3 ms·

To be honest, I'd be a lot more worried about physics PhDs then I would interns. I've seen plenty of 20 year-old engineering students write solid low-latency co

To be honest, I'd be a lot more worried about physics PhDs then I would interns. I've seen plenty of 20 year-old engineering students write solid low-latency code. I can't say the same thing about string theorists. It'd be pretty unusual for junior or non-technical people to write code in "core" components of the system. Things like datafeed parsers, order handlers, inventory management, safety checks, networking libraries, exchange connections, etc. But even with all these layers in place, you still need an actual strategy to run at the end of the day. Everything in the quoter can be optimized to hell, but if the strategy module is spinning for 1000+ microseconds because it's running some bloated ML model, then none of that really matters. Usually the system engineers and the strategists are different people. Not always. Especially in the case of more straight-forward mechanical strategies. But anything reasonably complex usually requires dedicated quants with different skillsets than profiling C code.

petr_tik 6y ago
> But even with all these layers in place, you still need an actual strategy to run at the end of the day. Everything in the quoter can be optimized to hell, but if the strategy module is spinning for 1000+ microseconds because it's running some bloated ML model, then none of that really matters. From what I have heard, Optiver have a performance lab, which replicate real conditions with an exchange replayer and they can measure wire-to-wire latency for every release. Hiring people for their maths chops as quants, you probably don't expect them to know about HW-level optimisations at the beginning of their finance careers, which, I guess, is the reason for such a performance lab. Build tools that help people bring their best skills to the table and catch regressions.
rhodysurf 6y ago
This is exactly my experience working on CFD software with hydrodynamics phds haha they don’t care about the “little” things and will allocate and copy shit everywhere

petr_tik 6y ago

> But even with all these layers in place, you still need an actual strategy to run at the end of the day. Everything in the quoter can be optimized to hell, but if the strategy module is spinning for 1000+ microseconds because it's running some bloated ML model, then none of that really matters. From what I have heard, Optiver have a performance lab, which replicate real conditions with an exchange replayer and they can measure wire-to-wire latency for every release. Hiring people for their maths chops as quants, you probably don't expect them to know about HW-level optimisations at the beginning of their finance careers, which, I guess, is the reason for such a performance lab. Build tools that help people bring their best skills to the table and catch regressions.

rhodysurf 6y ago

This is exactly my experience working on CFD software with hydrodynamics phds haha they don’t care about the “little” things and will allocate and copy shit everywhere