The hordes of programmers are the problem, not the solution. Every time you post, you sound more like a back office IT guy than a trader. There's nothing wrong with being that, but, perhaps you just haven't seen strategies in markets/products that are still wide enough to exploit from a trader's desktop. No need to handle millions-of-ticks per whatever, and no tech department involvement, thankfully. Meh, whatever mate. I built a bigger algo for an i-bank while dealing with silly internal IT "processes", then built it again for myself, and, yes, only took about 200 lines of code for the trading strategy. The IB API handles much of the other grunt work. If you're into grunt IT work, exchange connectors, or fix message engines, etc, then yes, you or some poor bastard in Bangalore will have to write thousands of lines of cryptic exchange specific slop. But that's just infrastructure. It doesn't make the P/L. No upside in getting involved in that sort of thing, unless "like" it, and enjoy working the India shift. It's not easy, and there is no real shortcut through open source platforms. But, if you know where you're going, it can come down to a small amount of good code to build a strategy. Back to my main point - Software architecture does not solve the "profitability" problem in any way.
you PM me to suck information regarding backtesting strategies and now you disparage me when I simply state the truth? At least do not kiss up to the ones you later trample on. A systematic trading nor back testing platform cannot be built with couple hundred lines of code, call me whatever and categorize me in whatever way you want, I cannot take you seriously if you state anything to the contrary. Maybe you equate a spread sheet with couple lines of VBA code with a systematic trading business in that case you are mistaken but I would get your point at least. I realize that you are completely un-knowledgeable about this niche. I recommend you stick to discretionary day trading and keep on joking about the programmers who work on the high frequency side of things, it does not look this business will ever become your bread and butter. I admit I am not your typical big-mouth traditional Salomon Bros. type trader, I came to my first trading desk with a highly quantitative Master's degree and need to know quite a bit about programming in order to understand what can be done and what not as soon as I got fully into the systematic trading space. By the way, most top programmers currently earn a higher base salary AND cash bonus than top traders within investment banks, well, this past year at least since bonuses have been capped. In that sense I do not understand your apparent aversion to programmers. I consider programmers my most important counter parts, more important than a boss, more important than other traders because they make up half of the business in terms of implementation. So, feel free to joke about whatever you know but I reserve the right to not further comment on your unqualified opinions, unless you start to educate yourself what is really going on in this arena. P.S.: Everyone utilizes open source software components, every systematic trading desk at Goldman, every DMA desk at investment bank xxx(fill in the blank) EXACTLY BECAUSE it provides huge shortcuts, saved time and avoided bugs because it has been developed and tested by many users. Gosh you start to make me laugh because you make yourself sound truly stupid. And yes, infrastructure does not account for the profitability side of systematic trading but very much does it account for avoiding HUGE losses, losses that can cost an invaluable amount in goodwill, trust, regulatory sanctions, trading halts, customer defections, above potentially costly losses that could close down a whole trading desk.
And sorry I did not read the latter part of your post and had something to add: You are full of shit!!! Lol, if FIX connectors, proper order handling, handling of error messages, handling of rejects, handling of partial fills is not important to you or you think its not implemented in close interaction with the actual quant traders then you indeed know shit about this business. Enough said!!!
Yeah, that was a while ago. No kiss up there mate, and I didn't get anything useful from it. I gave and did not receive, but no hard feelings. Well it was my bread and butter for a while, professionally. Tougher game now, especially for an individual. Everyone's pretty fast. Most of the traditional arbs are gone, but still something there for a virtual market maker, if you're in the right place, with the right costs. I wouldn't call that discretionary. Different attitude to tech & quants on the desks I was on. Mostly ex-Salomon guys actually now I think about it. Floor boss too. Perhaps it's a firm culture thing. Unlikely but possible. Come on, you know that's not right. Some coders may earn higher bases than a VP level traders, but it stops there. There are plenty of SVP, Director, & MD level traders, but zero tech guys at that level. My point is that the open source parts of trading systems are the utility parts, only. Generic infrastructure. The value added part is the strategy. That's the elegant part, and it's usually more pricing & microstructure related than tech/latency/architecture, and often not that many lines of code. There's no open source quoting strategy that's worth anything. Agreed. Same with any other generic banking IT. Credit card processing systems <yawn>, ATM networks <yawn>, payroll processing systems ... That's why it's outsourced to ChIndia. No value added. Just a cost of doing business.
