What the interns have wrought, 2020 edition
blog.janestreet.com
blog.janestreet.com
It's a lucrative job for strong programming talent. Engineers there routinely make well over $1mm/year (edit: after a few years).
They are similar to Two Sigma in tech focus and talent, which is a more well-known firm.
Do you have a source for such claim ? data from h1b salary [1] tells that senior software make 200k base, and here [2] they explain that the average salary is 440k
[1] https://h1bdata.info/index.php?em=JANE%20STREET&job=
[2] https://news.efinancialcareers.com/fr-en/307393/jane-street-...
Not unusual for bonuses to be 5x or more salary in a good year.
And yes, even places like Jane Street separate between Investement and Tech.
If you're talking about IT that makes the printer work, sure.
There are engineers working in Investment, yes, but the risk profiles, the payout profiles and the focus of their work is very different. Investment deals with getting and analysing data, understanding the market and their algos, coming up with trading ideas, handling their PB relationships, doing the actual trading (e.g. portfolio optim, factor hedging, worrying about financing and borrow costs) etc. Technology deals with all things infra and (in most places) ingesting data and making it easily available internally.
In particular, I would be surprised if the interns in this article were on the Investment side - a fund would rarley publish anything remotely resembling research. In fact:
"Yulan ended up working with both the trading desk that was running this process, as well as the research group, which pointed her at some cleaner cost functions to optimize, as well as encouraging her to try out simulated annealing in addition to the greedy algorithm she started with."
The "research group" and the "trading desk" are Investment.
The investors are engineers. Full stop. They write code. The code makes trades. Everything else is noise to support the engineers writing code to make trades.
The division in trading firms, IMLE, is between front office (making and executing trading decisions) and back office (book-keeping, accounting, risk control, compliance, administration, etc). Both sides have technical and financial people. But only front office - both technical and financial - is likely to get wild bonuses from doing good trades. Back office bonuses are more about doing the job well.
If Jane Street is sharing some of the trading profit with back office staff, good on them.
That doesn't mean literally everyone who works there is rich, and the quants will do better relatively speaking. But in the sense of engineers being second class citizens: no, I wouldn't say that's the case at all.
Places like Jane Street and their like obviously pay technology employees very well. But they represent an absolutely tiny, tiny, tiny slice of the pie.
The vast majority of SWEs employed in Wall Street work for various firms big and small that you'd be fairly lucky to break 200k-250k TC decades into your career. No, 200k isn't a small income, but odds are you could match that number at any number of middle tier tech companies, earlier in your career, while enjoying a much better work environment and various other perks.
And of course upper-middle to top tier tech companies (culminating in FAANG) can offer multiples of that amount - and again, probably with much better working environments and other perks. Your odds of making it into FAANG or similar caliber tech company are probably much higher than your odds of making it into a Jane Street caliber financial firm.
I used to work in sell side equity research before leaving to do software development, because at least from my vantage point, no one was that great at predicting the market.
Example PDF showing this: https://us.spindices.com/documents/spiva/spiva-us-year-end-2...
Partially to leave the door open and partially just to see how folks reacted, rather than giving a blanket "no thanks" to recruiters I got into the habit of replying to fancy recruiters with "I absolutely love my job and am not looking to leave. <all the things I love about it>, I wouldn't consider leaving for less than $600k/year unless a new role offered <one of several non-monetary things I really care about>." It may seem silly, but with luck, good timing and not using current comp as an anchor I've doubled up previously. My philosophy is that it never hurts to ask for more than you think you deserve, especially if you don't act like you're entitled to it.
This was mostly met with "glad it's going so well there" and I can only assume snorts of derision. Meanwhile, the dude from fancy "headhunting" firm comes back with: "Excellent! With your profile, I can get you at least $700k with one of my buy-side client firms."
