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What the interns have wrought, 2020 edition (janestreet.com)
236 points by yminsky 11 months ago | hide | past | favorite | 209 comments



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.


> Engineers there routinely make well over $1mm/year.

Do you have a source for such claim ? data from h1b salary [1] tells that senior software make 200k base, and here [2] they explain that the average salary is 440k

[1] https://h1bdata.info/index.php?em=JANE%20STREET&job=

[2] https://news.efinancialcareers.com/fr-en/307393/jane-street-...


I know people who work there. That comp data excludes bonuses -- and most importantly -- that employees are able to invest in the proprietary funds themselves, which generate insane returns.


Another thing the HN orthodoxy rejects is that professional investing and trading can make money above monkey-dart levels, despite the abundance of evidence that it does.


What evidence? I thought that was standard orthodoxy, not just on HN. No one doubts that people can and have beat basic index funds; I just thought that was a poor predictor of what would beat the market again going forward (perhaps after accounting for fees?).

I used to work in sell side equity research before leaving to do software development, because at least from my vantage point, no one was that great at predicting the market.


This assertion is about funds that are open to the general public. No one doubts e.g. Renaissance’s Medallion fund.


OK but it's still just false. Go read this obituary of Richard Gilder who recently passed away. He founded a firm that gave ordinary retail investors consistently high returns for decades.

https://www.gilderlehrman.org/about/richard-gilder


I'm sure that some hedge funds know what they're doing, but it's impossible to tell which are the good ones. Investing in a hedge fund still is functionally equivalent to asking a monkey to throw darts at stocks.


Also, in general if there's a consistent and significantly market-beating (after fees) hedge fund that's available to the public, it's a scam. Most real strategies can't scale infinitely (see Medallion), and so have a maximum amount of useful capital. If the owners can't fill this amount of capital on private markets after a few years, then it probably failed a few sniff tests.


The super investors of graham doddsville is also instructive reading on this point.


I would agree that many professionals beat the index. Some beat it year after year. The trick seems to be guessing who will maintain the outperformance. There seem to be many who have a great run and then underperform.


It's not just HN. It's generally accepted that over 20 year spans almost no actively managed fund beats index funds.

Example PDF showing this: https://us.spindices.com/documents/spiva/spiva-us-year-end-2...


Totally right. Huge blind spot here.


Anecdata, but I totally believe this. FWIW, I get inbound recruiting from FAANG as well as some prestige finance companies. I'm a generalist with no degree but ~8 years of experience. I make ~$300k/year in NY. Given grapevine comp chatter, I'm sure that pre-Covid I was leaving money on the table versus what I'd earn if I prepped and left for FB or Google. I'm super happy with my employment situation though, so I've just been enjoying life.

Partially to leave the door open and partially just to see how folks reacted, rather than giving a blanket "no thanks" to recruiters I got into the habit of replying to fancy recruiters with "I absolutely love my job and am not looking to leave. <all the things I love about it>, I wouldn't consider leaving for less than $600k/year unless a new role offered <one of several non-monetary things I really care about>." It may seem silly, but with luck, good timing and not using current comp as an anchor I've doubled up previously. My philosophy is that it never hurts to ask for more than you think you deserve, especially if you don't act like you're entitled to it.

This was mostly met with "glad it's going so well there" and I can only assume snorts of derision. Meanwhile, the dude from fancy "headhunting" firm comes back with: "Excellent! With your profile, I can get you at least $700k with one of my buy-side client firms."

Feel free to decide for yourself how much weight to give the anecdote. Maybe that # has a real basis for someone with (at the time) 5-6 years of experience. Maybe he assumed I must be making something near it already. Maybe he was saying anything to get his foot in the door. Or, maybe he decided I was jerking his chain and decided to have some fun of his own. He certainly made an impression.


I am impressed. Would you perhaps consider a chat/call? Would really love to hear what you are working on, and what skills you developed.

My contact details are in my profile.

Cheers!


As a generalist, why don’t you get into software consulting and just set/bill your own rates. You can bill at 400/hr and earn north of 700k.


Wall Street jobs are very very performance bonus driven.

Not unusual for bonuses to be 5x or more salary in a good year.


"Wall Street" is such a broad term.

Places like Jane Street and their like obviously pay technology employees very well. But they represent an absolutely tiny, tiny, tiny slice of the pie.

The vast majority of SWEs employed in Wall Street work for various firms big and small that you'd be fairly lucky to break 200k-250k TC decades into your career. No, 200k isn't a small income, but odds are you could match that number at any number of middle tier tech companies, earlier in your career, while enjoying a much better work environment and various other perks.

And of course upper-middle to top tier tech companies (culminating in FAANG) can offer multiples of that amount - and again, probably with much better working environments and other perks. Your odds of making it into FAANG or similar caliber tech company are probably much higher than your odds of making it into a Jane Street caliber financial firm.


It's rarely the case that Technology sees those kinds of bonuses; that's most common on the Investment side.

