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> As a quant, you have to optimize for getting stuff done quickly at all costs. In software engineering, there’s more focus on testing, maintainability, and rea
by claytonjy 4y ago
> As a quant, you have to optimize for getting stuff done quickly at all costs. In software engineering, there’s more focus on testing, maintainability, and readability.
I would have expected the opposite! I've never been a quant and have mostly done software/data science at smaller companies where there's very little focus on testing/maintainability/readability. I'm sure at bigger tech enterprises those things are stressed more. I figured a hedge fund would also care a lot about those things, at least testing, because a bug can cost a lot of money in a very direct way. How do quant shops get away with looser software practices?
- isotropy 4y agoOften you separate the feature exploration environment from the infrastructure that executes a strategy. You may need to rebuild the feature calculation before deploying it into prod, but if you try to provide the quants with solid enough tools so they explore the statistics of features and models without having to think much about the built in error handling, that can work well to avoid the rewrite step. You probably end up wrapping numpy and pandas with a very opinionated internal view of how the business handles the kind of edge cases your team sees in your data.