How to Build an Exchange (2017) • Hacker News Board

Re: How to Build an Exchange (2017)

#91

Post by caddemon » Fri, Jan 06, 2023, 10:14 PM UTC

boring_twenties wrote: post #87

caddemon wrote: post #68

Earlier quoted context omitted.

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…

When I worked at a small prop shop, the cutoff was $400k TC, after which 50% would go into the fund for N years. Currently I work at a large bank. My comp is all cash, but many of my colleagues get deferred stock compensation. Not sure what exactly the limit is but it's definitely much less than, say, $1m.

Might depend on the firm (or times) then, the starting trader TC is already pushing 600K at HRT, JS, etc. and many don't let you invest year 1 even if you wanted to. I'd be shocked if any of the major names made you take comp as a stake in the fund pre-1m today.

Large banks are for sure a different story, though I've heard of other large banks buying people out that they wanted to hire by offering the equivalent package in their stock of what the guy would've made in the other company's stock.

Re: How to Build an Exchange (2017)

#92

Post by log_n » Fri, Jan 06, 2023, 10:17 PM UTC

pclmulqdq wrote: post #85

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…

There is a little bit of survivorship bias here: in the 2000's, the two main languages of HFT were C++ and Java. By 2015, all the Java shops (and many of the C++ shops too) had failed. Lots of companies tried to do something other than C++, but most of them chose wrong.

A shell of Allston (formerly big Java shop) lasted until last year.

Re: How to Build an Exchange (2017)

#93

Post by caddemon » Fri, Jan 06, 2023, 10:22 PM UTC

Ntrails wrote: post #89

caddemon wrote: post #81

Earlier quoted context omitted.

Yes you could theoretically delay cash comp over a period of 3+ years like tech companies do with stock, but I've never heard of that happening. I suppose by the technical definition the year end bonus cash is deferred comp, but I don't think 1 year is especially hard to plan around. People might stick out an extra few months because of it but it's not locking anyone in for years at a time. Plus even if you subtracte…

> I've never heard of that happening. I have heard of it enough that I assume it is industry standard (much like the non compete). Admittedly I am more familiar with the quant side than pure dev

Interesting, I only have close friends at a handful of places so perhaps those are exceptions. Could be a dev vs trader thing too, I have heard the trader bonuses can get really nuts so maybe a deferred structure starts to make more sense at a point.

Re: How to Build an Exchange (2017)

#94

Post by caddemon » Fri, Jan 06, 2023, 10:35 PM UTC

_dain_ wrote: post #90

caddemon wrote: post #75

Earlier quoted context omitted.

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 buil…

>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). yeah and that's the worst part, they take the brightest minds of the generation and have them working on moving money around instead of building fusion rockets

Tbf many of them were pretty jaded/burnt out by trying to do academic research before fully taking the plunge. I'm sure there are smart people drawn by the money right out of the gate, but other fields have also done a really good job of driving people away.

Re: How to Build an Exchange (2017)

#95

Post by signify1121 » Fri, Jan 06, 2023, 10:42 PM UTC

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…

I have worked for a big (probably more successful) competitor to Jane Street, that uses in its different offices C#, C++, possibly some Java that I'm unaware of, and for non-production systems a very large mix of everything under the sun (Python, R, etc.)

The idea that the language is part of their success is simply absurd. If anything having to have to develop and maintain an entire ecosystem probably slowed them down more than anything.

Re: How to Build an Exchange (2017)

#96

Post by tomjerry777 » Fri, Jan 06, 2023, 10:55 PM UTC

nequo wrote: post #48

hermitdev wrote: post #29

Earlier quoted context omitted.

I spent 9 years there, left a decade ago. Turnover is high, but this is a gross exaggeration. It is stressful, and not everyone can hack it. I was there during and after the '05 layoff when roughly 2/3s of IT was cut. That's still the worst I've heard of from what I hear from friends that are still there. Ken G definitely does the "Good to Great" getting the right people on the bus thing, which typically means the bo…

Thanks for correcting me. Did you get a sense of whether engineers had a higher or lower turnover rate than traders?

The turnover for engineers tends to be lower than for traders at citadel and at a lot of quant firms.

Additionally, the turnover for citadel is not evenly distributed across teams. Certain teams and orgs have a lot more turnover than others. Some teams are made up of people with =15 YOE at company.

Re: How to Build an Exchange (2017)

#97

Post by rr888 » Fri, Jan 06, 2023, 11:03 PM UTC

slymon99 wrote: post #78

rr888 wrote: post #71

Earlier quoted context omitted.

> '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).

Yeah these HFTs aren't big companies, they buy and sell stocks quickly. After the 87 crash big banks could buy billions of dollars of stocks and bonds because banks are huge and could do this to both protect the market, their customers and make money.

Re: How to Build an Exchange (2017)

#98

Post by bob1029 » Fri, Jan 06, 2023, 11:20 PM UTC

I've been using the .NET port of Disruptor to good success. Once you understand the underlying pattern, you can apply it everywhere without pulling in a dependency.

You would be astonished at what will actually fit on 1 x86 thread in 2023. Instruction-level parallelism can give you unbelievable throughput, assuming your batches are reasonably-sized and everything fits neatly into the various caches.

Re: How to Build an Exchange (2017)

#99

Post by [deleted] » Fri, Jan 06, 2023, 11:37 PM UTC

slymon99 wrote: post #78

rr888 wrote: post #71

Earlier quoted context omitted.

> '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).

[deleted]

Re: How to Build an Exchange (2017)

#100

Post by mhluongo » Sat, Jan 07, 2023, 12:15 AM UTC

signify1121 wrote: post #95

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…

I have worked for a big (probably more successful) competitor to Jane Street, that uses in its different offices C#, C++, possibly some Java that I'm unaware of, and for non-production systems a very large mix of everything under the sun (Python, R, etc.) The idea that the language is part of their success is simply absurd. If anything having to have to develop and maintain an entire ecosystem probably slowed them do…

It can sometimes help with hiring early on. Pg's "blob" blog post comes to mind.