How to Build an Exchange (2017)

> This is not the year when you're going to increase your salary by jumping to a cool startup as employee #3.

Agreed, you won't get a big salary out of the gate because unproven startups paying huge salaries are dropping like flies as the easy capital dries up. On the other hand, the likelihood of getting in on the ground floor of the next FAANG is increasing as staffing costs decrease and behavioral changes increase during a recession. EV obviously still higher at established top-of-market companies, but when has that ever not been the case?

I'm quite salty about HFTs. I'm a final-year undergraduate with a bunch of close friends who all love C++ (yes, we're masochistic that way). They're all really smart, too (me, not so much—my GPA is 3.00/5). However, after a while, it got really dull and frankly, a bit exasperating when all the rest of them could discuss were HFTs, their ridiculous, outrageous salaries, matching engines, order books, and low-latency trading. Heck, one of our assignments last year was to write such an engine in C++. It seems C++ developers are particularly in demand at most HFTs.

Some of these companies I have never even heard of before having entered CS—Jane Street, Citadel, HRT, DRW, Ansatz, Two Sigma... Their names and websites are cryptic, and their job position listings are even more so, unless one knows that they're mostly proprietary traders—in other words, making money for money's own sake.

It feels dirty and excessively capitalist—these companies don't even have products to show for all their effort. Any clients they do have probably already make millions to billions, too.

My friends defend themselves by saying 'HFTs make money by keeping the market liquid', 'there's nothing wrong with arbitrage', etc. That's fair, but I still feel that's just sugar-coating what I said.

At the same time, I don't really say anything in person to my friends, because, well, they're friends, and secondly, my lousy grades make me feel thoroughly unqualified to make any sort of criticism.

I personally would rather do embedded, automotive, avionics, or game engine development. I just wish I had someone to discuss this with. Hardly anyone I know wants to do these instead, because the salary is lousy to above average, the hours are as bad, and especially game development is considered a mostly rubbish job to have. It really sucks, because I've gamed all my life and always found video games pretty damn amazing, both technically and just in general. It was a pretty bad bubble-bursting moment when I discovered just how bad the game dev situation was—overwork, crunch, sexual abuse and sexism, bean-counter-led design and marketing decisions.

I'm not looking for 100% job satisfaction (I accept even the most exciting work will have its dull periods), but it would be nice if the thing I spent 8-10 hours a day doing for a salary was something that remotely excited me and others, instead of just mindlessly piping money from X to Y and back just because it paid half a million a year.

Jane Street is responsible for the Signals and Threads podcast[1], which I always enjoy. They also contribute a lot to the OCaml language, standard libraries, and do a great job of explaining why OCaml is a great language and paradigm. I've learned a lot because of Jane Street's sharings.

I have no connection or interest in Jane Street but this sure gives me a positive impression of the company.

[1] https://signalsandthreads.com/

If you want a good salary with impact and embedded/high performance C++ look into the self driving field. Check companies like “Cruise” and “Waymo” and see levels.fyi. It’s not all sunshine and rainbows, but it is making the future vs simply manipulating the finical system.

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 have much of an ecosystem anyways. Nowadays ecosystems are a lot more developed. But on the flip side, that could mean you could stand to use a language like Rust that has an ecosystem and interoperability with C++. I know Tsuru Capital uses Rust but I'm not familiar with any other firms.

It also could be that Jane Street succeeded regardless or even despite OCaml. At the end of the day OCaml isn't going to ensure that your trading strategies work. It's not going to suddenly create alpha. But I do suspect they've gotten serious hiring and marketing returns by using OCaml. And benefited the OCaml ecosystem as a byproduct, which is a pretty solid side-effect, even if side effects are not very functional :D