Feel free to decide for yourself how much weight to give the anecdote. Maybe that # has a real basis for someone with (at the time) 5-6 years of experience. Maybe he assumed I must be making something near it already. Maybe he was saying anything to get his foot in the door. Or, maybe he decided I was jerking his chain and decided to have some fun of his own. He certainly made an impression.
My contact details are in my profile.
Cheers!
Do you know of any [non-corporate] blogs from their engineers? I'd love to learn more about them from an unofficial perspective.
There is a caveat to mention: keep in mind that compensation at these firms exhibits survivorship bias. A new grad engineer at Jane Street will receive around $300 - 400k all in first year compensation: around $150k base, $150k guaranteed end year bonus and $100k sign on bonus. From there, what typically happens is further recalibration a year later. Either you're good enough to maintain at least that level of comp, and you stay, or you're out within a year or two.
This means that you may not get an initial pay raise by joining, if you're extended an offer. Engineering offers from top trading firms are often an initial paycut, or an equivalent package, for anyone who is senior or higher at a place like Google and Facebook. You don't generally get to really significant compensation beyond tech until you're a few years in, and implicit in that assumption is that you'll actually stay there.
So let's say you're a new grad with offers from Jane Street, Citadel, Google and Facebook. You'll probably get $400k from Jane Street and Citadel and $200k from Google and Facebook, including sign on bonuses. If you join one of the trading firms right out of school, you'll develop an affinity for the work faster (if you're good enough to stay), and you can reasonably expect to make up to $1M/year by the time you're 30.
But now let's say you're L6/E6 at Google/Facebook. Maybe you're 30 and have $500k total compensation per year. Jane Street isn't going to offer you significantly more than half a million a year just because of your level in tech, unless they have a really pressing need and you're an industry expert. You will probably receive about the same package, with the possibility of making significantly more after developing more experience with their tech stack and work, after a year or two.
The "shock and awe" competitive packages are given to new grads who can be developed from day one, but senior hires require further calibration. There is a ceiling on what trading firms are willing to offer people who have exceptional promise but otherwise no domain experience in finance.
In any case the people I know at Jane Street are consistently exceptional. I highly recommend the firm if you're interested in their work. Likewise Hudson River Trading has a very similar profile but is smaller and has more of a startup feel to it.
That being said: while it's not perfectly meritocratic, I would say tech and (this side of) finance is uniquely attainable for someone who has the determination and tenacity to build the requisite skills. You don't need to have gone to a particular school. Barring a felony, your past choices in life will not hold you back.
If you already got into one of FAANG, you almost certainly have a strong baseline skillset already. If it's really important to you, focus on achieving further mastery of your craft and figure out what you need to do to pass an interview at this kind of firm.
That's both fair and true, but I'm someone without any successful characteristics.
> You don't need to have gone to a particular school.
All of the interns in question went to top schools of course :)
> If you already got into one of FAANG, you almost certainly have a strong baseline skillset already
While I wish that were true, unfortunately, the FAANG is Amazon so I don't think that's much proof of anything. I would work towards achieving mastery of what I would need to do to pass an interview, but I can't even get an interview - again, because of my current company and undergrad.
The only organizations I would trust to give accurate salary averages are payroll companies, who can properly do a uniform sample, and I don't think they publish their data for free.
Personally knowing someone that makes $X does not necessarily mean that $X is an average or normal compensation.
It comes off as as quite tone-deaf when tech people complain about their $150k salaries. There are way too many entitled people in tech who have never worked a shit minimum wage job in their lives.
Look, if you really want to make it to a company like Jane Street, there IS a path. It's not a path that many have the energy to take but it's there. If you are having trouble getting interviews you can do a ton to produce content needed to raise your online profile. You can make lots of meaningful open-source contributions on github. You can produce great blog content. You can code live on twitch and develop a following. If you combine that with actually developing the algorithmic chops to pass their interview process, you can get into a company like Jane Street.