And yes, even places like Jane Street separate between Investement and Tech.


In HFT (and often stat arb) the front and back office dichotomy doesn't apply as much. Basically anyone doing nontrivial engineering work has an opportunity to share in the profits of the firm at Jane Street. They don't need to be a quantitative researcher or trader.


Are you stating this from specific knowledge of Jane Street?

The division in trading firms, IMLE, is between front office (making and executing trading decisions) and back office (book-keeping, accounting, risk control, compliance, administration, etc). Both sides have technical and financial people. But only front office - both technical and financial - is likely to get wild bonuses from doing good trades. Back office bonuses are more about doing the job well.

If Jane Street is sharing some of the trading profit with back office staff, good on them.


I am, yes. I'm more familiar with their researchers, but I know (or have spoken to) people across different functions there. They have security engineers who earn over $1M/year (for one example of something which isn't usually "front office"). For Jane Street it's about impact: if you substantially improve something at the firm, you share in the spoils.

That doesn't mean literally everyone who works there is rich, and the quants will do better relatively speaking. But in the sense of engineers being second class citizens: no, I wouldn't say that's the case at all.


Most buyside joints don't have anything resembling a security engineer. If they actually need one, it's closer to a front office role than not. You also don't want some random jabroni in charge of something mission critical like that.


In HFT firms algorithm developers are front office as much as traders. (And in some firms, traders don’t even exist as a role.)


which firms don't have traders?


That isn't the case at the few London HFT companies I've applied to. They had a clear division between quants and everyone else.


The investment side is engineering.

If you're talking about IT that makes the printer work, sure.


I cannot speak for Jane Street, in particular, but I have spent many years working at a very similar firm, and Investment is not Technology.

There are engineers working in Investment, yes, but the risk profiles, the payout profiles and the focus of their work is very different. Investment deals with getting and analysing data, understanding the market and their algos, coming up with trading ideas, handling their PB relationships, doing the actual trading (e.g. portfolio optim, factor hedging, worrying about financing and borrow costs) etc. Technology deals with all things infra and (in most places) ingesting data and making it easily available internally.

In particular, I would be surprised if the interns in this article were on the Investment side - a fund would rarley publish anything remotely resembling research. In fact:

"Yulan ended up working with both the trading desk that was running this process, as well as the research group, which pointed her at some cleaner cost functions to optimize, as well as encouraging her to try out simulated annealing in addition to the greedy algorithm she started with."

The "research group" and the "trading desk" are Investment.


You can tell someone worked on the old wallstreet when they jump to explain that engineers are not a part of the core finance business. I've seen this trope a million times, and it used to be true. In 2020, the hedge funds making the most money are the ones treating their technology people like they treat their investment people. They interact, receive similar (though not 2M+) pay, and the programmer often has a part in analyzing the data and building the libraries to push the research forwards.


You're basing your assumptions on very little information. In particular, my position was with a buy-side fund set up in the last 5-10 years. It was definitely not "old wallstreet".


I worked at a well known hft prop trading firm, and then at an asset manager. The asset manager was staffed by mostly ex two sigma software engineers, a few from tower research. You basically cant even get an interview there unless you already worked with someone working there. A regular engineer there, a few years of experience made around 650k. I know the industry extremely well, and I know your type. I've watched so many buy side firms fall to the wayside because "good tech doesnt help investing, I will hire the humanities degree from princeton instead". Meanwhile, run through the top returning firms in the last decade, they all also happen to be the firms that pay their engineers the most.


It's too hard to fully explain how wrong this is, so just leaving the comment in case someone else reads it and thinks it might be right.

The investors are engineers. Full stop. They write code. The code makes trades. Everything else is noise to support the engineers writing code to make trades.


When I worked on Wall Street even the IT guys and the doorman had their personal accounts invested at the firm which was a significant perk given that the firm was closed to new customers.


In finance the money is in the bonuses, which on a good year can easily exceed the base.


I have read in forums that companies under-report salaries to the H1B database. They only need to report some number above the prevailing labor market and don't need to report the actual salary employees are paid over this.


I think it’s the base salary that is being reported.


"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.


All I gleaned from this is that there are tons of people making many multiples more than I ever will and that I'm basically the programmer equivalent of the Yugo (car).


If it makes you feel any better, I write flight software for spaceships and this post makes me feel the same way. Salary isn't the only way to measure worth.


That's pretty cool. I deal with a system to collect fees for financial advice. It's boring and provides no real societal benefit. I can't wait to quit.

I'm not sure what measurement would say I'm worth anything.


For the benefit of those outside of quantitative finance, it's important to note that "making $X" is a bit of a fuzzy notion around these parts. Individuals receiving large bonuses generally have their pay closely tied to the health of the business--which can vary quite a bit year to year. It's more accurate to say you've "been making $X." Extrapolating out any meaningful level of comp beyond even a year is a risky proposition.


> 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.

