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I am an HFT Programmer

developers.slashdot.org

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Re: I am an HFT Programmer

#231

Post by artsrc »

tlrobinson wrote: post #194
skybrian wrote: post #138

Earlier quoted context omitted.

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.

> Traders want ...

Settlement on share trades is not real time, and no one cares from a liquidity perspective. Settlement risk is a different question.

Who is convinced that these traders actually need to exist?

The share market's function in the broader world is to link long term investors with those who need long term capital for investment in the productive economy. Trading beyond monthly seems superfluous to me.

Re: I am an HFT Programmer

#232

Post by thisuser »

bignoggins wrote: post #130

This is slightly OT, but can anyone recommend a good book for understanding the modern finance industry (IB, quant, trading) and its impact on the economy? Finance in general is just a giant black box to me.

Capital Vol. 1 by Marx is classic and still more applicable than anyone wants to admit. Ease into the terminology over the first few chapters, things are defined carefully.

Re: I am an HFT Programmer

#233

Post by smcl »

bwanaaaa wrote: post #225

So many intelligent replies here. And to think some of the best coders do not live in the US - think of Skype (Estonia), Tim-Berners Lee, Linus Torvalds, etc... Their contributions tower above anything done by any one person on Wall Street. Yet Wall Street has only contributed to the common good by paying taxes. Even then they seek to game the system and have also managed to get the government to give them more than…

Linus lives in the US

Re: I am an HFT Programmer

#234

Post by Goladus »

hugh3 wrote: post #14

How to get a really good salary: 1. Be really smart 2. Be willing to do something that's deadly boring to most smart people Me? I'm a scientist. I'm not gonna write your goddamn binary tree pricing algorithm or remove your varicose veins or argue about some dull point of legal text in court. But I'm sure I'd be a lot richer if I did. (In other news, man, those grapes sure look sour, I'm glad I can't reach 'em.)

> 2. Be willing to do something that's deadly boring to most smart people

... And work really hard at it.

Re: I am an HFT Programmer

#235

Post by nanijoe »

Tharkun wrote: post #111
MarkPNeyer wrote: post #2

they get paid well, but they're also doing work of dubious value. i left trading because i wanted to do something that i knew would make a positive impact on the world.

The "dubious value" argument is a bit crap. I work in porn for one of my clients. That's of pretty dubious value as well. Is it of less dubious value to work in a hospital? What about a car manufacterer? Or the tobacco industry? The only relevant values are 1) what the industry is willing to pay you and 2) whether you enjoy it. Anything else is just bullshit. If you won't enjoy a job in HFT because you think it's of…

Many (including me ) would argue that the value in porn is more apparent than that in HFT.

Re: I am an HFT Programmer

#236

Post by pdovy »

Argh, guys like this give the rest of us a bad name. It's ridiculous to claim that we're somehow universally better than developers at Google or anywhere else.

One of the big arguments in that Slashdot thread seems to be backlash over developers bragging about how they change software that handles millions of dollars in the middle of the day without any testing. Let me tell you, any HFT firm worth it's salt is very conscious about risk controls. I mean honestly, what kind of business are you running if you're routinely exposing yourself to potentially massive losses because of one developers error? Not one that would be around very long.

I can only speak to where I work, but we are not coding by the seat of our pants. Yes, traders do make intraday changes to their strategies, but they can do that because their software is backstopped by a tiered risk infrastructure that limits the damage their software can do.

Re: I am an HFT Programmer

#238

Post by pak »

yummyfajitas wrote: post #213
pak wrote: post #205

Earlier quoted context omitted.

Oh, just because it hasn't happened yet, we should pretend it isn't possible? You remember the flash crash. That took out the market for a day. People waved their hands and said it was an innocent mistake. Nothing changed. When scads of people were writing CDO's and swaps and other clearly garbage papers in 2007, they probably used your logic to justify their recklessness, and here we are.

Oh, just because it hasn't happened yet, we should pretend it isn't possible? You remember the flash crash. You mean the minor event precipitated by a fat fingered human and corrected in an hour or so by HFTs? If you have a plausible disaster scenario involving HFT's, state it. So far, near as I can tell, your argument is merely "omfg finance stuff I don't understand it might destroy the world!"

The flash crash was not precipitated by a "fat finger" event but rather an intentional, albeit aggressive, move by one mutual fund, and according to regulators it was exacerbated by HFT's, not "corrected" [1][2][3][4]. Do your research--like so many you probably believed the BS that was handed out to pacify everybody when it was big news, and missed the SEC/CFTC report that came out later. More recent mini-crashes have occurred in commodities markets [5], again driven by HFT.

What is my disaster scenario? Do I really need to explain why extreme volatility can vaporize investor confidence in a market? If an event like this was caused by one market action, you can even imagine malevolent investors trying to intentionally trigger a crash or a mini-crash (holding a short position on the side so that they profit). If enough people are able to do this with regularity, the market turns into /b/ and becomes worthless for traditional users. I won't pretend to have enough imagination to see all the ways this could go wrong; we can leave it up to Wall Street to make it a reality. It would seem like common sense, however, that if neither investors nor regulators have a firm grip on the steering wheel (and maybe that's the best way for the economy to run, who am I to say?), we would be better off not putting the market in cruise control at 600mph without carefully considering all the ramifications.

[1] http://online.wsj.com/article/SB1000142405274870402930457552...

[2] http://www.bloomberg.com/news/2010-10-01/automatic-trade-of-...

[3] http://www.nytimes.com/2010/10/02/business/02flash.html?_r=1...

[4] http://www.reuters.com/article/2010/10/01/financial-regulati...

[5] http://online.wsj.com/article/SB1000142405274870432280457630...

Re: I am an HFT Programmer

#239

Post by SynonymousCowrd »

lolcraft wrote: post #224
frou_dh wrote: post #61

Earlier quoted context omitted.

The savings account that still exists after you quit.

Time can be exchanged for money. Money can't be exchanged for time.

Keep repeating cliches without thinking about them. Especially ones so obviously false. Let's consider two hypothetical options:

1) A steady, decent income job. Let's say you're making $120k/yr. After taxes, that's about $7.5k/month. If your expenses are $3k/month, you can save or splurge to the tune of $54k/year. Not bad!

2) A higher paying job, say $500k/yr. After taxes, that's $25k a month. Let's say that you need to spend $4k a month instead of $3 to deal with the extra stress. Now you're saving $252k/year.

At the end of five years of option 1, you've got over $250k in savings. You can probably buy a pretty nice place to live in your chosen location, but you have exactly one option going forward: keep working for the rest of your life.

At the end of five years of option 2, you have over $1.25 MILLION. This amount of money makes available to you the option of never working again in your life, if you so choose. You just bought an astronomical amount of time -- the rest of your life -- to do with as you please. Not only does this destroy your notion that money can't be exchanged for time, I think the exchange has been shown to be a pretty fucking good deal, to boot.

Re: I am an HFT Programmer

#240

Post by MrMan »

serge2k wrote: post #141
AdamTReineke wrote: post #134

Earlier quoted context omitted.

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

If you are going this route why not use a switch? Or just an array.

python have no switch
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