[HN Gopher] How to Build an Exchange (2017)
___________________________________________________________________
How to Build an Exchange (2017)
Author : mksherif
Score : 154 points
Date : 2023-01-06 13:50 UTC (9 hours ago)
(HTM) web link (www.janestreet.com)
(TXT) w3m dump (www.janestreet.com)
| ttobbaybbob wrote:
| 2023 version would have more than one mention of {compliance,
| regulat*, accounting}
| [deleted]
| dang wrote:
| Related:
|
| _How to Build an Exchange (2017) [video]_ -
| https://news.ycombinator.com/item?id=27879230 - July 2021 (12
| comments)
| hardwaregeek wrote:
| I've always been curious whether someone will succeed in using
| the same development strategy as Jane Street, namely using a
| non-C++ language as their primary language. I suspect OCaml may
| have been a very good choice back in the early 2000's simply
| because C++ was a much different language and there weren't many
| options for other languages. Building up an ecosystem was not a
| bad plan because most languages did not have much of an ecosystem
| anyways. Nowadays ecosystems are a lot more developed. But on the
| flip side, that could mean you could stand to use a language like
| Rust that has an ecosystem and interoperability with C++. I know
| Tsuru Capital uses Rust but I'm not familiar with any other
| firms.
|
| It also could be that Jane Street succeeded regardless or even
| despite OCaml. At the end of the day OCaml isn't going to ensure
| that your trading strategies work. It's not going to suddenly
| create alpha. But I do suspect they've gotten serious hiring and
| marketing returns by using OCaml. And benefited the OCaml
| ecosystem as a byproduct, which is a pretty solid side-effect,
| even if side effects are not very functional :D
| pclmulqdq wrote:
| There is a little bit of survivorship bias here: in the 2000's,
| the two main languages of HFT were C++ and Java. By 2015, all
| the Java shops (and many of the C++ shops too) had failed. Lots
| of companies tried to do something other than C++, but most of
| them chose wrong.
| log_n wrote:
| A shell of Allston (formerly big Java shop) lasted until last
| year.
| codetrotter wrote:
| > whether someone will succeed in using the same development
| strategy as Jane Street, namely using a non-C++ language as
| their primary language
|
| It's gonna happen and it's gonna be Rust
|
| > you could stand to use a language like Rust that has an
| ecosystem and interoperability with C++.
|
| Indeed :)
| LAC-Tech wrote:
| Maybe. Rust as a core language is less productive than ocaml,
| by a lot. But Rusts standard library is just so much better
| than Ocamls (including Jane Streets version) - which tends to
| even it out.
| signify1121 wrote:
| I have worked for a big (probably more successful) competitor
| to Jane Street, that uses in its different offices C#, C++,
| possibly some Java that I'm unaware of, and for non-production
| systems a very large mix of everything under the sun (Python,
| R, etc.)
|
| The idea that the language is part of their success is simply
| absurd. If anything having to have to develop and maintain an
| entire ecosystem probably slowed them down more than anything.
| hot_gril wrote:
| I once wrote one mostly in SQL with a Postgres database. It
| behaved pretty predictably with concurrent usage. I wonder how
| many trades per second it could do. Postgres itself can handle
| a lot of the difficult details, but reinventing those wheels
| for trading in particular can probably get you something
| faster.
| samwillis wrote:
| The context here is that Sam Bankman-Fried of FTX and a number of
| the other executives (Caroline Ellison and Brett Harrison) were
| previously traders at Jane Street. This video is from 2017, a
| couple of years prior to the FTX launch. It makes you wander if
| any of them were in attendance.
| [deleted]
| jasonzemos wrote:
| While I wouldn't be surprised to see some proactive PR from the
| company in the wake of recent events, perhaps including the
| post on the zkSNARK competition last month; which was in my
| humble opinion one of the few submissions that has truly moved
| me since the late 2000's on this site:
|
| I feel obliged to attest that the people I knew working at Jane
| Street at that time were some of the straightest shooters one
| could know. My anecdote is that SBF's toxicity didn't originate
| in their culture. Perhaps it was a counteraction to it, if
| anything.
| sdenott wrote:
| Can you link zkSnark convo mentioned here?
| yellowstuff wrote:
| https://blog.janestreet.com/zero-knowledge-fpgas-hardcaml/
| ackbar03 wrote:
| Sbf was playing LoL at the same time
| NkVczPkybiXICG wrote:
| FTX didn't make any of the architectural decisions presented in
| this talk.