I personally don't view maximizing my income at the expense of all else in my life as a good way to live so I won't be grinding it out to get one of these jobs, but if that's what you really want then the path is there. But you probably will still be unhappy once you achieve it if you're unhappy right now.
And don't be so hard on yourself. If you've made it as far as you have, you definitely have successful characteristics. You're not special, and that's OK. But just because you're not special doesn't mean you don't have successful characteristics.
This is also the case for people at Google, etc but they still manage to find time to complain about not being able to expense their lunches [0]
Overall I don't disagree, but the path to JS or equivalent companies seems to be astonishingly narrow given the fact that I didn't join there out of undergrad and I'm currently at a company that Jane Street recruiters don't consider to be impressive or noteworthy.
> And don't be so hard on yourself. If you've made it as far as you have, you definitely have successful characteristics. You're not special, and that's OK. But just because you're not special doesn't mean you don't have successful characteristics.
I'd say I'm exactly as hard on myself as society is. Everyone else gets constant external validation - all I get is signals to say I'm stupid.
[0]: https://www.cnbc.com/2020/05/06/google-tells-employees-not-t...
No one but perhaps the most incapable of taking simple care of themselves is complaining about it. Teams are allocated yearly budgets to do team-oriented events and other things. That money is now going unused. One of the suggestions was to donate it, which is also prohibited, but I guess that's not as catchy of a headline.
Seems quite tone-deaf to compare yourself to the worst off. It's easy to pat yourself on the back for not having to sleep in the dirt but that's not a very high bar, is it? Some people want to have purpose and to keep growing and becoming better and more successful -- it's not tone-deaf to want that. And you don't have to absorb the misery of everything that's happening around you or you won't have time to do anything else.
Or than most engineers make at any point in their careers.
- Interview preparation (not going well, but I blame my inherent intelligence for that unfortunately)
- Promotion work in my current role (would max out at like $180k)
Tech companies have explicit up-or-out policies for lower-level engineers. I don't think the top trading firms do any more firing of new grads than FANG does.
It's somewhat different in finance, because firms like Jane Street don't have "levels", as it were. There are individual contributors and managers, but to the extent you get a promotion, it's only increasing your scope of work for more money. They don't have well established ladders like FAANG.
But you might be right that the involuntary attrition is equivalent on a percentile basis; that I honestly don't know off the top of my head.
I'm an intermediate developer and have been at my company 8 years. I've been told by managers whom I am personal friends with that if I stay at this level much longer (5 years now), then the company might look for a reason to get rid of me.
In general there is some truth to what they claim is the difference. It's supposed to be about how complex the work is. Senior devs should be dealing with more architecture/design, more coordinating with other groups/teams, and have greater expertise (they measure this by output and opinions).
If you get promoted they expect more output and hours. The policy is 7.5 hours per day but they unofficially expect 8.5 hours for senior devs and tech leads. It's a 15% jump in hours and only a 7% raise. I've actually filled the role of tech lead and then senior dev for two years on a previous team. They never officially promoted me due to politics and wanting me to work more hours than policy states. I've been passed over and screwed over probably 4 out of my 8 years here.
I'm not sure what measurement would say I'm worth anything.
I think you'd find that, across the universe of technology-driven trading firms, work life balance is worse than tech on average. But you'd also see pretty high variance, which skews the mean quite a bit. Some firms are basically like top tech in terms of work life balance; others not so much.
Do they give the traditional google interview or worse?
The technical interview was a decent bit harder than Google -- we got deeper into implementation instead of just toy problems. I remember filling the white-board walls of the room with code for a garbage collector. Even though the interviews ostensibly didn't require OCaml, knowing a (tiny, tiny) bit about OCaml garbage collection helped. Every interview was with two employees, which I hadn't seen elsewhere.
I got the offer, but ended up going elsewhere. In part, I was disappointed to find out that there was VBA involved in the role -- it was their taste in languages that appealed to me and VBA was at the opposite end of the spectrum from OCaml!
