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How to Build an Exchange (2017)

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Re: How to Build an Exchange (2017)

#111

Post by woodruffw »

LAC-Tech wrote: post #80
codetrotter wrote: post #69

Earlier quoted context omitted.

> whether someone will succeed in using the same development strategy as Jane Street, namely using a non-C++ language as their primary language It’s gonna happen and it’s gonna be Rust > you could stand to use a language like Rust that has an ecosystem and interoperability with C++. Indeed :)

Maybe. Rust as a core language is less productive than ocaml, by a lot. But Rusts standard library is just so much better than Ocamls (including Jane Streets version) - which tends to even it out.

I think there’s probably a hidden coefficient here: I would readily believe that an experienced OCaml developer is more productive than an equivalently experienced Rust developer, but that a junior Rust developer is probably several times more productive than a similarly junior OCaml programmer.

(This is not unique to this pairing of languages.)

Re: How to Build an Exchange (2017)

#112

Post by KRAKRISMOTT »

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…

Base salary can be re-invested (granted, their hands are somewhat tied when it comes to personal fund management due to the nature of their job)

Re: How to Build an Exchange (2017)

#113

Post by mkl »

mhluongo wrote: post #100
signify1121 wrote: post #95

Earlier quoted context omitted.

I have worked for a big (probably more successful) competitor to Jane Street, that uses in its different offices C#, C++, possibly some Java that I'm unaware of, and for non-production systems a very large mix of everything under the sun (Python, R, etc.) The idea that the language is part of their success is simply absurd. If anything having to have to develop and maintain an entire ecosystem probably slowed them do…

It can sometimes help with hiring early on. Pg's "blob" blog post comes to mind.

Blub: http://www.paulgraham.com/avg.html

Re: How to Build an Exchange (2017)

#114

Post by willdearden »

log_n wrote: post #92
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.

A shell of Allston (formerly big Java shop) lasted until last year.

I was there until the end. It was definitely fading into obscurity but still had >50% of peak numbers. And we were switching to C++ in the last year or so.

Re: How to Build an Exchange (2017)

#115

Post by hansvm »

KRAKRISMOTT wrote: post #112
hansvm wrote: post #84

Earlier quoted context omitted.

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…

Base salary can be re-invested (granted, their hands are somewhat tied when it comes to personal fund management due to the nature of their job)

Whatever point you're making flew over my head. Would you mind elaborating?

Re: How to Build an Exchange (2017)

#116

Post by hansvm »

geph2021 wrote: post #101
hansvm wrote: post #84

Earlier quoted context omitted.

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.

GoKapital advertises up to $500k personal loans on an unsecured basis, with a higher chance of success if you're partially secured (admittedly, putting $50k down instead of investing it elsewhere is an additional cost to servicing the loan, but even 6-12 months into a tech career you should've had $50k saved up, so that shouldn't be a barrier to entry at least).

Also, ordinary banks might not advertise outrageous personal loans, but when your base salary starts at $300k and has a history of increasing (i.e., you don't _need_ the money and just want it to power a particular total comp over time profile, especially when you keep at least 50% of your total comp in cash rather than leveraged investments), most mainstream banks are more than happy to furnish somebody to personally service your account and make a loan like that happen.

Separately, if you live in parts of the country (US-specific) where salaries like that are common, you probably have a down payment of $200k+ if you have a mortgage and would have little problem grabbing a partially secured loan against your current equity.

Re: How to Build an Exchange (2017)

#118

Post by KMag »

boring_twenties wrote: post #87
caddemon wrote: post #68

Earlier quoted context omitted.

Jane Street definitely does not have a non-compete. Citadel does though. Deferred compensation is probably not relevant to any of the major quant firms, payment is almost entirely cash. If you're high enough up to start receiving stake in a prop firm directly as part of your bonus you are an order of magnitude above the TC cited by the original comment. Of course, the amount of comp you can get is a big reason people…

When I worked at a small prop shop, the cutoff was $400k TC, after which 50% would go into the fund for N years. Currently I work at a large bank. My comp is all cash, but many of my colleagues get deferred stock compensation. Not sure what exactly the limit is but it's definitely much less than, say, $1m.

I get the impression that in some jurisdictions, deferred equity compensation kicks in earlier than one would otherwise expect, in order to hit some employment law cut-outs for "highly compensated executives".

I worked over 10 years overseas at a Fortune 500 financial firm where my contract specified that my garden leave period jumped up if I ever accepted stock compensation. I got the feeling that was related to some legal requirements for shedding protections for "highly compensated executives". The garden leave worked out well, as I left right at the end of my paternity leave, so I effectively had almost half a year of paternity leave.

I didn't bother checking if I was getting the maximum legally allowed garden leave period in my jurisdiction, as the contract seemed fair. In any case, in some jurisdictions, I think some deferred equity compensation kicks in earlier than one might expect, in order to legally make more employees highly compensated executives.

I've always lived well within my means at my base salary, but even if I hadn't a good head hunter can often negotiate a signing bonus to partially backfill the lost expected TC , so you're effectively not really going down to your base salary during garden leave.

Re: How to Build an Exchange (2017)

#119

Post by Pepe1vo »

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.

That's not true, I've worked at IMC and they extensively use Java for their production systems. The performance critical parts are a mix of hand crafted assembly, C, C++, FPGAs and a dozen other esoteric languages/techniques no ones ever heard of.

Re: How to Build an Exchange (2017)

#120

Post by iav »

nullhash wrote: post #117

How exactly would would this design keep track of how many funds a client has in order to fulfill an order? How does NASDAQ keep track of client's total funds?

They don't. Remember that NASDAQ's clients are Jane Street, Goldman Sachs, i.e. not you or me. They don't onboard a client with doing due diligence. Then there is a clearing and settlement system called DTCC that requires every firm to post collateral equal to their trading volume. This system's primary job is to make sure everyone has enough funds to pay for their trades across all exchanges, not just NASDAQ.
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