Tech companies have explicit up-or-out policies for lower-level engineers. I don't think the top trading firms do any more firing of new grads than FANG does.


The tech up-or-out only continues until the career (or "terminal", if you like) level. Usually that's L5/E5 or equivalent at FAANG.

It's somewhat different in finance, because firms like Jane Street don't have "levels", as it were. There are individual contributors and managers, but to the extent you get a promotion, it's only increasing your scope of work for more money. They don't have well established ladders like FAANG.

But you might be right that the involuntary attrition is equivalent on a percentile basis; that I honestly don't know off the top of my head.


Uh, that would mean that most engineers end up without a job - surely this is not the case ?


I can say my company is basically up-or-out. Even when you get to a senior level they expect continual improvement or a move to management.

I'm an intermediate developer and have been at my company 8 years. I've been told by managers whom I am personal friends with that if I stay at this level much longer (5 years now), then the company might look for a reason to get rid of me.


How does your daily work differ from a "senior" dev at your company?


I hate to say it, but in reality it all comes down to how others rate you and how much the managers like you. It's all about "visibility".

In general there is some truth to what they claim is the difference. It's supposed to be about how complex the work is. Senior devs should be dealing with more architecture/design, more coordinating with other groups/teams, and have greater expertise (they measure this by output and opinions).

If you get promoted they expect more output and hours. The policy is 7.5 hours per day but they unofficially expect 8.5 hours for senior devs and tech leads. It's a 15% jump in hours and only a 7% raise. I've actually filled the role of tech lead and then senior dev for two years on a previous team. They never officially promoted me due to politics and wanting me to work more hours than policy states. I've been passed over and screwed over probably 4 out of my 8 years here.


What is the workload like at HFT companies? My acquaintances who have worked for them all dropped out because they were working 70 hour weeks, so hourly after-tax, they were actually doing worse than what they would make at a FANG. None of them are super-geniuses though, so I'm wondering if the ones who stay have more reasonable work hours.


It depends. None of the people I know at Jane Street work more than ~45 hours a week. I know a few people (mostly on the younger side) who grind out 60 hour weeks at Citadel Securities.

I think you'd find that, across the universe of technology-driven trading firms, work life balance is worse than tech on average. But you'd also see pretty high variance, which skews the mean quite a bit. Some firms are basically like top tech in terms of work life balance; others not so much.


I don't disagree with this more nuanced framing.


Thank you for this detailed breakdown.


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...


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.


> 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.


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.


>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.


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)?


> 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.

This is also the case for people at Google, etc but they still manage to find time to complain about not being able to expense their lunches [0]

Overall I don't disagree, but the path to JS or equivalent companies seems to be astonishingly narrow given the fact that I didn't join there out of undergrad and I'm currently at a company that Jane Street recruiters don't consider to be impressive or noteworthy.

> 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.

I'd say I'm exactly as hard on myself as society is. Everyone else gets constant external validation - all I get is signals to say I'm stupid.

[0]: https://www.cnbc.com/2020/05/06/google-tells-employees-not-t...


>they still manage to find time to complain about not being able to expense their lunches

No one but perhaps the most incapable of taking simple care of themselves is complaining about it. Teams are allocated yearly budgets to do team-oriented events and other things. That money is now going unused. One of the suggestions was to donate it, which is also prohibited, but I guess that's not as catchy of a headline.


People should not be complaining then about their $25k salaries, either. Because there are way too many people on this planet who do not have even that. (And, oh, by the way, one could be sent off to war only to die there after plenty of suffering.)


Cut the bullshit please, $150k is simply good money even in Silicon Valley and great pretty much everywhere else on Earth.


It's helpful for your mental health to not take anecdotal "salary reports" on HN seriously. Whenever salary comes up, everyone here knows someone whose brother's roommate pinky-swear definitely makes $400K at Facebook, therefore this must be "normal salary" there. I've worked for a number of companies talked about here and have never even made close to the "HN Quoted Average Salary." Voluntary online salary boasts from random people are going to tend to bias high. You're probably doing fine.


That's kind of you to say, but I do personally know lots of people at Facebook, Google, Lyft, Citadel, Stripe etc that _do_ make this much or more. Meanwhile, even the L6's at my company make around $300k - that's about what E4's make at Google. Plus, levels.fyi is generally pretty accurate.


How do you know? Have you seen their W2 forms? A lot of people are also full of shit, especially when it comes to things like compensation. How do you know "levels.fyi" is accurate? AFAIK they base their information on self-reported anecdotes too. How do they correct for bias?

The only organizations I would trust to give accurate salary averages are payroll companies, who can properly do a uniform sample, and I don't think they publish their data for free.

Personally knowing someone that makes $X does not necessarily mean that $X is an average or normal compensation.


Are you "depressed" that you are on the 99th percentile of world income? You make more in 2 years than my grandfather made all his life, in over 50 years of hard hard work. Or alternatively, you also make about as much in a month as I do in a year, at a very competitive PhD program.


