7 ms·

As someone who does quant trading professionally and game development as a hobby, they both are performance sensitive, but they emphasize different kinds of per

As someone who does quant trading professionally and game development as a hobby, they both are performance sensitive, but they emphasize different kinds of performance. Trading is about minimizing latency while video games are about maximizing bandwidth. Video games try to cram as much work as possible within about 16 milliseconds whereas for most trading algorithms 16 milliseconds is too slow to do anything, you want to process and produce a response to input within the span of microseconds, which is 3 orders of magnitude faster than a single frame in a video game. The problem spaces really are quite distinct in this respect and a lot of techniques from one space don't really carry over to the other.

nickelpro 2y ago
Of course, time spans are different. But read the paper, it's dealing with incredibly basic techniques. When we're speaking on the level of "data should be in cache" and "cold code should be far away from the hot path" the fields are practically identical. You're entirely correct that quant work is dealing with pure latency in situations where game engines might amortize throughput over multiple frames. But a question about "how do I get started in performance/latency work?" isn't usefully answered by "get a Hudson River Trading internship".
- Maxatar 2y ago
  On that point we certainly agree.
ssfrr 2y ago
I'm curious how HFT relates to pro audio programming. The timescale is close to gaming (usually <10ms for desktop PC work), but you really care about the tail of the distribution. All the audio processing happens in a high-priority callback that's called for every audio frame and needs complete within the time budget, so you typically never allocate, do IO, or use any blocking synchronization primitives [1]. It's not hard real-time like you're going to crash your car, but if you miss your deadline it causes an unacceptable and audible glitch. I've always been a bit surprised that Jane Street uses OCaml. I know they've put a lot of attention into the GC, but it still seems fundamentally indeterminate in a way that would make most audio devs nervous. [1]: http://www.rossbencina.com/code/real-time-audio-programming-101-time-waits-for-nothing http://www.rossbencina.com/code/real-time-audio-programming-...
- steve1977 2y ago
  In audio, you can usually tolerate a few milliseconds of latency (more when mixing, less when recording). This means you can buffer your audio stream, for example in blocks of 64 or 128 samples. As far as I know, these millisecond latencies are orders of magnitude higher than what would be tolerable in HFT. There the units are microseconds and nanoseconds.
- deleted 2y ago
  [deleted]
- dintech 2y ago
  Audio has a lot of buffering behaviour that you wouldn't generally see in event-reactive HFT. Think of all the plugins that you know of that have non-zero latency, compressors with 'lookahead' etc. There are maybe some similarities where the logic is more complex (loop unrolling, SIMD and so on) but I feel like plugins are generally optimizing for throughput (CPU usage) and quality (oversampling etc) rather than purely latency in most cases.
  - ssfrr 2y ago
    I guess the difference I'm interested in is whether HFT tends to be "realtime", in the sense that there's a hard deadline that you need to hit every time. Put another way, audio is operating on a much longer timescale, but cares a lot about worst-case latency (as well as throughput and quality). Is that true of HFT also, or are they more concerned with average latency? If computing a trade takes too long, can they just discard it, or is it catastrophic to miss that deadline?
    - hermitdev 2y ago
      I can't go into too much detail (I currently work at an HFT, but not on the HFT bits), but some of the FPGAs make decisions without even seeing a entire packet coming in on the wire. Latencies are more often measured in nanos than micros from what I've seen lately.
      - 2y ago
atomicnumber3 2y ago
"which is 3 orders of magnitude faster than a single frame in a video game." You're right on the money. I worked in HFT for half a decade. Back in the late 2000s you were on the cutting edge if you were writing really good C++ and had overclocked some CPUs to hell and back and then shoved them in a rack in a datacenter in new jersey. "To hell and back" means "they only crash every hour or two" (because while they're up, they're faster than your competition). Around the mid 2010's it had moved entirely to FPGAs. Do something smart in software, then give the FPGA something dumb to wait for (e.g. use software to produce a model and wait for some kind of alpha to develop, then tell the FPGA "ok wait for X > Y and fire the order" was basically the name of the game. And it was often better to be faster than it was to be smarter, so really you just kept the FPGA as simple and fast as possible. At that point, your hard realtime constraints for the language doing the smart stuff really dissolve. Compared to an FPGA getting an order out the door in some fraction of a mic, a CPU doing anything is slow. So you might as well use python, yknow? People also play all kinds of different speed games. There's latency races around NJ and chicago where microseconds matter around price movements and C++ isn't really part of the picture in a competitive way anymore, but that's not to say someone isn't ekeing out a niche where they're doing something vaguely smarter faster than opponents. But these things, at scale, tend to be questions of - either your alpha is very short-lived (microseconds, and if it isn't organically microseconds, it will be competed until it is), or it is fundamentally longer-lived (seconds to minutes?) and you might as well use python and develop 100x faster. The silly thing is, the really good trades that focus on short-term alphas (ms's and less) are generally obviously good trades and so you don't have to be super smart to realize it's a really fucking good trade, you had better be fast and go get it. So there's also this kind of built-in bias for being fast because if a trade is so marginally good that you needed a crazy smart and slow model to tell it apart from a bad trade, it's probably still a relatively crummy trade and all your smarts let you do is pick up a few extra pennies for your trouble. I'll close by saying don't take my words as representative of the industry - the trades my firm specialized in was literally a dying breed and my understanding is that most of the big crazy-crazy-fast-microwave-network people have moved to doing order execution anyway, because most of the money in the crazy-crazy-fast game dried up as more firms switched to either DIYing the order execution or paying a former-HFT to do it for them.
- 2y ago

nickelpro 2y ago

Of course, time spans are different. But read the paper, it's dealing with incredibly basic techniques. When we're speaking on the level of "data should be in cache" and "cold code should be far away from the hot path" the fields are practically identical. You're entirely correct that quant work is dealing with pure latency in situations where game engines might amortize throughput over multiple frames. But a question about "how do I get started in performance/latency work?" isn't usefully answered by "get a Hudson River Trading internship".