Weirdly, when I (politely) declined the offer, I never heard another peep from the company, even an acknowledgement or a "good luck". They just ghosted me. Not that they owed me a reply, it just stuck out as the process was very high-touch until that point.
On top of that, cost-of-living in NY is very high, taxes on high salaries are very high, and it makes you a target (e.g., divorce, lawsuits, etc.).
And as a final cherry, you'd be using OCaml all day, which while interesting, is a language you'll never see again in your career.
I wouldn't beat myself up about it.
Not sure that's helpful, but I would just say if you are using Elixir you're probably already in a good place development-wise.
* Very flat hierarchy and very limited bureaucracy. At JS there's like at most two people between you and the folks who run the place.
* JS is technically isolated. They're not really part of the same conversation as the web-focused and much more public tech giants are. Lots of NIH, custom hand-rolled solutions. Maybe part of that is a consequence of going all-in on an ecosystem (Ocaml) that basically only you use and run, maybe part of that is that really smart people love to invent their own better solutions to problems, maybe part of that is that most of what JS does is either, like, command-line/TUI apps for traders to interact with or trading systems where a proprietary technical advantage is where you get your edge.
* There's a particular Jane Street "way of thinking". Another comment on this thread exemplifies it pretty well [1] - technocratic and rationalist. If you don't fit into that mould you'll feel out of place, if you can even get hired at all.
* More of a 9-6, butt-in-chair mentality than at other tech jobs I've worked. There's some flexibility about the 9-6 thing (and 9-6 can be pretty optimistic at times), but they're limited by the nature of the markets. At the time and for me, anyway, there was zero possibility of ever doing any work at home. COVID may have changed this.
* There's still things clubs, office events, and perks, but to a lesser degree and more informally than at larger companies. It feels more like working a regular job at a real business. JS is also a lot smaller and more homogenous (see above), so less of that is needed to create social cohesion.
If you have specific questions, or can elaborate on what your "negative perception" entails, I can probably comment further.
This sort of thing precisely. My perception of these companies is that they are not as understanding about work-life balance, PTO, working from home, and ultimately trusting you to be independent.
There is also a more corporate image that these companies have in my eyes, one thing that would likely exemplify this is the dress code. Does Jane Street empower you to be your true self or do they prefer that everyone is the same kind of suit-wearing professional that banking institutions often want?
In general, all of this together gives me the perception that working at such a company would be far more intense. Working at a FAANG is sometimes stressful enough, knowing that there is a flexible and (what I at least consider) a progressive culture backing the company makes the stress easier to manage in some ways.
Does this help?
The algorithm is essentially a parasitic entity.
Moreover, given that buyer and seller weren't able to match without Mr. E. HFT's help, hasn't he in fact rendered a valuable service (for which he should, of course, be paid)?
A and B wake up one morning and want to trade MSFT. Both submit orders to "the market." You claim HFT somehow inserted itself into the middle of the transaction.
I'm asking if you can fill in the blanks on how this is possible.
They take on obligations as market makers to always buy and sell no matter what the market is doing.
How that worked was that he got a phone call saying "buy me 50k IBM" from a broker. Guy on the floor thinking smart money is behind this, or even not thinking there is smart money behind this, he just knows an order like that is going to move the market- will place his own order ahead of it and likely exit the trade immediately after. The advent of electronic trading, even when people were still on the floor, made this much harder to do since it became easier to slice and dice that order up to a bunch of different people, and there were now much better paper and electronic trails of the activity. Now its all computers talking to one another and this is not possible.
I thought intern compensation is pretty much set. Did you have counter offers to negotiate?
I have to ask: Who gave you the verbal offer? Was it an internal recruiter, external recruiter, or the company's HR department?
I mentor a lot of college students. They're always very nervous about the possibility of rescinded offers despite how rare it is in practice, so I'm curious about the details of your situation.