World income is irrelevant since I live in a nice part of America, not the world. And yeah, I do make about as much as your and my grandfather made over the course of their careers. Unfortunately, if I'm making an apples-to-apples comparison with people doing equivalent work (perhaps not at Jane Street, but definitely at Google or Facebook) I'm making about 80% or less. That means I'm worth 80% in the eyes of the fair labor market - I'm 20% less human.


Your wage on the labor market is not your value as a human. Maybe it's time you leave your nice part of America and live among people who won't make you feel like you're part of a rat race but value you for who you are.


To help your depression, you can recall you make more than most people could hope to make every 2 years at age 50.

Or than most engineers make at any point in their careers.


since you seem to base your self-worth to some extent on your total compensation, what concrete steps (to include interviewing, working with recruiters, consulting, etc.) have you taken to increase your total comp either immediately or in the future?


- Recruiting/resume updates (not many interviews lined up, and even with offers would max out likely less than what I'm currently making)

- Interview preparation (not going well, but I blame my inherent intelligence for that unfortunately)

- Promotion work in my current role (would max out at like $180k)


I think Jane Street is single-handedly keeping OCaml a production-level language (which is a good thing, because it's a great mix of functional programming with a practical/pragmatic approach). If you haven't tried OCaml (or F# which is based on it), I highly recommend it.


How do you think it would go learning "backwards" from Elixir (which I'm currently learning w/ Phoenix for another purpose)? I've glimpsed through Reason/Bucklescript but never spent real time in them.


I'm not familiar with Elixir, so I can't speak to that. But I would say that once you are familiar with functional programming, the choice of language comes down to what stack your company already uses, library support, and problem area. For instance, I would love to use OCaml, but we are primarily a dotnet house, so I use F# when I can. For Spark stuff, I use Scala. I'm not a language zealot, I prefer to use functional languages, and encourage their use when I can, but I use the best tool for the job within the constraints of the environment I'm working in.

Not sure that's helpful, but I would just say if you are using Elixir you're probably already in a good place development-wise.


Is there any reason learn OCaml over F# for a new project?


I would look at what libraries you need. If you're a Microsoft house, I would go with F#. If performance is the highest priority, I would go with OCaml.


Do they have any plans to go fully remote? I see job postings which still reference specific cities.


That is incredible.

Do you know of any [non-corporate] blogs from their engineers? I'd love to learn more about them from an unofficial perspective.


I wrote a single blog post before I started working. https://tianyi.io/post/chicago1/


No, but they have a lot of technical content on their corporate blog. They recruit from all the topcoder kind of competitions for those interested in meeting people who work there.


How does a normal software developer go about getting in?

Do they give the traditional google interview or worse?


Jane Street might be the only place I've applied to cold in my life - I solved one of the puzzles on their site (I'm not sure how important that ended up being) and to my surprise they offered me an interview.

The technical interview was a decent bit harder than Google -- we got deeper into implementation instead of just toy problems. I remember filling the white-board walls of the room with code for a garbage collector. Even though the interviews ostensibly didn't require OCaml, knowing a (tiny, tiny) bit about OCaml garbage collection helped. Every interview was with two employees, which I hadn't seen elsewhere.

I got the offer, but ended up going elsewhere. In part, I was disappointed to find out that there was VBA involved in the role -- it was their taste in languages that appealed to me and VBA was at the opposite end of the spectrum from OCaml!

Weirdly, when I (politely) declined the offer, I never heard another peep from the company, even an acknowledgement or a "good luck". They just ghosted me. Not that they owed me a reply, it just stuck out as the process was very high-touch until that point.


I hate to break it to you, but if you're a normal developer like me (you're probably better), then you aren't getting in. There was a recent post on HN about how to be ok with not being a 10x dev or something like that. There's some good stuff in there.


Can you link to that discussion?



I interviewed for an internship as a quantitative researcher at Jane Street in college, and I can confirm it was the most technically difficult interview I went through -- certainly more difficult than Google.


I don't know about "worse", but unless things have changed in the past few years, yes, I'd say it's a "traditional" interview ("code up a rough solution to this algorithmic problem on a whiteboard/laptop"), and yes, I'd say it's harder - they're widely considered to be some of the hardest interviews in the industry, and personal anecdote for confirmation: about five years ago I interviewed at Jane Street and Google on subsequent days. The Jane Street interview was one of the most exhausting batteries of my life; by comparison the Google one was a cakewalk.


It was more or less identical to other technical interviews with an unsurprising focus on stocks when I interviewed there.


When we say "algorithmic trading" is this synonymous to "high frequency trading"?


Technically HFT is a subset of algorithmic trading. Algorithmic trading can be done on both the buy (IE hedge fund) and sell (Investment bank) side, but does not need to be high frequency. High Frequency also means low latency- sub millisecond, and I have never seen an algo trading system of any sort that deals in latencies that are not in the millisecond range, though this isn't really a requirement.

Does this help?


