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How to Build an Exchange (2017)

janestreet.com

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Re: How to Build an Exchange (2017)

#71

Post by rr888 »

delta_p_delta_x wrote: post #53
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/

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…

> 'HFTs make money by keeping the market liquid'

Ironically they only really keep the market liquid when the sun in shining. When there is a big crash and you really need liquidity most HFTs disappear.

They have put a lot of highly paid human traders out of business though which is something. The C++ devs might be earning a lot but its less than their predecessors.

Re: How to Build an Exchange (2017)

#72

Post by caddemon »

nequo wrote: post #60
emptybits wrote: post #55

Earlier quoted context omitted.

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://signalsan…

Yaron Minsky, the host of Signals and Threads, is also one of the two authors of Real World OCaml[1] which is a good resource on the language. [1] https://dev.realworldocaml.org/

For anyone that did competition math in HS one of the two authors of the main Art of Problem Solving books is also high up at Jane Street, on the trading side. JS sponsors stuff like math prize for girls now.

Obviously there's a potential recruiting benefit to funding contests and posting monthly puzzles and whatnot, but I still think it's a cool vibe that not a lot of other companies have.

Re: How to Build an Exchange (2017)

#74

Post by eftychis »

shakezula wrote: post #67
matheist wrote: post #50

Anyone 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.

Thank you for the writeup.

Re: How to Build an Exchange (2017)

#75

Post by caddemon »

delta_p_delta_x wrote: post #53
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/

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…

Most people I've met that actually got jobs at top HFTs were quite curious about a lot of topics in school (and still are with extra time they have). I'm surprised your friends are so fixated on HFTs while there are so many interesting and/or fun other things to spend time on when undergrad on campus.

A lot of HFTs have their own training programs anyway for the job specific knowledge, so it is more important to build up the right base math and/or dev background than to hyper fixate on HFTs all of undergrad, even if your end career goal is to make bank.

Re: How to Build an Exchange (2017)

#76

Post by hot_gril »

CoolGuySteve wrote: post #10
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…

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'…

Having worked on several side projects that involve money, I'll bet most money-related computer systems are full of race conditions and other wacky behavior. There are so many gotchas. For example, just writing a simple "bank account" system/database, it's tricky to ensure in a performant way that concurrent transactions don't bring a user's balance below 0. If you're sending out money via ACH or something, try handling all the ways that can fail and need to be retried.

I trade regular stocks in my Chase account. A few times, it was down for maintenance after-hours, meaning I couldn't enqueue trades to execute the next day. Not a big deal, but doesn't inspire confidence.

Re: How to Build an Exchange (2017)

#77

Post by Ntrails »

caddemon wrote: post #68
Ntrails wrote: post #65

Earlier quoted context omitted.

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…

> Deferred compensation is probably not relevant to any of the major quant firms, payment is almost entirely cash.

Deferred != stock.

> 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.

Fair

Re: How to Build an Exchange (2017)

#78

Post by slymon99 »

rr888 wrote: post #71
delta_p_delta_x wrote: post #53

Earlier 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…

> 'HFTs make money by keeping the market liquid' Ironically they only really keep the market liquid when the sun in shining. When there is a big crash and you really need liquidity most HFTs disappear. They have put a lot of highly paid human traders out of business though which is something. The C++ devs might be earning a lot but its less than their predecessors.

Do you have any evidence for this, empirically? I mean yes, HFTs aren't going to let their orders sit stale when FOMC announces a giant rate hike, they aren't going to lose a bunch of money to keep the market healthy. But generally when vol is high, liquidity is at a premium, so I would imagine HFTs become a higher percentage of the market (though spreads are still going to be wider).

Re: How to Build an Exchange (2017)

#79

Post by slymon99 »

selectodude wrote: post #35
caddemon wrote: post #32

Earlier quoted context omitted.

Yeah the numbers he posted were also base from JS and Citadel websites, so they're not reflective of how much one could (or even guaranteed will with the early career bonus floors) actually make at those places. This is for traders and researchers though. You can get pretty similar early career salary + bonus as a SWE at JS or Citadel, which is probably what more people on HN would be considering. Do you know what ki…

I’m afraid that’s out of my purview. Only familiar with quant traders and researchers. I’m sure it’s as good or better than big tech. But you don’t get to live in San Francisco and the work is a lot more boring.

> You don't get to live in San Francisco

You get to live in New York City which is unparalleled in the US in terms of urban amenities. The weather can be brutal though.

Or you live in Chicago which is like, still a solid city, but the weather is even worse.

I would disagree that trading firms are more boring than big tech. They are typically much smaller and leaner (even HRT and JS are like sub 2k?), and generally employees have massively more impact and ownership as opposed to being a cog in a 20k developer machine.

Re: How to Build an Exchange (2017)

#80

Post by LAC-Tech »

codetrotter wrote: post #69
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…

> 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.
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