| dcolkitt wrote:
| Yeah, as an exchange FTX was pretty terrible. The matching
| engine was notorious for being high latency, unreliable, and
| having all sorts of undocumented issues. Every algo trader
| there will tell you horror stories about trying to cancel an
| open order, getting a cancel confirmation, then getting
| notified that the order was executed. Sometimes seconds
| later.
|
| What really gave FTX a competitive advantage was its cross-
| margining system. It was super easy to post collateral in any
| supported asset, and all open positions were automatically
| margined against each other. So if you were doing something
| like pairs trades between spot and futures, you didn't need
| to constantly monitor and manually move capital between the
| silos. In hindsight though it's not clear if this was
| possible because of better engineering, or just because
| Alameda was internalizing all the risk.
| CoolGuySteve wrote:
| The main advantage of FTX's exchange was that it was far
| better than Binance's but that's barely saying anything.
|
| I'm not sure why crypto exchanges have such lousy
| technology. Lost acks, weird parser errors, missing order
| id fields, sessions giving no indication that the matching
| engine is down, etc.
|
| It seems like any conceivable way an exchange can break
| will be encountered after only a couple months of trading.
| It's a complete shit show compared to traditional exchanges
| dcolkitt wrote:
| There have been a few valiant attempts to build crypto
| exchanges with modern technology and matching engines.
| Generally the problem these run into is that, while the
| algo traders and market makers love them, they have no
| competitive advantage in attracting retail order flow.
| Trading firms have no interest in just trading against
| each other, so without retail flow nothing happens.
| hot_gril wrote:
| Having worked on several side projects that involve
| money, I'll bet most money-related computer systems are
| full of race conditions and other wacky behavior. There
| are so many gotchas. For example, just writing a simple
| "bank account" system/database, it's tricky to ensure in
| a performant way that concurrent transactions don't bring
| a user's balance below 0. If you're sending out money via
| ACH or something, try handling all the ways that can fail
| and need to be retried.
|
| I trade regular stocks in my Chase account. A few times,
| it was down for maintenance after-hours, meaning I
| couldn't enqueue trades to execute the next day. Not a
| big deal, but doesn't inspire confidence.
| w1nst0nsm1th wrote:
| Because it was all a scam and didn't need to polish
| details ?
| elmomle wrote:
| One of the stranger things coming out of the collapse of
| FTX is that it wasn't _all_ a scam; if SBF and co they
| had simply let FTX function without giving special
| privileges to Alameda, it would have been a pretty non-
| scammy crypto exchange (overinflated in value, sure, but
| not fundamentally scamming its customers) and they all
| could have made great deals of money on that alone. But
| of course, that isn't what they did.
| vgatherps wrote:
| There's a graveyard full of "crypto exchange but built
| with good tech", ftx even bought one iirc.
|
| The market favors move fast, market to retail, etc etc
| over spending time cutting microseconds off the 99th%.
|
| A lot of the exchanges also don't have people who know
| what they're doing. Lots of normal startup folks coming
| from an environment where "premature optimization is the
| root of all evil" and "move fast break things" is the
| norm.
| bcjordan wrote:
| @dang could we get a (2017) added to this? Changes the context
| quite a bit given FTX folks worked at Jane Street previously and
| a modern version of this talk would have a much different
| context.
| [deleted]
| [deleted]
| 1vuio0pswjnm7 wrote:
| FTX's Gary Wang worked at Google.
|
| https://www.forbes.com/profile/gary-wang-1/
|
| It's intriguing how Forbes 400 list includes criminals. If
| someone tricks people into "investing" with them and they
| accumulate enough billions of US dollars, and it takes a few
| years for the authorities to act, then do they get a spot on
| the Forbes 400. What are the rules.
| ctvo wrote:
| I don't think the context changes at all. This talk is about
| high performing systems (millions of requests per second)
| written in OCalm. There is nothing here related to the
| criminality of FTX or what its non-technical founder decided to
| do with customer funds as a business decision. It matters very
| little that one or more of them used to work as an analyst at
| Jane Street.
| paulpauper wrote:
| _In 2017 we extended our trading experience, infrastructure, and
| technology to digital assets, and we're now trading crypto 24 /7
| around the world. We price all the most actively traded spot
| tokens such as Bitcoin and Ethereum in addition to derivatives
| like futures and ETPs, and we trade on almost all major global
| market centers, including crypto exchanges and traditional
| venues. We're also a major OTC crypto liquidity provider, and our
| JCX single-dealer platform provides reliable, integratable
| liquidity in digital assets. Our institutional-grade crypto
| offering is a natural extension of our deep cross-asset expertise
| and our experience trading complex, difficult-to-price
| securities._
|
| Interesting. Crypto has much less liquidly overnight compared to
| other markets, no? How would this work? Coinbase?