Yes. So seller A wants to sell for $1.00 and buyer B is willing to buy at $1.06, an algorithm will calculate the presence of this potential (or actually have knowledge from other systems that this a certainty) and purchase seller A's stock with a margin of overhead of $1.03 and sell to buyer B for $1.06 netting $0.03.

The algorithm is essentially a parasitic entity.


What you are describing is market making, and has existed pretty much as long as there are markets. Before computers rendered guys in the pits extinct, the spreads were much wider and those guys were known to literally front run you on occasion. You had legions of brokers and floor traders all taking home fat six figure paychecks each year and your trading costs were in the tens of dollars, not pennies. Those legions of traders have been replaced by a much smaller number of programmers who take home comfortable six figure paychecks.

They take on obligations as market makers to always buy and sell no matter what the market is doing.

How that worked was that he got a phone call saying "buy me 50k IBM" from a broker. Guy on the floor thinking smart money is behind this, or even not thinking there is smart money behind this, he just knows an order like that is going to move the market- will place his own order ahead of it and likely exit the trade immediately after. The advent of electronic trading, even when people were still on the floor, made this much harder to do since it became easier to slice and dice that order up to a bunch of different people, and there were now much better paper and electronic trails of the activity. Now its all computers talking to one another and this is not possible.


Right, gotcha: the market needs intermediaries to function properly.


This isn't really what market makers like JS do. While they do make profit from the spread between prices they buy and sell at, the key difference is that they will buy from seller A and sell to buyer B at different times. For the duration between the two trades, they either own a positive or negative amount of whatever the good is, so they are at risk of losing money if the price changes. The spread pays them for taking on the risk and providing liquidity (allowing people to buy and sell any time even if there's no matching counterparty).


JS and their ilk replace the market-makers, you're saying.


Can you explain to me very carefully why the orders of seller A and buyer B weren't able to match before Mr. Evil HFT came along?

Moreover, given that buyer and seller weren't able to match without Mr. E. HFT's help, hasn't he in fact rendered a valuable service (for which he should, of course, be paid)?


So that's the missing part you say? The Internet has been the biggest catalyst of disintermediation in history. But this is not disintermediatable without HFT?


My question is pure nuts and bolts.

A and B wake up one morning and want to trade MSFT. Both submit orders to "the market." You claim HFT somehow inserted itself into the middle of the transaction.

I'm asking if you can fill in the blanks on how this is possible.


I thought that was clear: prior to HFT, the seller would have made the deal with the buyer without the intermediary HFT because if the latency. HFT exists because of speed. Very hard to say "High Frequency Trading" without saying "High Frequency".


The HFT needs latency low enough to win a race against B.


If HFT and B are racing for the same order, they evidently have a very similar trading objective. In which case it's bizarre to ascribe some uniquely negative social value to HFT winning that race.


The HFT doesn’t want a position, it’s only trading because it anticipates what B is doing right now and adding cost to the process without improving the result.


Thanks, that's what I thought.


Your example makes no sense. If both those orders were on the books then the exchange would have to immediately execute that trade at $1.00 (Assuming A is before B).


This is flat out wrong, the market would cross in this case.


Also worth noting that Jane Street interns are amongst the highest paid at $83.65 / hour: https://www.levels.fyi/internships/


Wow


Engineers or quants? For the latter it is a common case in most trading shops.


I don't know about anyone else but I have a negative perception of tech companies in the financial sector. Perhaps my perception is wrong, so I'm curious, how does the culture compare to one at Google or Facebook?


You can't really compare JS to Google or Facebook. It's still a company of < 1000 people, I think. I've never worked at a FAANG, though I've worked at companies only ~1 order of magnitude smaller. Any of these might have changed in the last few years since I left.

* Very flat hierarchy and very limited bureaucracy. At JS there's like at most two people between you and the folks who run the place.

* JS is technically isolated. They're not really part of the same conversation as the web-focused and much more public tech giants are. Lots of NIH, custom hand-rolled solutions. Maybe part of that is a consequence of going all-in on an ecosystem (Ocaml) that basically only you use and run, maybe part of that is that really smart people love to invent their own better solutions to problems, maybe part of that is that most of what JS does is either, like, command-line/TUI apps for traders to interact with or trading systems where a proprietary technical advantage is where you get your edge.

* There's a particular Jane Street "way of thinking". Another comment on this thread exemplifies it pretty well [1] - technocratic and rationalist. If you don't fit into that mould you'll feel out of place, if you can even get hired at all.

* More of a 9-6, butt-in-chair mentality than at other tech jobs I've worked. There's some flexibility about the 9-6 thing (and 9-6 can be pretty optimistic at times), but they're limited by the nature of the markets. At the time and for me, anyway, there was zero possibility of ever doing any work at home. COVID may have changed this.

* There's still things clubs, office events, and perks, but to a lesser degree and more informally than at larger companies. It feels more like working a regular job at a real business. JS is also a lot smaller and more homogenous (see above), so less of that is needed to create social cohesion.