Well that's not very nice. The tools mentioned are important, yes, but surely you realize most of that is far far away from a trading desk these days. Every i-bank has pretty reliable DMA, and the algo desks tend to just use it (as an agency customer would), without having to be involved with any annoying internal tech staff. Once again .. it's just infrastructure. As an example .. someone dealing bonds over the phone doesn't care how the phone works .. Perhaps I'm wasting my time with this. - If you like building connectors etc, that's ok. I mean, sure, I see there's a technical challenge there, for the sake of demonstrating neat engineering.
...very bad comparison with the systematic trading business. Quant and systematic traders do need to know how exchange connectivity works. If you have no idea about latency figures, throughput and a whole lot more how can you design strategies that take advantage of frequent order book changes? You may work for months on a strategy only to figure out it cannot be realized because the infrastructure simply does not support it. I lost my patience with you because you want to sound like you know this stuff but its blatantly clear you simply do not. I can only repeat myself: Every quant trader AT THE TRADING DESK of any major investment bank, hedge fund, or hft house is intricately familiar with at least 2 programming languages, the finest details of order routing logic, latency figures, order book mechanics. What you described as being outsourced to India does not even exist in India nor would any of them understand how to properly deal with it. Secondly, Deutsche Bank paid a top cash bonus of 125,000 USD, similar figures were paid at CS, UBS, GS, and most other banks. No matter whether a trader made 100 million last year or not, the max cash bonus a trader took home was 125k. (Please keep in mind I did not talk about stock awards). Contrast that with a top quant or programmer who was paid about 2 times what his MD front-office desk heads made in base salary. I know guys who work within a pure quant programming job and they took home 700k last year in cash. No MD that I heard of is paid that in base salary, at least not last year. I am strictly speaking of investment banks not hedge funds. You may also want to look up who is the top earner every single year for 10 years straight at Interactive Brokers. Its not any trader of their prop group or market maker at Timber Hill, its not the CEO, its not a sales person, its the CTO, the head infrastructure guy and programmer who came up with most ideas of what IB's technology infrastructure today looks like. Still think those are all just some little sausages at the bottom of the food chain??? You do not need to believe me, you claim you are somewhat affiliated with this industry then you should be able to have access to those in the know. P.S.: And yes, the primary job of a top paid quant is to develop strategies that generate high Sharpe ratios and that can be leveraged and/or diversified. I never claimed anything to the contrary I said this is only part of the story. In order to generate such strategies you need to know the whole story not just 200 lines of strategy code.
I think I'm done with this. "amazing", you don't seem like much of a people person, nor someone who's particularly intellectually curious. If someone said to me, that they could fit a basket trading algo into a couple of hundred lines of code, I'd be asking questions, rather than screaming about tech stuff. Also, it's strange to me that you aspire to be a CTO, rather than a desk head. But, each to their own I guess. Good luck with your strategies, and coding. Hope it works out for you.
This really caught my attention. I'm an aspiring quant in an MFE program, with a tech background. Good to know such figures are a possibility at the end of the road (albeit at the very top end).
Yes, I would pretty much consider this top end. And those figures were paid to those (at least the cases I heard about) who actually drove the business pnl wise through either designing successful trading strategies, advanced pricing engines (please check on Riccardo Rebonato, he is (or was...lost touch of his latest move) a quant who drove Barclay's rates derivatives pricing framework), or top level programmers who took home such sums. The times of striking it big as trader in investment banks, including Goldman, are definitely over for good. There is no arguing about it, it a mere fact. Good luck in your studies care to share which specific program you are in?
I am glad you came to the same conclusion. A word for the way though: * Whether I am a people person or not has nothing whatsoever to do with this discussion so I do not see much purpose of bringing it up * I would not be running my own business if I was not extremely intellectually curious. I would not know several programming languages inside out that I purely self-taught. After having started as pure quant I moved on to prop trading for several banks and hedge funds without much of a hard core programming background. * Nothing whatsoever in my posts hinted at the fact that I aspire to be a CTO. I stated that I run my own firm, you can draw whatever other conclusions from that or believe it or not Thanks for wishing me good luck, it already works out quite well. Also hope your 200 lines of core strategy code make a killing for you for many years to come ;-) I think your thread related content was completely bollocks and you should not even post in threads as this but hey, its a free world...