| Zaheer wrote:
| Fun fact: Jane Street, Citadel and other HFT firms pay
| exorbitantly. You can see the base salary ($200-300k) posted
| public here: https://www.janestreet.com/join-jane-
| street/position/4274288...
|
| Even interns make $120/hr: https://www.levels.fyi/internships/
| delta_p_delta_x wrote:
| I'm quite salty about HFTs. I'm a final-year undergraduate with
| a bunch of close friends who all love C++ (yes, we're
| masochistic that way). They're all really smart, too (me, not
| so much--my GPA is 3.00/5). However, after a while, it got
| really dull and frankly, a bit exasperating when all the rest
| of them could discuss were HFTs, their ridiculous, outrageous
| salaries, matching engines, order books, and low-latency
| trading. Heck, one of our assignments last year was to write
| such an engine in C++. It seems C++ developers are particularly
| in demand at most HFTs.
|
| Some of these companies I have never even heard of before
| having entered CS--Jane Street, Citadel, HRT, DRW, Ansatz, Two
| Sigma... Their names and websites are cryptic, and their job
| position listings are even more so, unless one knows that
| they're mostly proprietary traders--in other words, making
| money for money's own sake.
|
| It feels dirty and excessively capitalist--these companies
| don't even have products to show for all their effort. Any
| clients they _do_ have probably already make millions to
| billions, too.
|
| My friends defend themselves by saying 'HFTs make money by
| keeping the market liquid', 'there's nothing wrong with
| arbitrage', etc. That's fair, but I still feel that's just
| sugar-coating what I said.
|
| At the same time, I don't really say anything in person to my
| friends, because, well, they're friends, and secondly, my lousy
| grades make me feel thoroughly unqualified to make any sort of
| criticism.
|
| I personally would rather do embedded, automotive, avionics, or
| game engine development. I just wish I had someone to discuss
| this with. Hardly anyone I know wants to do these instead,
| because the salary is lousy to above average, the hours are as
| bad, and especially game development is considered a mostly
| rubbish job to have. It really sucks, because I've gamed all my
| life and always found video games pretty damn amazing, both
| technically and just in general. It was a pretty bad bubble-
| bursting moment when I discovered just how bad the game dev
| situation was--overwork, crunch, sexual abuse and sexism, bean-
| counter-led design and marketing decisions.
|
| I'm not looking for 100% job satisfaction (I accept even the
| most exciting work will have its dull periods), but it would be
| _nice_ if the thing I spent 8-10 hours a day doing for a salary
| was something that remotely excited me and others, instead of
| just mindlessly piping money from X to Y and back just because
| it paid half a million a year.
| caddemon wrote:
| Most people I've met that actually got jobs at top HFTs were
| quite curious about a lot of topics in school (and still are
| with extra time they have). I'm surprised your friends are so
| fixated on HFTs while there are so many interesting and/or
| fun other things to spend time on when undergrad on campus.
|
| A lot of HFTs have their own training programs anyway for the
| job specific knowledge, so it is more important to build up
| the right base math and/or dev background than to hyper
| fixate on HFTs all of undergrad, even if your end career goal
| is to make bank.
| _dain_ wrote:
| >Most people I've met that actually got jobs at top HFTs
| were quite curious about a lot of topics in school (and
| still are with extra time they have).
|
| yeah and that's the worst part, they take the brightest
| minds of the generation and have them working on moving
| money around instead of building fusion rockets
| caddemon wrote:
| Tbf many of them were pretty jaded/burnt out by trying to
| do academic research before fully taking the plunge. I'm
| sure there are smart people drawn by the money right out
| of the gate, but other fields have also done a really
| good job of driving people away.
| delta_p_delta_x wrote:
| > I'm surprised your friends are so fixated on HFTs while
| there are so many interesting and/or fun other things to
| spend time on when undergrad on campus
|
| Many of them were or are interested in other things like
| compilers, home-labbing; a couple of them game, too. It's
| just that because we're about to graduate, job offers
| dominate the conversation, and HFT jobs dominate _that_
| conversation.
| caddemon wrote:
| Fair enough, the time around graduation can be pretty
| stressful for everyone!
| rr888 wrote:
| > 'HFTs make money by keeping the market liquid'
|
| Ironically they only really keep the market liquid when the
| sun in shining. When there is a big crash and you really need
| liquidity most HFTs disappear.
