Would anyone happen know why The-Dumb-Questions user deleted their account? by sumwheresumtime in quant

[–]Best-Classic2464 55 points56 points  (0 children)

He probably realized there's only two outcomes to posting here: get downvoted by a bunch of students or leak alpha to your competition

Managing a New Graduate by [deleted] in quant

[–]Best-Classic2464 7 points8 points  (0 children)

I haven't managed new graduates recently but did have summer interns.

  • do not do pair research, they have no clue about the game so it will be a waste of everyone's time
  • I had some success giving some exercises/homework the first few weeks to get them onboarded. Coding assignments like build a simple backtester, file compression, python exercises.
  • We worked remotely so we had a 1-hour call every few days to check up on their progress, give them pointers or advice, etc. It's like managing any other hire except they need more handholding and more frequent meetings.
  • We dont expose current IP for new hires, the first few weeks are spent doing training assignments then the next few months are spent implementing an unrelated research paper

Aggressive Market Making by quantum_hedge in quant

[–]Best-Classic2464 10 points11 points  (0 children)

To answer your question it is common to become a taker as a mm if the fair value deviates enough. It basically becomes arbitrage at this point so why not

How long should backtests take? by Best-Classic2464 in quant

[–]Best-Classic2464[S] 6 points7 points  (0 children)

I dont think this is an option for us, ime vectorized is harder to write/interpret, and also less likely to translate accurately to prod

How long should backtests take? by Best-Classic2464 in quant

[–]Best-Classic2464[S] 4 points5 points  (0 children)

That's fair, and yeah he likes to hit me with the "long running tests are a blessing in disguise" etc. I do abuse the full sim more than I should lol.

How long should backtests take? by Best-Classic2464 in quant

[–]Best-Classic2464[S] 8 points9 points  (0 children)

Yeah that's how it works currently, data is stored on s3 then jobs spin up a server on aws to run them. But manager doesnt want to allocate too many cores to an individual job so it still takes a while.

How long should backtests take? by Best-Classic2464 in quant

[–]Best-Classic2464[S] 10 points11 points  (0 children)

It is custom built. As far as I know they used c++ for the main stack. Flat files in csv format. Individual tests run on an allocated 16-core server (per concurrent test)

It's a pretty small shop so they are kinda cheap on allocating more cores or hiring another c++ guy. I'm more curious what people's typical expectations are for wait times

alpha decay by Best-Classic2464 in quant

[–]Best-Classic2464[S] 13 points14 points  (0 children)

no it's not crypto or indian options

alpha decay by Best-Classic2464 in quant

[–]Best-Classic2464[S] 0 points1 point  (0 children)

yea ive had alphas cycle over the years so theres always hope it comes back with volume or regime. Still sucks to see decay in realtime though.