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When milliseconds make millions
Started:July 31st, 2011 (01:59 AM) by Big Mike Views / Replies:813 / 2
Last Reply:July 31st, 2011 (06:28 AM) Attachments:0

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When milliseconds make millions

Old July 31st, 2011, 01:59 AM   #1 (permalink)
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When milliseconds make millions

Source: When Milliseconds Make Millions: Why Wall Street Programmers Earn the Big Bucks -- Application Development Trends

A contract programmer for a New York City firm doing "trading strategy back testing" I talked with who didn't want to be identified confirmed this. "I work mostly in C++," said "Jack" (a pseudonym), "but also Java, Lisp, Matlab, R, Fortran and JavaScript."

Programmer/entrepreneur Jason Roberts told me the languages/tools used by HFT coders "really varies from firm to firm. Some use the Microsoft stack (.NET, C#, etc.), some use Java or C++ and others use more exotic languages like Ocaml."

Roberts has a unique perspective on the HFT industry, having worked as a founding partner for a series of small, proprietary trading companies and for a hedge fund, developing the trading technology. "I built everything from the order managers and feed parsers to the low latency messaging systems, trading UIs and tick capture databases, machine learning libraries and trading engines," Roberts said. "In most cases, I developed everything (or most everything) entirely myself."

Surprisingly, Roberts said he used C++ sparingly. "I never really used anything very esoteric and, in fact, tended to rely on tools that were fairly common and unsophisticated. For example, back between 2001 and 2003, I wrote two entire HFT trading systems (one for option market making and the other for equity pairs trading) using VB6, which even back then would've struck many as silly. The reality was that the applications worked, they were reliable and they were fast (since VB6 is compiled)."

"Moreover," he continued, "I was very productive using VB6, which enabled me to get a lot more done than if I had attempted to build everything using C++. In fact, I would only use C++ for the very rare algorithm that needed an extra boost of speed, and the one I remember best as being slow in VB6 was the square root function, of all things!"


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Old July 31st, 2011, 06:18 AM   #2 (permalink)
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Have seen a lot written on HFT after the flash crash. Think the allure is the secretiveness of it all.

Programmers seem to be in high demand in almost every industry, just think the financial industry pays the best.

Good read, thanks

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Old July 31st, 2011, 06:28 AM   #3 (permalink)
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I think also what's at play is that an equilibrium is starting to form. When all these HFT's have to start working against each other, it's add an element of temperment against it. Imagine throwing a dog treat in the middle of 40 dogs all jockeying to get their teeth on the same small bone. Eventually, some of the dogs give up and go seek other trash bins to rummage through.

Spoofing second level orders, manipulating price to trap amateurs and force them out of positions, etc. If everyone is doing it, then the edge diminishes.

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
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