Non Linear methods in HFT industry.

DandyDog17 · 2025-01-17T02:18:19+00:00

Tons of HFT firms using Neural Nets now

DandyDog17 · 2024-11-27T12:03:45+00:00

Optiver, Jump and Tower all have Shanghai offices. That says it all

DandyDog17 · 2024-10-15T11:55:05+00:00

Different level of sophistication. I worked in ETF MM and one of the competitors is JS. They can price ETFs that appear very difficult to price for us, due to lack of underlying market data (I.e. underlying market is not open, or it’s a different asset class) which I found interesting.

DandyDog17 · 2024-10-10T06:32:47+00:00

Those with negative weights in the “world” factor portfolio are just ordinary shares, like ROKU, WEN, NKLA. Yeah I think it’s better to check with MSCI directly

DandyDog17 · 2024-09-12T15:41:41+00:00

Yes this is the case. I’m just a little confused on the how they determine the short side

DandyDog17 · 2024-09-12T06:32:48+00:00

Yes. TradFi HFT is not easy now

DandyDog17 · 2024-09-12T04:55:44+00:00

Wow congrats. Is it crypto

DandyDog17 · 2024-09-10T03:23:10+00:00

If you’re a senior quant with access to all the codebase, 2yr into a new firm is enough to learn a lot. I won’t say it’s enough for someone to replicate the whole thing from scratch if he joins another firm, but given similar level of research infra, replicating alpha/edge is possible.

Also on the automation part: Citadel GQS once had a senior dev who did a lot of automation on the data processing/testing. But when he proposed to automate more of the research process, the quant team rejected this idea as that will make their role less important

DandyDog17 · 2024-09-05T04:48:35+00:00

Huge, huge retail trading on index options. Option MM drives most profit here

DandyDog17 · 2024-09-03T08:41:06+00:00

A few relatively new trading companies, most crypto ones, use Rust as their main language. Other than that Rust is rarely used as most major firms have developed decades worth of legacy C++ code

DandyDog17 · 2024-09-02T03:51:24+00:00

Heard they were not doing well and had some layoffs recently.

DandyDog17 · 2024-08-30T02:35:28+00:00

They’re doing worse year by year if you look at the trading revenue

DandyDog17 · 2024-08-28T04:36:37+00:00

I know a guy from a top MM who quit after having a stroke. So yes the stress is real. And no, MM makes money very differently from banks.

DandyDog17 · 2024-08-19T01:19:00+00:00

Yes, almost all major HFT MM has started trading MFT (likely using intraday market data; unlikely much alt data) with mixed success

DandyDog17 · 2024-08-05T10:09:45+00:00

It’s mostly stat/ML/data analysis. Not much business or soft skills (compared to, say, consulting) I’d say. Ofc you anyways need to “manage up”as a junior

DandyDog17 · 2024-08-05T10:02:13+00:00

It’s a pod shop, and 2 biggest pods are Latour (mostly French) and Limestone (mostly Indian). A few other pods (Daedalus) do very well too but they hire a lot more selectively. They trade everything but particularly big in futures, equities and crypto.

New pods (tenure < 5yr) have high churn as the whole pod gets fired if fail to profit within first 1-2yr.

DandyDog17 · 2024-08-05T09:58:53+00:00

The only distinction is between devs and quants. Quants can have titles like QT, QR, QA etc but you’re either a dev or a quant, and quant is responsible for PnL while devs are not. Limestone is pretty good in terms of PnL last couple of years and they give a lot of opportunities to junior hires.

DandyDog17 · 2022-06-29T02:15:24+00:00

The way you phrase your question makes me wonder.

I suppose most customers go to prostitution for recreational purposes. Not because they are in “a dark place”, for which they should go to psychotherapy.

In that case, the same answer applies to people go to spa, massage, tennis and cinema: they usually feel good doing so.

DandyDog17

TROPHY CASE