Maxatar 2y ago
On that point we certainly agree.

ssfrr 2y ago

I'm curious how HFT relates to pro audio programming. The timescale is close to gaming (usually <10ms for desktop PC work), but you really care about the tail of the distribution. All the audio processing happens in a high-priority callback that's called for every audio frame and needs complete within the time budget, so you typically never allocate, do IO, or use any blocking synchronization primitives [1]. It's not hard real-time like you're going to crash your car, but if you miss your deadline it causes an unacceptable and audible glitch. I've always been a bit surprised that Jane Street uses OCaml. I know they've put a lot of attention into the GC, but it still seems fundamentally indeterminate in a way that would make most audio devs nervous. [1]: http://www.rossbencina.com/code/real-time-audio-programming-101-time-waits-for-nothing http://www.rossbencina.com/code/real-time-audio-programming-...

steve1977 2y ago
In audio, you can usually tolerate a few milliseconds of latency (more when mixing, less when recording). This means you can buffer your audio stream, for example in blocks of 64 or 128 samples. As far as I know, these millisecond latencies are orders of magnitude higher than what would be tolerable in HFT. There the units are microseconds and nanoseconds.
deleted 2y ago
[deleted]
dintech 2y ago
Audio has a lot of buffering behaviour that you wouldn't generally see in event-reactive HFT. Think of all the plugins that you know of that have non-zero latency, compressors with 'lookahead' etc. There are maybe some similarities where the logic is more complex (loop unrolling, SIMD and so on) but I feel like plugins are generally optimizing for throughput (CPU usage) and quality (oversampling etc) rather than purely latency in most cases.
- ssfrr 2y ago
  I guess the difference I'm interested in is whether HFT tends to be "realtime", in the sense that there's a hard deadline that you need to hit every time. Put another way, audio is operating on a much longer timescale, but cares a lot about worst-case latency (as well as throughput and quality). Is that true of HFT also, or are they more concerned with average latency? If computing a trade takes too long, can they just discard it, or is it catastrophic to miss that deadline?
  - hermitdev 2y ago
    I can't go into too much detail (I currently work at an HFT, but not on the HFT bits), but some of the FPGAs make decisions without even seeing a entire packet coming in on the wire. Latencies are more often measured in nanos than micros from what I've seen lately.
    - 2y ago

atomicnumber3 2y ago

"which is 3 orders of magnitude faster than a single frame in a video game." You're right on the money. I worked in HFT for half a decade. Back in the late 2000s you were on the cutting edge if you were writing really good C++ and had overclocked some CPUs to hell and back and then shoved them in a rack in a datacenter in new jersey. "To hell and back" means "they only crash every hour or two" (because while they're up, they're faster than your competition). Around the mid 2010's it had moved entirely to FPGAs. Do something smart in software, then give the FPGA something dumb to wait for (e.g. use software to produce a model and wait for some kind of alpha to develop, then tell the FPGA "ok wait for X > Y and fire the order" was basically the name of the game. And it was often better to be faster than it was to be smarter, so really you just kept the FPGA as simple and fast as possible. At that point, your hard realtime constraints for the language doing the smart stuff really dissolve. Compared to an FPGA getting an order out the door in some fraction of a mic, a CPU doing anything is slow. So you might as well use python, yknow? People also play all kinds of different speed games. There's latency races around NJ and chicago where microseconds matter around price movements and C++ isn't really part of the picture in a competitive way anymore, but that's not to say someone isn't ekeing out a niche where they're doing something vaguely smarter faster than opponents. But these things, at scale, tend to be questions of - either your alpha is very short-lived (microseconds, and if it isn't organically microseconds, it will be competed until it is), or it is fundamentally longer-lived (seconds to minutes?) and you might as well use python and develop 100x faster. The silly thing is, the really good trades that focus on short-term alphas (ms's and less) are generally obviously good trades and so you don't have to be super smart to realize it's a really fucking good trade, you had better be fast and go get it. So there's also this kind of built-in bias for being fast because if a trade is so marginally good that you needed a crazy smart and slow model to tell it apart from a bad trade, it's probably still a relatively crummy trade and all your smarts let you do is pick up a few extra pennies for your trouble. I'll close by saying don't take my words as representative of the industry - the trades my firm specialized in was literally a dying breed and my understanding is that most of the big crazy-crazy-fast-microwave-network people have moved to doing order execution anyway, because most of the money in the crazy-crazy-fast game dried up as more firms switched to either DIYing the order execution or paying a former-HFT to do it for them.

2y ago