When mentoring people, I always advise people to never assume an offer is a done deal until you've received the official offer letter with compensation details and a start date. Unethical recruiters are notorious for misleading candidates into thinking the job is a sure thing in order to discourage them from interviewing elsewhere.
When mentoring hiring managers, I emphasize the importance of never misleading candidates into thinking they have a job until we send the official offer letter. It's common for new hiring managers to get so excited that they give the candidate too much information too early. Even simple statements like, "We were really impressed with your performance and now I'm going to work on getting you an offer" can be disastrously misleading to candidates who don't realize that their interviewer/recruiter isn't the only decision maker in the process.
They can still rescind at that stage as well though can't they - it's no more concrete, legally, is it?
If you live in an at-will state I completely understand you would have few rights.
An employer can sue you for two weeks and any damages that comes from that event.
To the best of my knowledge, most of Canada follows the same rules and the only province that is likely to differ about this is Quebec.
Disclaimer: Not a lawyer, and haven't experienced this scenario myself.
It also puts pressure on the company because it means you might still disappear on them, so they better take care of their paperwork.
I would think that compensation would be a required element of an employment offer. (I wouldn't say that I'd received a job offer if it didn't also include compensation information. If I didn't agree to the proposed figures and decided to negotiate, then I'd received a job offer that I declined.)
Let us celebrate the successful ones who do eh.
For a lot of people, that's just normal life.
When I was between jobs, I got a temp position installing a network and doing other IT stuff at a small midwestern Baptist church. During the transition to the new system, the secretary went on leave, so it fell to me to input the weekly donations into the accounting software. Some of the donations came in envelopes pre-printed with the parishioner's ID, so the church knew when to send more envelopes.
Certain people were donating hundreds or thousands of dollars each week or month to the church. I asked the pastor about it, and he confirmed what my grandmother always told me: You give 10% of your salary plus 10% of any "found money" to the church.
I know that may seem shocking to the IT crowd, but for many people charity isn't unusual. It's just how they live. When you get your paycheck, you pay your rent, your utilities, and the charity of your choice. It's normal.
I do Effective Altruism, donating at least 10-15% of my income, but was only peripherally aware of people donating to church, and only thought it was pocket chance not thousands a year.
Donating to Effective Altruism charities is quite different ethically to tithing, though.
I would say hedge funds have massive negative social value (especially quant/HFT ones), and actively contribute to wealth inequity. Robert Mercer is a prime example of this. Not saying I think your friend is a bad person or should quit, but it's kind of a naive justification.
Obviously there are not many Robert Mercers making money by running hedge funds, but there are countless millionaires and billionaires exacerbating their wealth through hedge funds.
You’re talking about a few thousand people a year
> TABB Group estimates that US equity HFT revenues have declined from approximately $7.2 billion in 2009 to about $1.3 billion in 2014.
https://web.archive.org/web/20140404072855/http://tabbforum....
I mostly agree that Robert Mercer has been a force for evil in the world, but subjectively my impression is that finance billionaires are more likely than people from other industries to spend their money on relatively uncontroversial philanthropy.
Personally I have no reason to think finance billionaires use their wealth more ethically than any other group.
The story about lower spreads is also rather dubious. I can believe that going to sub-second HFT reduces spreads slightly, but what's the point? By how much, exactly, is the spread reduced by going to the extremes that HFT goes to, and how does it compare to just your regular intra-day swings?
What's useful to society at large is long-term capital allocation. Regular people don't do day-trading, they place orders "at market" maybe a few times per year at most (or perhaps monthly as part of an automatic plan). The loss from intra-day variations will dwarf the measly reduction in spread that is achieved using sub-second HFT.
So in that light, it's good to see that apparently HFT is becoming less profitable.
