
What the interns have wrought, 2020 edition - yminsky
https://blog.janestreet.com/what-the-interns-have-wrought-2020/
======
davidu
For those who don't know, Jane Street is one of the best performing
algorithmic trading firms on Wall Street. Probably the largest Ocaml shop on
earth.

It's a lucrative job for strong programming talent. Engineers there routinely
make well over $1mm/year (edit: after a few years).

They are similar to Two Sigma in tech focus and talent, which is a more well-
known firm.

~~~
fractionalhare
"Routinely" is doing a lot of heavy lifting. I can confirm it's possible, as
I've been in the industry and have spoken to people who make seven figures at
Jane Street. But I would rather say it's "reasonably attainable" for an
engineer who has been there for at least five - seven years and is really
hitting their stride with the type of work. They _do_ routinely beat out top
tech compensation, and most engineers there are doing quite well - in the mid
- high six figures. This is still saying a lot, since it's not really
reasonably attainable for someone to hit seven figures per year even in FAANG
- that would require an exceptional package at L7/E7, a good package at L8/E8,
or very lucky timing and significant stock growth at L6/E6. Most engineers
will never reach those levels.

There is a caveat to mention: keep in mind that compensation at these firms
exhibits survivorship bias. A new grad engineer at Jane Street will receive
around $300 - 400k all in first year compensation: around $150k base, $150k
guaranteed end year bonus and $100k sign on bonus. From there, what typically
happens is further recalibration a year later. Either you're good enough to
maintain at least that level of comp, and you stay, or you're out within a
year or two.

This means that you may not get an initial pay raise by joining, if you're
extended an offer. Engineering offers from top trading firms are often an
initial paycut, or an equivalent package, for anyone who is senior or higher
at a place like Google and Facebook. You don't generally get to really
significant compensation beyond tech until you're a few years in, and implicit
in that assumption is that you'll actually stay there.

So let's say you're a new grad with offers from Jane Street, Citadel, Google
and Facebook. You'll probably get $400k from Jane Street and Citadel and $200k
from Google and Facebook, including sign on bonuses. If you join one of the
trading firms right out of school, you'll develop an affinity for the work
faster (if you're good enough to stay), and you can reasonably expect to make
up to $1M/year by the time you're 30.

But now let's say you're L6/E6 at Google/Facebook. Maybe you're 30 and have
$500k total compensation per year. Jane Street isn't going to offer you
significantly more than half a million a year just because of your level in
tech, unless they have a really pressing need and you're an industry expert.
You will probably receive about the same package, with the possibility of
making significantly more after developing more experience with their tech
stack and work, after a year or two.

The "shock and awe" competitive packages are given to new grads who can be
developed from day one, but senior hires require further calibration. There is
a ceiling on what trading firms are willing to offer people who have
exceptional promise but otherwise no domain experience in finance.

In any case the people I know at Jane Street are consistently exceptional. I
highly recommend the firm if you're interested in their work. Likewise Hudson
River Trading has a very similar profile but is smaller and has more of a
startup feel to it.

~~~
lowiqengineer
This comment really did not help my depression as someone that makes $150k two
years into a FAANG job. I've never even been able to get interviews from HRT
or Jane Street, and my Citadel offer was less than $200k...

~~~
fractionalhare
Comparison is the thief of joy. You are more than your work, and I would say
you'll always be unhappy if you define your identity or your success by how
much money you earn. Someone around you will always earn more than you, or
have some other successful characteristic that you do not.

That being said: while it's not perfectly meritocratic, I would say tech and
(this side of) finance is uniquely attainable for someone who has the
determination and tenacity to build the requisite skills. You don't need to
have gone to a particular school. Barring a felony, your past choices in life
will not hold you back.

If you already got into one of FAANG, you almost certainly have a strong
baseline skillset already. If it's really important to you, focus on achieving
further mastery of your craft and figure out what you need to do to pass an
interview at this kind of firm.

~~~
lowiqengineer
> or have some other successful characteristic that you do not.

