Goldman Sachs will open-source some of its trading software • Hacker News Board

Re: Goldman Sachs will open-source some of its trading software

#81

Post by tptacek » Wed, Apr 03, 2019, 7:55 PM UTC

Havoc wrote: post #77

infinite8s wrote: post #72

Earlier quoted context omitted.

You have a citation? The only case I know about is a programmer who ftp'd a whole bunch of internal code to a site in Germany before his last day of work.

Yeah that one. Was internal code (well derived from code off stackflow) but completely harmless. The response - GS getting the FBI to go after him was wildly disproportionate.

You sound like someone who definitely has a lot of the surrounding context and some of the intimate details of this story. Can you tell us more?

Re: Goldman Sachs will open-source some of its trading software

#82

Post by pytyper2 » Wed, Apr 03, 2019, 7:57 PM UTC

mortdeus wrote: post #70

What about that dude who they put in jail for open sourcing software he developed in a personal side project while under contract with them? Didn't they like completely throw the book at him by charging him under that completely insane law the Computer Fraud Act?

How did you get it so wrong? Was this a dream you had?

Re: Goldman Sachs will open-source some of its trading software

#83

Post by pytyper2 » Wed, Apr 03, 2019, 7:59 PM UTC

pantaloons wrote: post #15

Of course, if this technology was able to price securities better than the market (the fundamental job of almost every market participant), it would be printing money and they would not release it. This is not the secret sauce, but probably an implementation of a set of standard well known pricing and risk models. That's still useful, and can be expensive to develop, so thanks Goldman.

It's probably not a download it and run it piece of software, there are probably lots of configurations and likely requires the user to provide their own models and trading rules.

Re: Goldman Sachs will open-source some of its trading software

#84

Post by ionwake » Wed, Apr 03, 2019, 8:03 PM UTC

user5994461 wrote: post #65

ionwake wrote: post #53

Earlier quoted context omitted.

Hope you dont mind me asking a slightly unrelated and possibly dumb question. Im a programmer, but on the side have made on average 150% profit in share dealing over the passed 5 years, but more importantly, a much higher return in other assets to 2 orders of magnitude higher. My question is - would experience / gains like this - if i had proof etc - get me an interview in a fund as some type of well paid (6 figure a…

You mean +50 or +150% ? Either way, it's insignificant and you're actually losing money. The stock of all the big companies went up tremendously in the past 5 years. Anybody who invested in large US equities made just as much if not more.

You missed the key sentence after it, I have made what one consider a very good increase in other assets which I would discuss with the fund

Re: Goldman Sachs will open-source some of its trading software

#85

Post by ionwake » Wed, Apr 03, 2019, 8:05 PM UTC

gringoDan wrote: post #54

ionwake wrote: post #53

Earlier quoted context omitted.

Hope you dont mind me asking a slightly unrelated and possibly dumb question. Im a programmer, but on the side have made on average 150% profit in share dealing over the passed 5 years, but more importantly, a much higher return in other assets to 2 orders of magnitude higher. My question is - would experience / gains like this - if i had proof etc - get me an interview in a fund as some type of well paid (6 figure a…

If [0] those returns are accurate, can be proven, and your strategy can be scaled up to multi-million dollar positions, you should take it to a hedge fund/prop shop/etc. and be able to make 7 or 8 figures. Your bonus should be dependent on performance; you may be able to negotiate a % of the profit. Those companies don't care about your background if at the end of the day you make them money. [0] Granted, that's a hu…

I forgot to add the "worst" bit.

It was mostly a gut feeling, after lots and lots of research.

My question basically is, if I show I have been really good in the past - without a specific model - is there anyway I would be taken seriously.

Thanks

Re: Goldman Sachs will open-source some of its trading software

#86

Post by ctlby » Wed, Apr 03, 2019, 8:05 PM UTC

scarletham wrote: post #38

lordnacho wrote: post #33

Earlier quoted context omitted.

> the fundamental job of almost every market participant Not true. You might make an argument that this is the effect of having them together in a market, but that's not their job: - Market maker: hang around the market offering to trade with anyone (pref retail) at a spread. Doesn't care whether TSLA is gonna be able to make all those Model 3s. - Pension fund: make sure they can pay the liabilities that are coming d…

I think you're missing the gist of his statement and also overlooking the word "almost"? That being said, most of your definitions are still dependent on competitively pricing securities. A market maker who can't calculate reasonable theos won't be a market maker for long.