When you participate in the market, the spread is the "price" you have to pay to transact. When this goes down, it benefits all participants in the market, and especially the ones that are doing "long-term capital allocation" you are talking about. Rather than take my word for it, here's a quote from the CEO of Vanguard: “From a data perspective, we can see what’s happened to our fund shareholders over the last 20 years, and they’ve benefited by that reduction in transaction costs.” [1]. If you're managing trillions of dollars of 401ks, pension funds, etc, and you are constantly rebalancing your assets, buying new allocations, etc, any tiny reduction in average spread is a huge savings on net. A big part of the reason why there's been an almost universal reduction in fund management fees, saving retirement savers an enormous amount of money over the last 10 years or so is this reduction in spreads. This is absolutely a huge benefit to society, and its almost entirely attributable to HFTs.
You're correct that it HFT is a zero-sum arms race, and maybe you could make the argument that in an optimal allocation of society's resources, perhaps you could have less than the current number of participants. But I think you could actually make this argument about almost all lucrative & highly competitive fields. If anything, HFT is more productive per unit of labor, relative to other sectors of society - that's why the compensation is so high!
The total number of programmers and quants that work in HFT, at least for the 5-10 significant players, is probably less than the number of programmers Google alone employs (last I checked, there are about 30k programmers working at google. There's almost certainly less than 30k quants and programmers working at the main HFT firms). How many programmers do you "need" to optimize ads for eyeballs? Or how many programmers do you "need" to make mobile phone games? Or work on social networks? etc etc.
HFT is a small, niche, industry, and I think extremely productive per employee relative to most other industries. It replaced the tens of thousands of manual traders that used to be responsible for arbitrage and market making with automated robots, dramatically increasing market efficiencies while reducing the amount of human capital required to provide those services. It seems pretty misguided to make the argument that HFT is somehow "bad" or a "waste" of resources, given how much of an improvement it was to what there was before, and also given how small the industry really is.
[1] https://www.cnbc.com/2014/04/25/vanguard-chief-defends-high-...
You also disregard my whole point about just how high the HF in HFT needs to be. One can easily imagine a market that operates in rounds of blind auctions, one auction per second or one per minute or something along those lines. This would take out a lot of the arms race, and it's implausible that spreads would be much higher in such a market in a way that would hurt other investors: after all, you'd still expect competition between participants in a way that drives their profits down.
> A big part of the reason why there's been an almost universal reduction in fund management fees, saving retirement savers an enormous amount of money over the last 10 years or so is this reduction in spreads.
That makes zero sense. A significant loss due to higher spreads wouldn't show up in fund management fees, it would just show up as lower returns of the fund before management fees.
> If anything, HFT is more productive per unit of labor, relative to other sectors of society - that's why the compensation is so high!
That's at least doubtful. I would argue that compensation in HFT is high because it sits adjacent to large streams of money. In practice, a lot of compensation is ultimately about siphoning small fractions away from the streams of money you're near to, and the size of that stream makes more of a difference than almost anything else, but that's really only a form and function of power -- it doesn't correlate with how productive you are to society. (I suppose if you just define productivity as compensation per hour worked, as economists often do, then what you say is strictly speaking true, but it's also kind of circular and therefore meaningless.)
Science progresses because all willing to accept new ideas. Are they always right? No, but it can become dangerous when people are afraid to think for themselves, like Copernicus and the Catholic Church.
As humans, we must explore and exploit; Mercer chooses his path as he rightfully can.
It's a case of an ellipse peg in an elliptic hole.
It is like paintings from famous painters in billionaire's homes. Now for me and may be for lot of people stuff from Bed Bath and Beyond is just fine on our walls. So for ultra-rich / successful/profitable company might see beauty in Ocaml but most of the world runs fine on run of the mill services in PHP/Java/.net etc.
most of the world doesn't run fine. If airplanes were built like your average software stack they'd drop out of the sky every other day.