If you have specific questions, or can elaborate on what your "negative perception" entails, I can probably comment further.

[1] https://news.ycombinator.com/item?id=24273348


> More of a 9-6, butt-in-chair mentality than at other tech jobs I've worked. There's some flexibility about the 9-6 thing (and 9-6 can be pretty optimistic at times), but they're limited by the nature of the markets. At the time and for me, anyway, there was zero possibility of ever doing any work at home. COVID may have changed this.

This sort of thing precisely. My perception of these companies is that they are not as understanding about work-life balance, PTO, working from home, and ultimately trusting you to be independent.

There is also a more corporate image that these companies have in my eyes, one thing that would likely exemplify this is the dress code. Does Jane Street empower you to be your true self or do they prefer that everyone is the same kind of suit-wearing professional that banking institutions often want?

In general, all of this together gives me the perception that working at such a company would be far more intense. Working at a FAANG is sometimes stressful enough, knowing that there is a flexible and (what I at least consider) a progressive culture backing the company makes the stress easier to manage in some ways.


Almost no one at Jane Street wears suits. The tech-driven buy-side of finance is very different from the sell-side you seem to be familiar with. It's much closer to small tech companies.


Jane Street is a finance company, but it's a finance company run by nerds. No one wears a suit. It's not corporate at all.


Jesus Christ. I can't even imagine making that much annually off wage labor. I must have chose the wrong life path.


Me too, friend, me too. Some of these quoted compensations are more than I've made over my 8 year career.


.... i know man. feels bad. but i guess not as bad if i had wasted time with further education in a low income major


Very true. Now if only my wife would let us move to a lower cost area, then I might be able to retire from my soul sucking job a lot earlier...


Maybe. I grossed around $300K at a JS competitor, but quit after a few years. These can be unpleasant places to work. High concentration of jerks. Highly secretive, which means it can be hard to find useful things to do. And they're rolling in dough, which means that there's very little motivation to do things right or care about retention.

On top of that, cost-of-living in NY is very high, taxes on high salaries are very high, and it makes you a target (e.g., divorce, lawsuits, etc.).

And as a final cherry, you'd be using OCaml all day, which while interesting, is a language you'll never see again in your career.

I wouldn't beat myself up about it.


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


A few other places do this too.


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

Let us celebrate the successful ones who do eh.


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.


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.


Internal recruiter. Thankfully, I didn’t assume it was a done deal, because it wasn’t in writing yet, so I still had opportunities in flight elsewhere.


This is great advice. I usually go a step further: the offer isn't a done deal until it's signed by both parties and any background checks have passed. Until then, you're still interviewing and considering other offers.

It also puts pressure on the company because it means you might still disappear on them, so they better take care of their paperwork.


> 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?


If it’s in a (United) State with “employment at will” then they can rescind any time, or fire you in the first nanosecond of employment for that matter. Unless you have a signed contract that says otherwise, of course.


Even in an At Will state, there may be some gray areas. e.g. if in reliance on an offer, you have given notice at your previous job, sold your house and relocated across several time zones, only to be immediately laid off, you may have a legal claim against your employer.

Disclaimer: Not a lawyer, and haven't experienced this scenario myself.


You could sue at that point.


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.


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.


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.


You can sue anyone, for any thing, at any time. Doesn't mean you have a real chance.


> received a verbal offer after my on-site which they then proceeded to rescind while we were discussing pay ranges

I would think that compensation would be a required element of an employment offer. (I wouldn't say that I'd received a job offer if it didn't also include compensation information. If I didn't agree to the proposed figures and decided to negotiate, then I'd received a job offer that I declined.)


There was a number discussed, it just wasn’t final, hence not written.


Maybe I am not too familiar with it (although I have heard interns negotiating for pay with Akuna).

I thought intern compensation is pretty much set. Did you have counter offers to negotiate?


It was an engineering position, not an internship.


What kind of position was that for? Must not have been a generalist software engineer if there was only one slot available.


I’m a little wary of disclosing in case they read this but it’s probably rare enough that they would know from the description anyways. I will say it’s a software position and it remains on their careers page as open.


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


The particularly niche they operate in means that "buy" isn't really an option for them, the stuff they'd be buying hasn't been commoditised yet (and arguably much of it couldn't be since in doing so any advantage it gave you would be immediately diluted).

It's a case of an ellipse peg in an elliptic hole.


I do not know if it is very difficult to understand. Next food/ clothing delivery startup with a webpage and mobile app : Buy. Cutting edge Wall street firm : Build.


Even if you want to make it complex it's if it is core to your business and provides competitive advantage build otherwise buy.


There are no (very few?) universal rules in tech. The HN advice to buy instead of build is correct in the majority of cases where a startup isn't actually doing anything revolutionary on the tech side (and there's nothing wrong with that! Bringing proven tech to an industry that doesn't have it is a great business model). It sounds like Jane Street does not fit that model.