The only real practitioner in this thread has one of the only downvoted comments. Incredible.

Re: Goldman Sachs will open-source some of its trading software

#87

Post by lordnacho » Wed, Apr 03, 2019, 8:12 PM UTC

yyyyip wrote: post #78

lordnacho wrote: post #60

Earlier quoted context omitted.

Yes, go on LinkedIn, there's a bunch of recruiters hawking jobs at funds. Generally they want a Sharpe ratio above 2.5, $10M profits a year. And you need to know what machinery you'll need too. Capital requirements, counterparty agreements, access to stock lending, cost requirements, IT requirements, everything. Some of the newer shops say you can keep your own IP. Haven't checked whether it's true, but most people I…

ok while we're playing "ask a hedge fund guy" Say I set up a fund holding a low cost s&p500 index ETF, but at the end of each year sold naked puts with a ~1/25 risk of ruin to earn ~4% return. Therefore my fund consistently makes 4% over the market index, except for 1/25 years when it explodes and loses everything. Because the volatility is low, my sharpe ratio is good (until it explodes), correct? Assuming it can st…

Investors will ask you what you're up to, and if you're just doing that they won't invest. They also keep an eye on whether you're doing what you say.

Anything that's both simple and mechanical is gonna have problems attracting investment. The guys you're talking to are gonna have problems justifying giving you 2/20 for buying a fund and selling options.

Or should. I've met a lot of investors who didn't ask the right questions.

Regarding the Sharpe, if they know what they're doing they're not just using the textbook version either. There's a paper by Andrew Lo about it, well worth a read, not terribly complex math.

Re: Goldman Sachs will open-source some of its trading software

#88

Post by adenverd » Wed, Apr 03, 2019, 8:21 PM UTC

kyleblarson wrote: post #46

Anyone who thinks GS is taking any action without the intent of profiting from said action is hopelessly naive.

GS has a track record of working well with the OSS community. They open-sourced and maintained GS-collections (now Eclipse collections), a highly-performant Java collections library that they had developed internally. They benefitted from community use and contributions, but no more than any other company that open-sources an internal project.

GS benefiting from open-source doesn't imply malicious intent.

Re: Goldman Sachs will open-source some of its trading software

#89

Post by Naga » Wed, Apr 03, 2019, 8:26 PM UTC

tptacek wrote: post #81

Havoc wrote: post #77

Earlier quoted context omitted.

Yeah that one. Was internal code (well derived from code off stackflow) but completely harmless. The response - GS getting the FBI to go after him was wildly disproportionate.

You sound like someone who definitely has a lot of the surrounding context and some of the intimate details of this story. Can you tell us more?

Michael Lewis writes about him in Flash Boys, his book from a few years ago.

Re: Goldman Sachs will open-source some of its trading software

#90

Post by rayiner » Wed, Apr 03, 2019, 8:43 PM UTC

mortdeus wrote: post #70

What about that dude who they put in jail for open sourcing software he developed in a personal side project while under contract with them? Didn't they like completely throw the book at him by charging him under that completely insane law the Computer Fraud Act?

That account is quite different from what actually happened. See my comment on this: https://news.ycombinator.com/item?id=9044805.

In particular, the claim that he was "open sourcing software he developed in a personal side project" turned out to be a self-serving fabrication. From the Second Circuit's opinion:

> Aleynikov’s last day at Goldman was June 5, 2009. At approximately 5:20 p.m., just before his going-away party, Aleynikov encrypted and uploaded to a server in Germany more than 500,000 lines of source code for Goldman’s HFT system, including code for a substantial part of the infrastructure, and some of the algorithms and market data connectivity programs.

> Aleynikov also transferred some open source software licensed for use by the public that was mixed in with Goldman's proprietary code. However, a substantially greater number of the uploaded files contained proprietary code than had open source software.

It's the high-tech version of a man accused of murdering his wife giving the excuse "I swear, I thought I was shooting at a burglar that had broken into our bedroom!"

Note also that while Aleynikov's conviction was vacated by the Second Circuit, it was because of a loophole. The Second Circuit decided that stolen source code did not count as a "stolen good" under the Economic Espionage Act. (Congress corrected that loophole the same year.)