Development practise at a place like JaneStreet is an example how things ought to be done. I really dislike the analogy of Ocaml as some sort of esoteric billionaire tool. It's just a sound language that everyone can understand, it's not even particularly academic despite its reputation. This is just what software engineering looks like if you actually treat it like... well engineering.
I missed to add C/C++ to my list. That would have covered real time systems you mention.
> Development practise at a place like JaneStreet is an example how things ought to be done.
As much I agree Jane street is doing cutting engineering for their domain, it seems unrealistic that rest of the world is unaware of good software engineering in generic usecases.
Depends on who is aware and whether they have the clout to actually implement it, the trenches are full of developers who know there are better ways and that those better ways would have a positive RoI but that it wouldn't show up possibly for 3-4 quarters minimum which makes it a hard sell to management if you can get them to even understand it without a tortured analogy - those programmers frequently don't have the authority to enforce the standards particularly when the other half in the trench with them are busy adding to the pile or actively fighting against it.
There have been times where I've wanted to shiv (figuratively) a developer who writes the worst most pointless convoluted code after he proclaimed code should be "self documenting".
Fortunately these days I'm at a level where at least for my teams I can enforce whatever standard we agree on and if we can't agree then the one I agree on - if we can't reach a consensus I operate on democratic principles, one man, one vote - I'm the man, I have the vote (though I try to avoid having to do that).
Another might say it was a weakness for snake oil.
To give you an example of how you would use some crypto-related library that implemented its API (?) in OOP:
let x = new Foo.bar in
x#absorb a;
x#squeeze b;
x#reset
This (this entire file) is a great example, too!
Ahrefs is another one I know of.
And hopefully (maybe?) my company soon.
Couple of things I took away from the experience:
- After an initial ramp-up, most of the developers liked or even loved the language. Downside was the limited tooling/libraries (2010-2015, seems better now).
- Quality of the resulting product was quite high: bug rate was fairly low, especially once experience with the language increased. Turns out sum types, gadts and the module system (functors) are very powerful to express invariants and design composable logic.
- OCaml was successfully picked up by team members without a formal computer science background, or even without a lot of programming experience. Not that it turns everybody into a great programmer, but it seemed to coerce new hires into delivering a working feature, without a huge risk of breaking a lot of other code.
- It is still possible to write crappy / unmaintainable code. But in OCaml it is often as easy (or even easier) to write good code.
- If something did turn out to be broken, it was painful. Debugger support (GDB) was initially non-existent. Under heavy load, we triggered a couple of bugs in libraries, which was quite painful to fix. On the other hand, we also triggered bugs in malloc and in the Linux kernel, which were as painful, so it might have had more to do with the high-load scenario, than with OCaml.
- For really low level stuff, or very high-performance cases, we did need to use the escape hatch to call C code. Interfacing Ocaml with C was not the most pleasant (was before ctypes library). Debugging bugs at that boundary was extremely unpleasant. One trigger for this was the fact that multicore OCaml never materialized, which also damaged the "political position" of OCaml within the company.
- Management (especially after the acquisition) was at best indifferent, and at worst hostile towards it. OCaml was perceived as being difficult to hire for (or outsource). Using more "standard" languages like Java, C++, Python was seen as the safer bet. They tried and often failed (C++ turns out to be damn complex, and maintaining a large Python codebase turned into whack-a-mole, but for bugs.).
I doubt (for instance) that they have coded up their own HR system.
The first half of the book goes over the academic history of quant trading.
The one small firm that everyone in the industry has heard of is basically all phd guys screwing around with theory and execution and getting filthy rich in the process.
Good show!
From what others are saying, it looks like they pay way better too.
I'm getting tired of implementing/coding other people's solutions or just copying legacy processes into new tech. It would be nice to actually work on the problem and the processes that would most effectively solve them.
Good luck!
- it's not guaranteed to succeed at all
- it's not important enough to put someone on it for a few weeks or even 3 months
- it's not touching production code
- it's a greenfield project where you can let them start and not have them understand your huge code base