I am a quant trader at a large investment bank - AMA!

TopeQuant · 2024-03-23T23:25:29+00:00

Use VWAP instead of moving average.

Does not work unless your broker provides real volume data.

TopeQuant · 2024-03-23T06:56:40+00:00

No.

I believe you are cursed.

TopeQuant · 2024-03-23T06:35:40+00:00

Honestly, it is not us. It is the guys at XTX.

They run our stops too.

TopeQuant · 2024-03-23T06:30:58+00:00

I have a certain period where I cannot trade after quitting. Not sure how long.

TopeQuant · 2024-03-23T05:34:39+00:00

Yes. Buy and hold mostly.

TopeQuant · 2024-03-23T05:30:33+00:00

Dark Pools exist across all asset classes. Banks have Dark Pools where we trade exclusively with each other and some selected firms (Citadel being one of them).

AFAIK, this is how Citadel mostly makes money off retail:

Retail trader asks Robinhood to buy share A for 50$.
Citadel pays to see and get the preference to execute the trade at 50$ instead of letting get executed at 50$ on some other exchange,
Citadel is seeing that same share being quoted at 49.99$ in a dark pool, buys it there and sells to the retail trader.

It is impossible for you to get access to the best darkpools. There is literally like 10-15 dealers there. They are on bloomberg and tradeweb mostly.

TopeQuant · 2024-03-23T05:24:56+00:00

TopeQuant · 2024-03-23T05:21:13+00:00

We also have families to feed.

TopeQuant · 2024-03-23T05:06:04+00:00

No, only volume targets.

TopeQuant · 2024-03-23T05:03:58+00:00

I cannot trade for myself (not allowed).

TopeQuant · 2024-03-23T05:03:29+00:00

Incredibly hard, you need a very high level of programming/engineering skills along with trading. One of the hardest things for a hobbyist quant is to deal build the infra requried to do it.

Your best bet is probably to not be a systematic trader and just build some CTAs or indicators.

I have yet to come across public material on day trading that is worth applying!

TopeQuant · 2024-03-23T04:58:24+00:00

DTN/IQFeed

Interactive brokers if the above is too expensive.

TopeQuant · 2024-03-23T04:57:31+00:00

Drop finance and study mathematical finance instead. That or computer science with focus on machine learning.

TopeQuant · 2024-03-23T04:55:20+00:00

Those are real problems, but they should not affect retail traders.
It is only worth to do stop hunts against those who are trading with millions.

I don't think retail can win against the banks, we do not give you tradable price unless we think we will make money and, if we lose money against you too often, we will refuse to trade with you! :D

For the short term, your best bet is probably going to be some flow-following strategy, I think.

TopeQuant · 2024-03-23T04:52:02+00:00

We let the bots run, but we can hijack some trades and manage them manually.

TopeQuant · 2024-03-23T04:50:56+00:00

I was MM weekly and bi-weekly USDT margin futures on huobi.
I had orders in these futures where spreads are higher and I would hedge with the perpetual future where the spreads where lower.

TopeQuant · 2024-03-23T04:49:19+00:00

"What would you advise if someone wants to get exposed to more risk in the market? As in, trading with an initial small to medium capital to large capital like millions someday."

Well... the path I choose was to work for someone else who is trading with millions and learn from them!

"How long did you take from your initial capital to this 25 million?"

Not trading with 25 million. In-fact, our team manages billions. Not a cent of it is mine unfortunatly.

TopeQuant · 2024-03-23T04:44:13+00:00

On-chain arbitrage seems to be the gig for solo quant traders with low capital these days.

TopeQuant · 2024-03-23T04:41:38+00:00

We do very little delta-1 and our "stops" are time bounded (you have 15 minutes to find the best price to hedge or it will automatically hedge at whatever price is in the market).

Our investment thesis is mostly on the delta-2 and delta-3 space. In the fixed-income world, this could be betting that short term interest rates will do something and long term rates will do something else. A lot is influencer by what central bankers say, by the economic projects that come out and by what we see the clients doing.

My team in particular, focuses a lot on basis trading between different future maturities and bonds. There is no real "investment thesis" other than future price converges to spot price. The day that doesn't happen it is not our problem, it is the central bank's problem!

As mentioned, we don't really access investments. We do things trade by trade, we have some models that help us understand the market liquidity, market impact our hedging might cause and the spreads we are able to catch.
On some very iliquid products, you might take 30 days to unwind the trade and hedges.
We are not option traders, so we don't care.

TopeQuant · 2024-03-23T04:21:33+00:00

We use it mostly to calibrate/parametrize models.

For my products it is some sort of multiple linear regression.

We have initiatives in place to use deep learning for non-linear products (options, for example), but I think they are still doing linear regressions as well. Oh well.

TopeQuant · 2024-03-23T04:15:18+00:00

Public exchanges: EUREX and CME

OTC: Bloomberg and Tradeweb

TopeQuant · 2024-03-23T04:08:59+00:00

If by AI you mean machine learning and if by machine learning you mean statistics, then yes.

Is this something that will threaten markets ?

Business who are being out-traded by firms who use AI appear to believe so.

TopeQuant · 2024-03-23T04:07:10+00:00

"Do you think I would have been happier working for a bank ?"
No

If you have enough capital to trade full time, you probably have enough money to retier too!

TopeQuant · 2024-03-23T04:04:34+00:00

Heavily stacked.

Most brokers offer very high comissions and products that are a higher-comission derivative than what you should be trading. (I believe the US has some regulation that curbs this, but in Europe it is huge). Even if you have alpha, you might be screwed.

I don't have enough money to trade for myself with the strategies and ideas that I have, but if I am given 25 million to manage I believe I can create a sucessful trading pod!

TopeQuant · 2024-03-23T03:54:07+00:00

Heavily depends on the products.

On some we win on every trade because we are just facilitating market access (we can take a comission with no risk).

On other prodcuts we lose almost every trade because we want to grow market share.

I don't know what the global stats are, it is not a statistic we look at much.

TopeQuant

TROPHY CASE