|
| They have put a lot of highly paid human traders out of
| business though which is something. The C++ devs might be
| earning a lot but its less than their predecessors.
| slymon99 wrote:
| Do you have any evidence for this, empirically? I mean yes,
| HFTs aren't going to let their orders sit stale when FOMC
| announces a giant rate hike, they aren't going to lose a
| bunch of money to keep the market healthy. But generally
| when vol is high, liquidity is at a premium, so I would
| imagine HFTs become a higher percentage of the market
| (though spreads are still going to be wider).
| Game_Ender wrote:
| If you want a good salary with impact and embedded/high
| performance C++ look into the self driving field. Check
| companies like "Cruise" and "Waymo" and see levels.fyi. It's
| not all sunshine and rainbows, but it is making the future vs
| simply manipulating the finical system.
| delta_p_delta_x wrote:
| Thanks for the recommendations. I've applied to more
| traditional auto firms (BMW, VW, Mercedes, Volvo), and
| hadn't really considered the newer ones. Cruise looks
| particularly interesting.
| kennend3 wrote:
| Have family working there. You can get past 300K fairly easily
| once you factor in signing bonus, annual bonus, and "extras".
|
| They pay VERY VERY well indeed.
| Zaheer wrote:
| Yup, that figure I posted was just base but we often see
| folks getting multiples of that through bonuses.
| rr888 wrote:
| Its kinda sad though being a great company and the only thing
| people know you for is high salaries. Anything else good about
| the company?
| emptybits wrote:
| Jane Street is responsible for the Signals and Threads
| podcast[1], which I always enjoy. They also contribute a lot
| to the OCaml language, standard libraries, and do a great job
| of explaining why OCaml is a great language and paradigm.
| I've learned a lot because of Jane Street's sharings.
|
| I have no connection or interest in Jane Street but this sure
| gives me a positive impression of the company.
|
| [1] https://signalsandthreads.com/
| nequo wrote:
| Yaron Minsky, the host of Signals and Threads, is also one
| of the two authors of Real World OCaml[1] which is a good
| resource on the language.
|
| [1] https://dev.realworldocaml.org/
| caddemon wrote:
| For anyone that did competition math in HS one of the two
| authors of the main Art of Problem Solving books is also
| high up at Jane Street, on the trading side. JS sponsors
| stuff like math prize for girls now.
|
| Obviously there's a potential recruiting benefit to
| funding contests and posting monthly puzzles and whatnot,
| but I still think it's a cool vibe that not a lot of
| other companies have.
| paxys wrote:
| They do pay extremely well, but are also very selective. The
| kind of talent they are looking for can earn similar salaries
| at large tech companies like Google ($400K-500K TC is pretty
| common at staff+ levels).
| caddemon wrote:
| They do a lot of hiring out of school though, so they are
| selective but if you make the cut you'd definitely be earning
| more at the start of your career. Plus if you perform well
| you can make well over 500K TC by the time you would have
| been promoted to staff at FAANG, because of bonuses.
| kennend3 wrote:
| One difference is Google, etc are all doing massive layoffs
| and i doubt JS, Citadel, etc will do this.
| nequo wrote:
| Note though that Citadel is reputed to have a turnover rate
| of 100% per year. Their layoffs take care of themselves.
| hermitdev wrote:
| I spent 9 years there, left a decade ago. Turnover is
| high, but this is a gross exaggeration. It is stressful,
| and not everyone can hack it. I was there during and
| after the '05 layoff when roughly 2/3s of IT was cut.
| That's still the worst I've heard of from what I hear
| from friends that are still there.
|
| Ken G definitely does the "Good to Great" getting the
| right people on the bus thing, which typically means the
| bottom 5-10% are cut, but even that was slowing before I
| left.
| nequo wrote:
| Thanks for correcting me. Did you get a sense of whether
| engineers had a higher or lower turnover rate than
| traders?
| tomjerry777 wrote:
| The turnover for engineers tends to be lower than for
| traders at citadel and at a lot of quant firms.
|
| Additionally, the turnover for citadel is not evenly
| distributed across teams. Certain teams and orgs have a
| lot more turnover than others. Some teams are made up of
| people with <=2 YOE at company while others are made up
| of people with >=15 YOE at company.
| kennend3 wrote:
| This!
|
| My personal background is a "well known hedge fund" and
| the turnover there was rather high.
|
| Many quit because it wasn't "a good fit".
| johnmaguire wrote:
| Really? Isn't FinTech getting hit harder than just about
| any other industry right now?
