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As someone who does kind of thing, I think while this is a good explainer, it doesn't explain the thing that actually makes it work. It can be fascinating to r

As someone who does kind of thing, I think while this is a good explainer, it doesn't explain the thing that actually makes it work. It can be fascinating to read about and obviously it's an immensely deep subject. But there's a tendency to focus on the pure intellectual "how do the prices move" models that doesn't take into account the business around how you actually get the model operating, both from an engineering point of view of "how do I code up the execution and housekeeping" and in the larger business sense of "how do I arrange the shop so that I am able to trade this model".

TheAlchemist 3y ago
This exactly. Working in the field too - I tend to think now that for quite a lot of this strategies, it's not really the genius idea behind that is worth money, it's all the accumulated knowledge about what could kill you that's getting incorporated into the system. Usually boring, tedious stuff create the best moat for the business. How do you make sure your ticker database is up to date, how do you make sure the dividends calendars are up to date, that you are trading the ticker you want to trade, and not the same name but on a different exchange and with a different fiscality, etc. It's a bit like the saying about startups - the ideas are worthless about execution.
tilne 3y ago
> how do I arrange the shop so that I am able to trade this model Any chance you could explain this a bit more? Intuitively it makes sense that this would be as important if not more so than the modeling itself, but I have no context for the difficulties encountered when implementing it.
- lordnacho 3y ago
  So for instance your model might need access to borrowing. In fact I know people whose entire trading strategy depends on being able to access shares to borrow in large size so that they can squeeze out a few bps of yield on certain situations. The guys who control the borrowing are picky about who they want to lend to. Or your model might need to be really, really fast. Not everyone can just have access to a microwave link. The guys with the microwave are also picky. Or your model needs certain kinds of data, which you will need to get certain vendors to sell you. You might have a need to trade multiple models at once, which are not profitable on their own (uncorrelated, share costs). This is a juggling act done often at the business level. For almost all trading you need some staff who know how to do things. It's not always the case that you just pay them a salary to do some job. Business decisions there as well.

TheAlchemist 3y ago

This exactly. Working in the field too - I tend to think now that for quite a lot of this strategies, it's not really the genius idea behind that is worth money, it's all the accumulated knowledge about what could kill you that's getting incorporated into the system. Usually boring, tedious stuff create the best moat for the business. How do you make sure your ticker database is up to date, how do you make sure the dividends calendars are up to date, that you are trading the ticker you want to trade, and not the same name but on a different exchange and with a different fiscality, etc. It's a bit like the saying about startups - the ideas are worthless about execution.

tilne 3y ago

> how do I arrange the shop so that I am able to trade this model Any chance you could explain this a bit more? Intuitively it makes sense that this would be as important if not more so than the modeling itself, but I have no context for the difficulties encountered when implementing it.

lordnacho 3y ago
So for instance your model might need access to borrowing. In fact I know people whose entire trading strategy depends on being able to access shares to borrow in large size so that they can squeeze out a few bps of yield on certain situations. The guys who control the borrowing are picky about who they want to lend to. Or your model might need to be really, really fast. Not everyone can just have access to a microwave link. The guys with the microwave are also picky. Or your model needs certain kinds of data, which you will need to get certain vendors to sell you. You might have a need to trade multiple models at once, which are not profitable on their own (uncorrelated, share costs). This is a juggling act done often at the business level. For almost all trading you need some staff who know how to do things. It's not always the case that you just pay them a salary to do some job. Business decisions there as well.