That's both fair and true, but I'm someone without _any_ successful
characteristics.

> You don't need to have gone to a particular school.

All of the interns in question went to top schools of course :)

> If you already got into one of FAANG, you almost certainly have a strong
> baseline skillset already

While I wish that were true, unfortunately, the FAANG is Amazon so I don't
think that's much proof of anything. I would work towards achieving mastery of
what I would need to do to pass an interview, but I can't even get an
interview - again, because of my current company and undergrad.

~~~
tcoff91
You are making 3x the median family income for this country while getting to
work from home and stay safe from COVID-19. The job market is imploding around
us while we work cushy tech jobs. Abject misery abounds as people lose their
loved ones and their livelihoods.

It comes off as as quite tone-deaf when tech people complain about their $150k
salaries. There are way too many entitled people in tech who have never worked
a shit minimum wage job in their lives.

Look, if you really want to make it to a company like Jane Street, there IS a
path. It's not a path that many have the energy to take but it's there. If you
are having trouble getting interviews you can do a ton to produce content
needed to raise your online profile. You can make lots of meaningful open-
source contributions on github. You can produce great blog content. You can
code live on twitch and develop a following. If you combine that with actually
developing the algorithmic chops to pass their interview process, you can get
into a company like Jane Street.

I personally don't view maximizing my income at the expense of all else in my
life as a good way to live so I won't be grinding it out to get one of these
jobs, but if that's what you really want then the path is there. But you
probably will still be unhappy once you achieve it if you're unhappy right
now.

And don't be so hard on yourself. If you've made it as far as you have, you
definitely have successful characteristics. You're not special, and that's OK.
But just because you're not special doesn't mean you don't have successful
characteristics.

~~~
pb7
>It comes off as as quite tone-deaf when tech people complain about their
$150k salaries. There are way too many entitled people in tech who have never
worked a shit minimum wage job in their lives.

Seems quite tone-deaf to compare yourself to the worst off. It's easy to pat
yourself on the back for not having to sleep in the dirt but that's not a very
high bar, is it? Some people want to have purpose and to keep growing and
becoming better and more successful -- it's not tone-deaf to want that. And
you don't have to absorb the misery of everything that's happening around you
or you won't have time to do anything else.

~~~
lowiqengineer
I've seen your username before on CSCQ. Tell me - is there any hope for people
like me? Any way that I can come even close to matching your total
compensation anytime soon (Which I'm assuming is around $350kish)?

------
BooneJS
Bravo for not only having internships that matter, but highlighting them as
well.

~~~
kyawzazaw
A few other places do this too.

~~~
noir_lord
..and a lot of places absolutely don't.

Let us celebrate the successful ones who do eh.

------
jolux
I completed the interview process at Jane Street last year and received a
verbal offer after my on-site which they then proceeded to rescind while we
were discussing pay ranges, claiming they had decided instead to fill the
position I applied for with internal staff. Their recruiter handled it with a
high degree of professionalism but the experience left a bad taste in my mouth
nonetheless.

~~~
PragmaticPulp
Sorry to hear about your experience.

I have to ask: Who gave you the verbal offer? Was it an internal recruiter,
external recruiter, or the company's HR department?

I mentor a lot of college students. They're always very nervous about the
possibility of rescinded offers despite how rare it is in practice, so I'm
curious about the details of your situation.

When mentoring people, I always advise people to never assume an offer is a
done deal until you've received the official offer letter with compensation
details and a start date. Unethical recruiters are notorious for misleading
candidates into thinking the job is a sure thing in order to discourage them
from interviewing elsewhere.

When mentoring hiring managers, I emphasize the importance of never misleading
candidates into thinking they have a job until we send the official offer
letter. It's common for new hiring managers to get so excited that they give
the candidate too much information too early. Even simple statements like, "We
were really impressed with your performance and now I'm going to work on
getting you an offer" can be disastrously misleading to candidates who don't
realize that their interviewer/recruiter isn't the only decision maker in the
process.

~~~
chrisseaton
> I always advise people to never assume an offer is a done deal until you've
> received the official offer letter with compensation details and a start
> date

They can still rescind at that stage as well though can't they - it's no more
concrete, legally, is it?