I think they would believe that a lot of the things they are building are a source of competitive advantage related to trading, low latency etc.

I doubt (for instance) that they have coded up their own HR system.


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.


It need to be pointed out because there may be like grand total of dozen companies which uses OCaml so it is something remarkable.

It is like paintings from famous painters in billionaire's homes. Now for me and may be for lot of people stuff from Bed Bath and Beyond is just fine on our walls. So for ultra-rich / successful/profitable company might see beauty in Ocaml but most of the world runs fine on run of the mill services in PHP/Java/.net etc.


>but most of the world runs fine

most of the world doesn't run fine. If airplanes were built like your average software stack they'd drop out of the sky every other day.

Development practise at a place like JaneStreet is an example how things ought to be done. I really dislike the analogy of Ocaml as some sort of esoteric billionaire tool. It's just a sound language that everyone can understand, it's not even particularly academic despite its reputation. This is just what software engineering looks like if you actually treat it like... well engineering.


> If airplanes where built like your average software stack they'd drop out of the sky every other day.

I missed to add C/C++ to my list. That would have covered real time systems you mention.

> Development practise at a place like JaneStreet is an example how things ought to be done.

As much I agree Jane street is doing cutting engineering for their domain, it seems unrealistic that rest of the world is unaware of good software engineering in generic usecases.


> it seems unrealistic that rest of the world is unaware of good software engineering in generic use cases.

Depends on who is aware and whether they have the clout to actually implement it, the trenches are full of developers who know there are better ways and that those better ways would have a positive RoI but that it wouldn't show up possibly for 3-4 quarters minimum which makes it a hard sell to management if you can get them to even understand it without a tortured analogy - those programmers frequently don't have the authority to enforce the standards particularly when the other half in the trench with them are busy adding to the pile or actively fighting against it.

There have been times where I've wanted to shiv (figuratively) a developer who writes the worst most pointless convoluted code after he proclaimed code should be "self documenting".

Fortunately these days I'm at a level where at least for my teams I can enforce whatever standard we agree on and if we can't agree then the one I agree on - if we can't reach a consensus I operate on democratic principles, one man, one vote - I'm the man, I have the vote (though I try to avoid having to do that).


What development practices do they have that is unique to them?


Most of the world doesn't run fine. The manager who was previously an accountant can't see the benefits of reliability, security or performance, and hires some straight-out-of-the-bootcamp people.


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.


I worked at a startup (Amplidata) where we build a distributed storage system in OCaml. It got acquired by Western Digital, which later sold it to Quantum. Afaik, there is still development going on using OCaml.

Couple of things I took away from the experience:

- After an initial ramp-up, most of the developers liked or even loved the language. Downside was the limited tooling/libraries (2010-2015, seems better now).

- Quality of the resulting product was quite high: bug rate was fairly low, especially once experience with the language increased. Turns out sum types, gadts and the module system (functors) are very powerful to express invariants and design composable logic.

- OCaml was successfully picked up by team members without a formal computer science background, or even without a lot of programming experience. Not that it turns everybody into a great programmer, but it seemed to coerce new hires into delivering a working feature, without a huge risk of breaking a lot of other code.

- It is still possible to write crappy / unmaintainable code. But in OCaml it is often as easy (or even easier) to write good code.

- If something did turn out to be broken, it was painful. Debugger support (GDB) was initially non-existent. Under heavy load, we triggered a couple of bugs in libraries, which was quite painful to fix. On the other hand, we also triggered bugs in malloc and in the Linux kernel, which were as painful, so it might have had more to do with the high-load scenario, than with OCaml.

- For really low level stuff, or very high-performance cases, we did need to use the escape hatch to call C code. Interfacing Ocaml with C was not the most pleasant (was before ctypes library). Debugging bugs at that boundary was extremely unpleasant. One trigger for this was the fact that multicore OCaml never materialized, which also damaged the "political position" of OCaml within the company.

- Management (especially after the acquisition) was at best indifferent, and at worst hostile towards it. OCaml was perceived as being difficult to hire for (or outsource). Using more "standard" languages like Java, C++, Python was seen as the safer bet. They tried and often failed (C++ turns out to be damn complex, and maintaining a large Python codebase turned into whack-a-mole, but for bugs.).


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


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.


One person might say that the common factor is not being frightened of doing something challenging and unconventional that allows you to achieve extraordinary things.

Another might say it was a weakness for snake oil.


You have high-stake operations in relatively small code base, so you better pick a language and tools compatible with formal verification or even supporting it natively.


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


Oh sorry, not sure why I thought it was.


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...

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


Facebook is big into it via tooling and compilers. It's also big on the Messanger team ala Reason.

Ahrefs is another one I know of.

And hopefully (maybe?) my company soon.


Frama-C, Why3, and Coq are written in OCaml. :)


I think some popular misconceptions about OCaml are actually driven by its connection with Jane Street. Because they are the most prominent industrial user, people can think it is good for their niche but not useful outside it, or that it's very academic/difficult to learn/ideologically purist. But actually it's a fine general purpose programming language.


