Anyone know of any open-source exchanges at the level of sophistication described here?
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How to Build an Exchange (2017)
61–70 of 129 posts
Re: How to Build an Exchange (2017)
#62Fun 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/
I’m more surprised people don’t know this. It’s the primary cause for my depression.
Re: How to Build an Exchange (2017)
#63Earlier quoted context omitted.
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 t…
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.
Thanks for the recommendations. I've applied to more traditional auto firms (BMW, VW, Mercedes, Volvo), and hadn't really considered the newer ones. Cruise looks particularly interesting.
Re: How to Build an Exchange (2017)
#64Earlier quoted context omitted.
The main advantage of FTX's exchange was that it was far better than Binance's but that's barely saying anything. I'm not sure why crypto exchanges have such lousy technology. Lost acks, weird parser errors, missing order id fields, sessions giving no indication that the matching engine is down, etc. It seems like any conceivable way an exchange can break will be encountered after only a couple months of trading. It'…
Because it was all a scam and didn't need to polish details ?
One of the stranger things coming out of the collapse of FTX is that it wasn't _all_ a scam; if SBF and co they had simply let FTX function without giving special privileges to Alameda, it would have been a pretty non-scammy crypto exchange (overinflated in value, sure, but not fundamentally scamming its customers) and they all could have made great deals of money on that alone. But of course, that isn't what they did.
Re: How to Build an Exchange (2017)
#65Earlier quoted context omitted.
Smaller companies do layoffs as well. They just aren't as highly publicized as those at tech giants. Severance packages are usually worse/nonexistent as well. HFT companies also have much higher performance bars and rates of overwork/burnout. I'm willing to bet that people are leaving Jane Street, Citadel etc. (whether voluntarily or not) at much higher rates than large tech companies like Google.
True of Citadel, but Jane Street is supposed to have a solid wlb, and because of the high pay and the few companies willing to pay at that level, people generally stick around there. These kind of finance companies also do better in volatility so they're definitely not laying off right now.
I would assume JS has industry standard levels of notice, non-compete and deferred comp - which will sure help keep people around
Re: How to Build an Exchange (2017)
#66Earlier quoted context omitted.
Jane Street does much better at retention than Citadel and probably many other quant firms. The performance bar is definitely higher than the average at Google but it's not like there is no WLB either. Because they are more selective about fit to begin with I wouldn't be surprised if JS has better yearly retention than most FAANGs. People seem to hop between different big tech cos quite a bit (pre hiring freezes anyw…
I do not see a way to compare big tech companies and Jane Street or Citadel, seeing as how the big tech companies employ many tens of thousands of very qualified people and Jane Street and Citadel are a couple thousand max.
Yeah there are a lot of differences, I wouldn't normally bring up the comparison. My point was just that the turnover is not as bad as the other commenter was implying.
Re: How to Build an Exchange (2017)
#67Anyone know of any open-source exchanges at the level of sophistication described here?
I wrote an open source one in Go that I'm still working on. It's never meant for production.
The code is at github.com/dylanlott/orderbook and there's an accompanying write up on it at dylanlott.com/orderbook if you're interested.
Re: How to Build an Exchange (2017)
#68Earlier quoted context omitted.
True of Citadel, but Jane Street is supposed to have a solid wlb, and because of the high pay and the few companies willing to pay at that level, people generally stick around there. These kind of finance companies also do better in volatility so they're definitely not laying off right now.
I would assume JS has industry standard levels of notice, non-compete and deferred comp - which will sure help keep people around
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 stick around. For that level of earning potential JS is really good on the WLB front. But it's not going to be as good as big tech is (or at least has been), since QT/QR just has different requirements as a field.
Re: How to Build an Exchange (2017)
#69I'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…
> 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 :)
Re: How to Build an Exchange (2017)
#70I'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…
I once wrote one mostly in SQL with a Postgres database. It behaved pretty predictably with concurrent usage. I wonder how many trades per second it could do. Postgres itself can handle a lot of the difficult details, but reinventing those wheels for trading in particular can probably get you something faster.