~~~
wolco
You could sue at that point.

~~~
bigwavedave
For what, exercising the "at-will employment" clause that's in most non-
contractor employment contracts? You could no more sue them at that point than
they could sue an employee for not giving two-weeks notice. Please don't
spread misinformation.

~~~
wolco
In Canada this is not true and can be backed up with cases.

If you live in an at-will state I completely understand you would have few
rights.

An employer can sue you for two weeks and any damages that comes from that
event.

~~~
Kranar
You mention Canada as though we have one unified set of laws, but that is not
the case. In Ontario, for example, I can fire an employee without cause prior
to their first day of work or even on their first day of work but before they
official start and I am not required to pay them anything.

To the best of my knowledge, most of Canada follows the same rules and the
only province that is likely to differ about this is Quebec.

------
polote
Let me know if I'm wrong, but it seems like Jane Street is going contrary to
the HN common belief that a lot of things should be "buy" instead of "build"
and yet they are quite successful

~~~
johnisgood
Yep, and they use OCaml! I always feel like I have to point it out since
people do not think much of it, have lots of misconceptions of it, and so on.

~~~
jkaptur
I guess I might have some misconceptions of OCaml. Are there other companies
that use it? I ask because whenever someone says "OCaml is used in industry,
for example, Jane Street", they say it like it's just one example, but it's
_always_ Jane Street.

~~~
angio
The OCaml website lists some companies it [0], I think there are a bunch of
new blockchain startups that are also using OCaml but are not on that page.

[0]
[https://ocaml.org/learn/companies.html](https://ocaml.org/learn/companies.html)

~~~
non-entity
Is there something about purely functional languages that make them attractive
to blockchain applications? I remember a post on here a little while ago
complaining about Haskell adoption in industry was being mostly led by
cryptocurrencies.

~~~
nesarkvechnep
Just to make it clear, OCaml is not purely functional.

~~~
non-entity
Oh sorry, not sure why I thought it was.

~~~
johnisgood
Yeah, it most likely is not. I mix imperative, OOP, and functional all the
time. Parts of my codebase that has to do with algorithms are written using
imperative style, the "public API" is OOP (class, object, methods) which makes
the use of my library a breeze, and the rest is functional.

To give you an example of how you would use some crypto-related library that
implemented its API (?) in OOP:

    
    
      let x = new Foo.bar in
      x#absorb a;
      x#squeeze b;
      x#reset
    

Or take a look at:
[https://github.com/xavierleroy/cryptokit/blob/master/src/cry...](https://github.com/xavierleroy/cryptokit/blob/master/src/cryptokit.ml?ts=2#L1023)

This (this entire file) is a great example, too!

------
gautamcgoel
I know a guy who works at Jane Street; he was formerly one of the brightest
undergrads at Caltech. He turned down an offer to do a PhD at Berkeley to take
the Jane Street offer, IIRC. He is pretty idealistic and has an interesting
philosophy about working in finance: he thinks moving money around isn't that
societally valuable, but he donates 10-15% of his income to charity each year
(I think he picks charities using the GiveWell/effective altruism
methodology). In his view, the value of his lifetime charitable contributions
exceeds the impact he could hope to have in pretty much any other field of
endeavor, so the job is completely worth it.

~~~
nwsm
> moving money around isn't that societally valuable

I would say hedge funds have massive negative social value (especially
quant/HFT ones), and actively contribute to wealth inequity. Robert Mercer is
a prime example of this. Not saying I think your friend is a bad person or
should quit, but it's kind of a naive justification.

~~~
yellowstuff
I'm curious why you think HFT is harmful. They do the same job that human
market makers used to do, buy vastly more efficiently, leading to lower prices
for "customers" (IE lower spreads), and lower profits for the industry:

> TABB Group estimates that US equity HFT revenues have declined from
> approximately $7.2 billion in 2009 to about $1.3 billion in 2014.