I am not sure why one would assume it is niche (someone said OCaml is "super-niche") just because Jane Street is a prominent user of it. In any case, yeah, it is an excellent general purpose programming language. I replaced a scripting language with it. I now use Go and OCaml instead of say, Lua, because I had to reimplement the wheel when I used Lua. Perl and other scripting languages were too slow for my typical use-cases.


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.


he donates 10-15% of his income to charity each year

For a lot of people, that's just normal life.

When I was between jobs, I got a temp position installing a network and doing other IT stuff at a small midwestern Baptist church. During the transition to the new system, the secretary went on leave, so it fell to me to input the weekly donations into the accounting software. Some of the donations came in envelopes pre-printed with the parishioner's ID, so the church knew when to send more envelopes.

Certain people were donating hundreds or thousands of dollars each week or month to the church. I asked the pastor about it, and he confirmed what my grandmother always told me: You give 10% of your salary plus 10% of any "found money" to the church.

I know that may seem shocking to the IT crowd, but for many people charity isn't unusual. It's just how they live. When you get your paycheck, you pay your rent, your utilities, and the charity of your choice. It's normal.


It’s certainly notable that as religion has been abandoned by newer generations, the concept of tithing (10-15% to your church) has fallen out of public consciousness.

I do Effective Altruism, donating at least 10-15% of my income, but was only peripherally aware of people donating to church, and only thought it was pocket chance not thousands a year.

Donating to Effective Altruism charities is quite different ethically to tithing, though.


Especially at Jane Street level incomes... the marginal cost of 10% is not a lot compared to the 10% my mom gives from what she makes near minimum wage.


I disagree with that philosophy completely. "One of the brightest undergrads at Caltech" with a "PhD offer at Berkeley", sounds like someone with an incredible high IQ and work ethic to match. This person really thinks that with their incredible talents they can't do more than a few million $ lifetime worth of "good" in the world by following their passions instead working in algorithmic trading? I think they are selling themselves short.


I think you're vastly overestimating the potential impact even bright and motivated people can have on greater society.


https://80000hours.org/articles/earning-to-give/ describes that philosophy in good detail. It's a pretty compelling argument, in my opinion


Haseeb Q notably donates 30% of their income, citing 80000 as inspiration. Really interesting life story, as well:

https://haseebq.com/about/


I think that's a pretty interesting approach.


> 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.


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....

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.


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.


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-...


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.)


In reality I agree HFT are not any worse, but with more traditional investment you can make an argument that you are actually trying to help companies succeed and generate value.

Personally I have no reason to think finance billionaires use their wealth more ethically than any other group.


Robert Mercer is a great example of this. He’s use his resources to helped us question the norm and accepted.

Science progresses because all willing to accept new ideas. Are they always right? No, but it can become dangerous when people are afraid to think for themselves, like Copernicus and the Catholic Church.

As humans, we must explore and exploit; Mercer chooses his path as he rightfully can.


I don't disagree. But working at apple is not much better.


Are you aware of how few people get rich in the hedge fund industry? It’s not much more than people getting rich in Vegas and on lottery tickets


Billions are generated for investors every year by hedge funds.

Obviously there are not many Robert Mercers making money by running hedge funds, but there are countless millionaires and billionaires exacerbating their wealth through hedge funds.


In nyc there’s less than 10,000 investing jobs.

You’re talking about a few thousand people a year


I'm not talking about investing jobs! Investment firms invest other people's money. I'm talking about the profit those other people realize, not the profit the firm or its employees realize through fees and investment of its own capital.


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


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!


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.


Yes.

The one small firm that everyone in the industry has heard of is basically all phd guys screwing around with theory and execution and getting filthy rich in the process.


How about design or other backgrounds such as hci?


Yes.


What do the math or CS PhDs do at Jane Street? I don't know much about trading so I am curious.


If you're interested enough, read Gregory Zuckerman - "The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution" (2019)

The first half of the book goes over the academic history of quant trading.


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


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.


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


Healthcare


Damn. You gots some sharp interns.

Good show!


What are the advantages of Re over Re2?


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.


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.


I don't think that's so unusual. I've often seen interns get the kind of cool, scoped and unordinary task where half of the team was like "damn, I wish I could've done that" - but the reason is usually very boring.

  - it's not guaranteed to succeed at all
  - it's not important enough to put someone on it for a few weeks or even 3 months
  - it's not touching production code
  - it's a greenfield project where you can let them start and not have them understand your huge code base
Yes, this may not be true for the ones listed there, but for example the Wireshark analyzer is probably used for debugging, so it would be "better than nothing" even in a half-baked state and then can be improved gradually. The scheduling thing can at least be tested beforehand, and rolled back. Scoped and usually low-risk, doesn't mean not interesting or not hard.


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.


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.


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!


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


The interns usually get the coolest projects.


Impressive stuff, congrats to these three


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




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