physguy1123

10 ms·

31.
by physguy1123 8y ago
I'm pretty sure you misunderstand market orders because by definition they are only visible to the market after they have traded, so nobody can get ahead of you or do sonething irrational before your order lands. I would agree that mar
32.
by physguy1123 8y ago
I know of certain firms that will never reject retail orders unless they're truly invalid and will just fill at a loss to keep their flow.
33.
by physguy1123 8y ago
Market makers have absolutely no incentive to quote tight spreads up until the last minute where they might have some idea about the price, or maybe not so they don't quote at all. A lot of 'alternative solutions' to the cont
34.
by physguy1123 8y ago
Manning rule dictates that retail orders held by a market maker must be filled before any other orders (or equally that fills must be given to the retail order), brokers don't look kindly on firms that reject customer orders with any r
35.
by physguy1123 8y ago
Vanguard states that hft activities have lowered their trading costs, so I don't think this claim is necesarily true.
36.
by physguy1123 8y ago
You might never exercise the option, but you could probably resell the option at a far higher price
37.
by physguy1123 8y ago
With options, buying deep OTM puts won't result in an immediate impact on the underlying market because they have such low delta and market makers aren't going to move a lot of spot to hedge it.
38.
by physguy1123 8y ago
Quant finance has been doing this stuff for years, high frequency or not, market or non-market data, deep learning or not. In general, quant finance did (big data, cloud orchestration, machine learning, neural nets, realtime web app stuff,
39.
by physguy1123 8y ago
None of the market makers as far as I know consider retail orders to carry any information at all, which is precisely why they love then so much. They can fill retail orders with no real concern about adverse selection (unlike on an exchang
40.
by physguy1123 8y ago
That's easier said than done. If you don't already have proper market making infrastructure and strategies you'll probably lose money trying to do that. Add in market makers paying per order and it doesn't make sense
41.
by physguy1123 8y ago
You need differential calculus in R^n, but there's no need for the full force of differential geometry. Also, I don't think that measure gains much in terms of understanding, but it certainly is needed to do some proofs the proper
42.
by physguy1123 8y ago
To be honest most of those are covered at a good-enough level in the sophomore and junior years of a math undergrad. You don't need measures, differential geometry, or even epsilon-delta analysis to do ML which pins the calculus requir
43.
by physguy1123 8y ago
> It sounds like a CS degree where the electives are predetermined. Why couldn't they just make this a concentration when it's so intimately intertwined with CS Unless they really mean "CS-degree with surface level knowled
44.
by physguy1123 8y ago
Unless you mean some sort of differential topology, those are rigorously covered in and respectable math undergraduate.
45.
by physguy1123 8y ago
A lot of relatively fixed-function peripherals tend towards hardware, but the industry is moving away from pure speed (alternative interpretation: pure speed people failed) and for many strategies software can be more than fast enough and t
46.
by physguy1123 8y ago
I use this all the time, it's a wonderful tool! One feature I would really like is the ability to have multiple text filters, either as part of the query or explicitly. I often find myself searching for a certain intrinsic (or family o
47.
by physguy1123 8y ago
Nobody will tell you about the platform itself because those are closely guarded secrets. A more specific description of the problem might help though. There's a huge amount of data in many forms, a huge amount of unpredictable major e
48.
by physguy1123 8y ago
Send an email to the address in my profile. A team in my company is looking for talented hardware engineers and pays above what you want, along with great work/life balance and benefits.
49.
by physguy1123 8y ago
FPGAs are certainly extremely useful but most hft is moving away from purely speed focused stuff. Only one place that I know of does asics like that and it was a complete boondoggle. The difficulty of changing, printing and verifying an as
50.
by physguy1123 9y ago
Copy and clone have specific meanings and must resolve to the type of the class itself - basically copy or cloning a class of type A gets you another class of type A always. It's possible, from a language sense, to have an implementati
51.
by physguy1123 9y ago
> there is a trait of Material that has a function on it, and then there are different "implementations" of Material with different implementations of that fn, and can have arbitrary data stored against them. Do you mean like a
52.
by physguy1123 9y ago
> In any case, my point remains the same: it is very challenging-- at least for someone used to just creating data structures and letting GC handle it-- to build code that does what you want, and you spend large amounts of time "fig
53.
by physguy1123 9y ago
There's nothing at all preventing you from having a Vec in a struct, and the use cases for variable sized structs are pretty rare. It sounds more like you conflated having a different problem with having a Vec be in a struct and stuff
54.
by physguy1123 9y ago
This is certainly true of most stock-picker type hedge funds, but there are legitimate strategies that aren't a shirty replication of an index fund. Unfortunately, stock-pickers have somehow become most of the industry seem to be most
55.
by physguy1123 9y ago
> With regard to entering the industry, it's pretty hierarchical, and can be siloed: techies do tech, traders do trading, and there's not much crossover. Not really true. It's true that there are software roles that don&#x
56.
by physguy1123 9y ago
This is just a relative jump instruction and on intel can be just 2 bytes, although an ignop might fit into one. It wouldn't solve the icache problem though. Also, writing to data inline with code would be super problematic performance
57.
by physguy1123 9y ago
That's why I said it's tricky to deal with interrupts, but possible if the effort is worth it to the use case. One could run the code in a kernel module which masked interrupts or use restartable sequences and cleared sse in the k
58.
by physguy1123 9y ago
SSE registers will never get stored to ram without emitting explicit instructions (or getting an interrupt) to do so on any Intel/amd cpu as far as I know. It can be tricky to deal with such situations, but if you have a stretch of cod
59.
by physguy1123 9y ago
I reliably see gains from unrolling relatively simple loops on very recent cpus. Going to 8+ iterations is usually overkill, but it can help. Sometimes one can split a dependency chain by unrolling as well.
60.
by physguy1123 9y ago
Trades made with/without insider knowledge reveal the same amount of information to the market since the market doesn't know what made you decide to trade. It's illegal for a few reasons - it encourages quid-pro-quo relations

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