[https://web.archive.org/web/20140404072855/http://tabbforum....](https://web.archive.org/web/20140404072855/http://tabbforum.com/opinions/no-
michael-lewis-the-us-equities-market-is-not-rigged)

I mostly agree that Robert Mercer has been a force for evil in the world, but
subjectively my impression is that finance billionaires are more likely than
people from other industries to spend their money on relatively
uncontroversial philanthropy.

~~~
atq2119
HFT specifically is a form of largely zero-sums arms races. Is it _really_
useful to society if there are entities that issue orders with microsecond (or
less) response times rather than on the order of seconds or minutes? Yet a
significant amount of brainpower and resources is essentially wasted on this
problem.

The story about lower spreads is also rather dubious. I can believe that going
to sub-second HFT reduces spreads slightly, but what's the point? By how much,
exactly, is the spread reduced by going to the extremes that HFT goes to, and
how does it compare to just your regular intra-day swings?

What's useful to society at large is long-term capital allocation. Regular
people don't do day-trading, they place orders "at market" maybe a few times
per year at most (or perhaps monthly as part of an automatic plan). The loss
from intra-day variations will dwarf the measly reduction in spread that is
achieved using sub-second HFT.

So in that light, it's good to see that apparently HFT is becoming less
profitable.

~~~
t1lthesky
I think at this point the benefits of HFT to markets (lower spreads, more
liquidity, faster incorporation of information into prices) is pretty
undisputed. I'll let you do your own research, but just to address your point
about spreads:

When you participate in the market, the spread is the "price" you have to pay
to transact. When this goes down, it benefits all participants in the market,
and especially the ones that are doing "long-term capital allocation" you are
talking about. Rather than take my word for it, here's a quote from the CEO of
Vanguard: “From a data perspective, we can see what’s happened to our fund
shareholders over the last 20 years, and they’ve benefited by that reduction
in transaction costs.” [1]. If you're managing trillions of dollars of 401ks,
pension funds, etc, and you are constantly rebalancing your assets, buying new
allocations, etc, any tiny reduction in average spread is a huge savings on
net. A big part of the reason why there's been an almost universal reduction
in fund management fees, saving retirement savers an enormous amount of money
over the last 10 years or so is this reduction in spreads. This is absolutely
a huge benefit to society, and its almost entirely attributable to HFTs.

You're correct that it HFT is a zero-sum arms race, and maybe you could make
the argument that in an optimal allocation of society's resources, perhaps you
could have less than the current number of participants. But I think you could
actually make this argument about almost all lucrative & highly competitive
fields. If anything, HFT is _more_ productive per unit of labor, relative to
other sectors of society - that's why the compensation is so high!

The total number of programmers and quants that work in HFT, at least for the
5-10 significant players, is probably less than the number of programmers
Google alone employs (last I checked, there are about 30k programmers working
at google. There's almost certainly less than 30k quants and programmers
working at the main HFT firms). How many programmers do you "need" to optimize
ads for eyeballs? Or how many programmers do you "need" to make mobile phone
games? Or work on social networks? etc etc.

HFT is a small, niche, industry, and I think extremely productive per employee
relative to most other industries. It replaced the tens of thousands of manual
traders that used to be responsible for arbitrage and market making with
automated robots, dramatically increasing market efficiencies while reducing
the amount of human capital required to provide those services. It seems
pretty misguided to make the argument that HFT is somehow "bad" or a "waste"
of resources, given how much of an improvement it was to what there was
before, and also given how small the industry really is.

