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To be honest, I was a bit disappointed with this article. I'm aware of the author, I own two of his books, and he certainly knows what he's talking about.

However, there wasn't really too much actionable advice in it. I don't think I actually saw any advice as to how to become an algorithmic trader in the post.

I think I actually wrote a better answer in a previous post here:

https://news.ycombinator.com/item?id=8699260

The sad fact is that if you want to get into algorithmic trading you really have 3 choices.

1) got to MIT, get an undergrad in math/engineering, apply to TradeBot, Virtu, Getco, Jane Street.

This provably works as this is how these firms hire, sadly its not very applicable for most people.

2) Get into a small and successful fund that was previously a prop shop( traders without any algorithmic tooling and then start to build it out yourself.

This can work, but its a very hard and long slog. You'll be creating everything from scratch and wont' have alot of people to bounce technical ideas off of. This might be the hardest way to break into the industry, as you'll essentially be creating a new company inside of an existing one, but it is possible, as this is how I did it.

3) Get hired in a technical capacity with a major algorithmic trading firm and move up.

The key here is to not be in a strictly technical capacity for more than a few years. The industry has a tendency to box people into their current roles.

You have to make people aware of what your goals are. Shadow the best traders you can find. Be mentored by the technical talent who writes the strategies. Get as close to the money as possible!

I lied there is actually a secret option 4)

You can go it alone and trade your own money. I really don't recommend this to people as you need a minimum of $50,000 to $100,000 to do this well. Its hard as you won't have anyone to bounce ideas off of or to lean on when times are tough.

The biggest problem I've seen with going it on your own is that since 2009 we've been in a huge bull market. Everyone is making money. We haven't had a challenging market for 5 years so if you've been trading for less its hard to know if its you who is making money(alpha) or if its the market(beta).

I really don't try to time the market but I have a feeling that late next year people who have been trading their own strategies will start to find out what its like to trade in a bear market.

Someone privately messaged me about math. For each of these options, I find math, specifically stats, to be very important. The hard part is getting programmers to learn stats. There is an old Simpsons episode where Homer is trying to learn about marketing. He starts with a huge book on marketing reads it for a few minutes and then goes to a beginners guid to marketing before finally looking the definition of marketing up on the internet.

Don't be afraid to learn math this way. I usually recommend people read chapters 2-5 of Introduction to Statistically learning

http://www-bcf.usc.edu/~gareth/ISL/

If you are flying through it then graduate to Elements of statistical learning http://statweb.stanford.edu/~tibs/ElemStatLearn/

If you are working hard to understand Intro to statistical learning then go to Kahn Academy and spend 2 weeks doing all their stats lessons.

I feel like I'm repeating my self but there are no free lunches. You need to work to learn the material. Don't be afraid to go back to basics.

On his book recommendations, Trading and Exchanges is awesome. Michael Lewis' Flash boys is not, read Scott Patterson's DarkPools instead http://www.amazon.com/Dark-Pools-Machine-Traders-Rigging/dp/...

If you are determined to read Flash Boys then atleast read the counter argument by a HFT https://news.ycombinator.com/item?id=8577237

Its a much more enlightening read and is only a few dollars:)




>> got to MIT, get an undergrad in math/engineering, apply to TradeBot, Virtu, Getco, Jane Street.

Regarding Tradebot, they are known to hire from local schools out in Kansas. In fact, Dave Cummings once said it's like half-way to India strategy. You don't have to get an MIT kid and pay them loads of money when you can get a local school kid pretty much do the same.

I used to be in this field, so I can say from my experience, at least, such jobs come out of relationship building with the men of influence. Sometimes it means being ruthless about following up until the right moment comes (e.g. they have a headcount).

But I hear you on that. Having gone to MIT may help.


With some places (DE Shaw & similar), having gone to MIT or an Ivy is just about the only way to get your foot in the door if you're new to the industry.

Also, having a Ph.D. helps, and if somebody wants to go this route I would steer them towards Two Sigma over the competition.


Even then it's still really hard. I'm at one of those schools and many of my friends don't even get interviews with the best firms. My impression is that the supply of capable people for these jobs is much higher than the capacity to absorb everyone who is capable of doing the job.


Yeah, it's hard to really pin down. They're all really image-conscious and they're looking for specific things -- I don't even know what sometimes. It also really helps to meet with their recruiters that come around your campus and get feedback from them on this. They have a difficult job that they'd love to make easier.

Also keep in mind that they have an image to maintain and some of them are really hurting right now. They may have to look like they're hiring when really they aren't.

(looking over your profile) You might be better off at some of the smaller, specialized HFT shops out there (I hope you like Chicago) if you really know your way around linux kernel programming. That's a really small industry though.


Thanks for the advice :)


This is the best comment on the entire post. TFA seems to be from the point of view of someone who writes books about it rather than actually doing it. Major clue is recommending Flash Boys. And the other link you point to is also good.


I had a brief stint with a HFT company and it certainly seemed like 90%+ of all the traders were cherry picked from MIT/Harvard. I believe a few came from Notre Dame? There were definitely outliers, but the vast majority came from those two schools (from what I recall). The Computer Science part of the company was a little more diverse (Carnegie Mellon, Stanford, Caltech, Northwestern, UIUC). All top schools.


I have been interested in this subject for years.

The strategies I actually can get to work yield maybe 10% per year with 5% variance. Allowing me to take out around 5% per year.

For it to pay as a fulltime job and cover office expenses I would have to take out 150.000 euro per year; meaning I would have to have a working capital of 3 mio. euro.

So for me this cannot be anything other than a hobby project.




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