5 ms·
You can troll through the job postings of most of these companies and learn about their org structures and tech stacks. When I looked almost nothing is public o
by WestCoastJustin 3y ago
You can troll through the job postings of most of these companies and learn about their org structures and tech stacks. When I looked almost nothing is public other than older documentaries. Nanex had some neat wiring diagrams and a few videos clips if you google them. Don't get too excited you're not going to learn about some super secret strategy or anything.
This book was good https://www.amazon.ca/Advances-Financial-Machine-Learning-Marcos/dp/1119482089 https://www.amazon.ca/Advances-Financial-Machine-Learning-Ma... in that is sort of explains at a high level how you'd build a company to look at something like this (think it was one of the last chapters). You'll need extremely deep/skilled hardware/networking groups, data acquisitions (think packet capture to data) folks, people to clean and maintenance massive the data repos, internal tool teams, quantitative analysts, traders, management/admin, etc. At this level just getting the fiber to each exchange likely costs many many millions. When you go and look through those job postings you can sort of slot these into your mental model of this flow and start to see how it might be put together.
That book is good but if you are new to the topic it will be almost unreadable. At least it was for me. I had to read it 3-4 times over the years and still find new things as my knowledge grows.
I don't know if rentec is a HFT firm or what strategies they use but this was a really good interview with one of the founders https://www.youtube.com/watch?v=QNznD9hMEh0 https://www.youtube.com/watch?v=QNznD9hMEh0.
- pid-1 3y ago> just getting the fiber to each exchange likely costs many many millions. I've never worked in US financial markets, but that's def not true in many countries. < 400 USD / month can set you a server + connection within a B3 datacenter (Brazil's largest and only exchange).
- fnordpiglet 3y agoWorse fiber is a terrible choice over what’s typically used in low latency trading (which is different than but related than high frequency) - typically microwave networks are used because you get good line of sight advantages and latencies are better. HRT, stryker, and others are heavily dependent on their microwave advantage.
- tonyarkles 3y agoJust to clarify this for people who don't know the EE details of this. Even direct point-to-point fiber suffers compared to microwave because of the velocity factor of the cables. What?! Inside a glass fiber, the speed of light is only about 70% the speed of light in free-space! Microwave in air, though, travels very very close to the free-space velocity of light.
- kasey_junk 3y agoI assume from the comment they mean from one exchange location to another, but even then it’s not true. Those routes are _overbuilt_ precisely because of HFT so getting on dark fiber for that is cheaper than other backhaul fiber. I’ve been out of HFT for a long time but when I was in it you could get onto the state of the art microwave networks between Chicago and the east coast for ~25k a month, which isn’t cheap but also not the biggest expense an HFT firm would have.
- deleted 3y ago[deleted]
- nonameiguess 3y agoI think some US firms may have dug tunnels beneath the Hudson river to be able to locate in Jersey City rather than Manhattan. That probably cost millions.
- hiatus 3y agoThey would probably use microwave vs tunneled fiber.