[1] [https://www.cnbc.com/2014/04/25/vanguard-chief-defends-
high-...](https://www.cnbc.com/2014/04/25/vanguard-chief-defends-high-
frequency-trading-firms.html)

~~~
atq2119
You may be confusing HFT with algorithmic trading in general.

You also disregard my whole point about just how high the HF in HFT needs to
be. One can easily imagine a market that operates in rounds of blind auctions,
one auction per second or one per minute or something along those lines. This
would take out a _lot_ of the arms race, and it's implausible that spreads
would be much higher in such a market in a way that would hurt other
investors: after all, you'd still expect competition between participants in a
way that drives their profits down.

> A big part of the reason why there's been an almost universal reduction in
> fund management fees, saving retirement savers an enormous amount of money
> over the last 10 years or so is this reduction in spreads.

That makes zero sense. A significant loss due to higher spreads wouldn't show
up in fund management fees, it would just show up as lower returns of the fund
_before_ management fees.

> If anything, HFT is more productive per unit of labor, relative to other
> sectors of society - that's why the compensation is so high!

That's at least doubtful. I would argue that compensation in HFT is high
because it sits adjacent to large streams of money. In practice, a lot of
compensation is ultimately about siphoning small fractions away from the
streams of money you're near to, and the size of that stream makes more of a
difference than almost anything else, but that's really only a form and
function of power -- it doesn't correlate with how productive you are to
society. (I suppose if you just _define_ productivity as compensation per hour
worked, as economists often do, then what you say is strictly speaking true,
but it's also kind of circular and therefore meaningless.)

------
909832
Does Jane Street and similar firms hire Math or CS PhDs with backgrounds in
theory?

~~~
Smaug123
I'm not at Jane Street, but at G-Research (also quant finance). Much as a joke
goes which I first heard in the Effective Altruism sphere, our quants come
from _all kinds_ of backgrounds: their PhDs are in fluid mechanics,
statistical physics, pure maths, you name it!

~~~
kyawzazaw
how easy do they switch to Quant finance? I don't know anything at all but it
seems like an entire new field to learn.

------
grugagag
Off a tangent but whenever I hear OCaml I can’t stop thinking about F#. I
started dabbling in F# in my spare time but time didn’t allow a deepdive. From
a few months of playing with it it seems like a solid alternative to other
languages and codebases appears to be easier to follow though I never used it
in the real world. Does anyone with real world experience have the patience to
write about it? Does using F# make coding fun again? Also, does it look like
F# will pick up in popularity anytime soon? Thanks

~~~
davidgl
I've been working with F# for about 5 years now, love it. The .net ecosystem
has a huge amount of libraries available, performance is excellent, and F# is
a joy to develop it.

~~~
grugagag
Thanks. Can I ask you what line of business your company is? Is it financial
by any chance? Thanks

~~~
davidgl
Healthcare

------
ChrisMarshallNY
Damn. You gots some sharp interns.

Good show!

------
andreasvc
What are the advantages of Re over Re2?

~~~
thedufer
There might be others, but the big advantage in my eyes is that Re, because it
is pure-OCaml, is platform independent, whereas Re2, being backed by the C++
lib of the same name, is not. At Jane Street this is relevant because we share
a lot of code between Linux servers and JavaScript (running in Chrome)
clients.

------
giantg2
Wow. These interns at that comapany are working of stuff that's way more
interesting and complex than the crap I deal with at my financial company.

From what others are saying, it looks like they pay way better too.

~~~
Smaug123
Honestly quant finance has a lot of _really_ interesting problems in. That
XKCD about "why would I want to be paid lots to work on fascinating problems
with the brightest people in the world" is… actually kind of true.

~~~
giantg2
My company basically restricts those sort of positions for business people
that learn Python and R. They are very hesitant to promote IT people into that
type of role.

I'm getting tired of implementing/coding other people's solutions or just
copying legacy processes into new tech. It would be nice to actually work on
the problem and the processes that would most effectively solve them.

~~~
samatman
That sounds like a recipe for a lateral move. You've got the domain knowledge
already; train up with an eye towards what other fintech companies are hiring
for, and your chances of busting out of the rut are decent.

Good luck!

~~~
giantg2
I don't have much domain knowledge, at least not to the level they want (CFA
charter).

------
angrydev
Impressive stuff, congrats to these three

~~~
kyawzazaw
Only one of them have a LinkedIn. Super curious about their background.

