large sum. You'd have to have built up a lot of equity in your home value.

Re: How to Build an Exchange (2017)

#102

Post by gjvc » Sat, Jan 07, 2023, 12:30 AM UTC

bcjordan wrote: post #6

@dang could we get a (2017) added to this? Changes the context quite a bit given FTX folks worked at Jane Street previously and a modern version of this talk would have a much different context.

> a modern version of this talk would have a much different context

How?

Re: How to Build an Exchange (2017)

#103

Post by moralestapia » Sat, Jan 07, 2023, 12:30 AM UTC

paxys wrote: post #11

Zaheer wrote: post #7

Fun fact: Jane Street, Citadel and other HFT firms pay exorbitantly. You can see the base salary ($200-300k) posted public here: https://www.janestreet.com/join-jane-street/position/4274288... Even interns make $120/hr: https://www.levels.fyi/internships/

They do pay extremely well, but are also very selective. The kind of talent they are looking for can earn similar salaries at large tech companies like Google ($400K-500K TC is pretty common at staff+ levels).

>but are also very selective

Yes, we've heard that yadda yadda, Caroline Ellison, SBF, etc...

Re: How to Build an Exchange (2017)

#104

Post by gjvc » Sat, Jan 07, 2023, 12:31 AM UTC

bcjordan wrote: post #6

@dang could we get a (2017) added to this? Changes the context quite a bit given FTX folks worked at Jane Street previously and a modern version of this talk would have a much different context.

> a modern version of this talk would have a much different context

Everything would be in a different context, yes. But how would the content be different?

Re: How to Build an Exchange (2017)

#105

Post by edf13 » Sat, Jan 07, 2023, 12:47 AM UTC

pclmulqdq wrote: post #85

hardwaregeek wrote: post #59

I've always been curious whether someone will succeed in using the same development strategy as Jane Street, namely using a non-C++ language as their primary language. I suspect OCaml may have been a very good choice back in the early 2000's simply because C++ was a much different language and there weren't many options for other languages. Building up an ecosystem was not a bad plan because most languages did not ha…

There is a little bit of survivorship bias here: in the 2000's, the two main languages of HFT were C++ and Java. By 2015, all the Java shops (and many of the C++ shops too) had failed. Lots of companies tried to do something other than C++, but most of them chose wrong.

They didn’t fail due to their language choice

Re: How to Build an Exchange (2017)

#106

Post by mr90210 » Sat, Jan 07, 2023, 1:07 AM UTC

edf13 wrote: post #105

pclmulqdq wrote: post #85

Earlier quoted context omitted.

There is a little bit of survivorship bias here: in the 2000's, the two main languages of HFT were C++ and Java. By 2015, all the Java shops (and many of the C++ shops too) had failed. Lots of companies tried to do something other than C++, but most of them chose wrong.

They didn’t fail due to their language choice

The author never said they failed because of language choice.

> By 2015, all the Java shops (and many of the C++ shops too) had failed. Lots of companies tried to do something other than C++, but most of them chose wrong.

Re: How to Build an Exchange (2017)

#107

Post by wruza » Sat, Jan 07, 2023, 1:13 AM UTC

dcolkitt wrote: post #8

NkVczPkybiXICG wrote: post #3

Earlier quoted context omitted.

FTX didn’t make any of the architectural decisions presented in this talk.

Yeah, as an exchange FTX was pretty terrible. The matching engine was notorious for being high latency, unreliable, and having all sorts of undocumented issues. Every algo trader there will tell you horror stories about trying to cancel an open order, getting a cancel confirmation, then getting notified that the order was executed. Sometimes seconds later. What really gave FTX a competitive advantage was its cross-ma…

horror stories about trying to cancel an open order, getting a cancel confirmation, then getting notified that the order was executed

Sounds like tuesday to me. One thing you learn about exchanges (I mean all of them as a software category) is that you can’t trust: documentation, reasonable expectations, the experience you’ve got last week, the idea that all symbols behave similarly, reproducibility on test servers and vice versa, to name a few. Don’t rely on these and you’ll be relatively safe.

But really, expecting a deterministic confirmation is a rookie mistake. Exchanges feel very asynchronous after a short while and the intuition should tell you that that a confirmation is just “ok, I hear ya”, not “effective immediately we’ll suspend our queues and reschedule trades to fulfill your urgent request”. The temporal uncertainty of order status is a quite common phenomenon, ime.

Re: How to Build an Exchange (2017)

#108

Post by vgatherps » Sat, Jan 07, 2023, 2:09 AM UTC

wruza wrote: post #107

dcolkitt wrote: post #8

Earlier quoted context omitted.

Yeah, as an exchange FTX was pretty terrible. The matching engine was notorious for being high latency, unreliable, and having all sorts of undocumented issues. Every algo trader there will tell you horror stories about trying to cancel an open order, getting a cancel confirmation, then getting notified that the order was executed. Sometimes seconds later. What really gave FTX a competitive advantage was its cross-ma…

horror stories about trying to cancel an open order, getting a cancel confirmation, then getting notified that the order was executed Sounds like tuesday to me. One thing you learn about exchanges (I mean all of them as a software category) is that you can’t trust: documentation, reasonable expectations, the experience you’ve got last week, the idea that all symbols behave similarly, reproducibility on test servers a…

FTX wouldn’t just ack your cancel request and then give you a fill - you would get cancel successful messages, order status updates that cancelled your order with no filled quantity, and then ten seconds later get a fill for that order.

Occasionally sending out zero balances was another FTX special.

Re: How to Build an Exchange (2017)

#109

Post by pclmulqdq » Sat, Jan 07, 2023, 2:12 AM UTC

edf13 wrote: post #105

pclmulqdq wrote: post #85

Earlier quoted context omitted.

There is a little bit of survivorship bias here: in the 2000's, the two main languages of HFT were C++ and Java. By 2015, all the Java shops (and many of the C++ shops too) had failed. Lots of companies tried to do something other than C++, but most of them chose wrong.

They didn’t fail due to their language choice

It's hard to imagine that language choice wasn't a factor - or at least that the philosophical ideals that led to the language choice weren't a factor.

Re: How to Build an Exchange (2017)

#110

Post by mianos » Sat, Jan 07, 2023, 2:27 AM UTC

paulpauper wrote: post #56

In 2017 we extended our trading experience, infrastructure, and technology to digital assets, and we’re now trading crypto 24/7 around the world. We price all the most actively traded spot tokens such as Bitcoin and Ethereum in addition to derivatives like futures and ETPs, and we trade on almost all major global market centers, including crypto exchanges and traditional venues. We’re also a major OTC crypto liquidit…

Most other markets actually have periods when they don't have a matching engine running because the instrument or settlement is country specific. Crypto has 24 hour liquidity. There are periods that are quieter but it is 24/7 unlike, for example, a typical equities exchange.

(How I know, 25 years writing exchanges).