| kennend3 wrote:
| First, i dont consider Citadel, JS, etc "fintech" because
| they are not in the same line of work.
|
| " Fintech, a portmanteau of "financial technology",
| refers to firms using new technology to compete with
| traditional financial methods in the delivery of
| financial services. "
|
| This is NOT what people like CIT, JS, etc. do.
|
| So maybe FinTech is being hit very hard, but from what i
| hear Cit, JS are doing just fine (no real layoffs).
| smabie wrote:
| Haha yea FinTech would be a pretty derogotory term to
| call a HFT firm
| ecshafer wrote:
| I agree that Two Sigma, Jane Street, Renaissance, etc.
| are NOT Fintech. Fintech is a really large umbrella which
| seems to includes people like Paypal or Bloomberg and
| things like robotraders or companies that deal with some
| financial product. Hedge Funds / HFT / Algo traders can
| be really sophisticated with their technology, but I
| wouldn't call them "Fintech".
| nvarsj wrote:
| HFT makes money off of volatility. The more the world
| burns the more money they make by keeping markets liquid.
| durumu wrote:
| That's true, in much the sense that doctors make money
| off people being sick. In times of high volatility, it's
| HFTs that provide liquidity and keep spreads narrower
| than they'd otherwise be. It is extremely illegal to
| purposefully make markets more volatile; good trading
| firms are not going to do that.
| paxys wrote:
| Smaller companies do layoffs as well. They just aren't as
| highly publicized as those at tech giants. Severance
| packages are usually worse/nonexistent as well.
|
| HFT companies also have much higher performance bars and
| rates of overwork/burnout. I'm willing to bet that people
| are leaving Jane Street, Citadel etc. (whether voluntarily
| or not) at much higher rates than large tech companies like
| Google.
| mmiyer wrote:
| True of Citadel, but Jane Street is supposed to have a
| solid wlb, and because of the high pay and the few
| companies willing to pay at that level, people generally
| stick around there. These kind of finance companies also
| do better in volatility so they're definitely not laying
| off right now.
| Ntrails wrote:
| I would assume JS has industry standard levels of notice,
| non-compete and deferred comp - which will sure help keep
| people around
| caddemon wrote:
| Jane Street definitely does not have a non-compete.
| Citadel does though.
|
| Deferred compensation is probably not relevant to any of
| the major quant firms, payment is almost entirely cash.
| If you're high enough up to start receiving stake in a
| prop firm directly as part of your bonus you are an order
| of magnitude above the TC cited by the original comment.
|
| Of course, the amount of comp you can get is a big reason
| people stick around. For that level of earning potential
| JS is really good on the WLB front. But it's not going to
| be as good as big tech is (or at least has been), since
| QT/QR just has different requirements as a field.
| boring_twenties wrote:
| When I worked at a small prop shop, the cutoff was $400k
| TC, after which 50% would go into the fund for N years.
|
| Currently I work at a large bank. My comp is all cash,
| but many of my colleagues get deferred stock
| compensation. Not sure what exactly the limit is but it's
| definitely much less than, say, $1m.
| caddemon wrote:
| Might depend on the firm (or times) then, the starting
| trader TC is already pushing 600K at HRT, JS, etc. and
| many don't let you invest year 1 even if you wanted to.
| I'd be shocked if any of the major names made you take
| comp as a stake in the fund pre-1m today.
|
| Large banks are for sure a different story, though I've
| heard of other large banks buying people out that they
| wanted to hire by offering the equivalent package in
| their stock of what the guy would've made in the other
| company's stock.
| Ntrails wrote:
| > Deferred compensation is probably not relevant to any
| of the major quant firms, payment is almost entirely
| cash.
|
| Deferred != stock.
|
| > If you're high enough up to start receiving stake in a
| prop firm directly as part of your bonus you are an order
| of magnitude above the TC cited by the original comment.
|
| Fair
| caddemon wrote:
| Yes you could theoretically delay cash comp over a period
| of 3+ years like tech companies do with stock, but I've
| never heard of that happening.
|
| I suppose by the technical definition the year end bonus
| cash is deferred comp, but I don't think 1 year is
| especially hard to plan around. People might stick out an
| extra few months because of it but it's not locking
| anyone in for years at a time. Plus even if you
| subtracted an entire year from the JS retention rates
| they are still quite good.
|
| Regardless, the amounts cited by the original comment are
| only the base which isn't deferred by more than 2 weeks
| at a time, whatever your bonus potential is.
| Ntrails wrote:
| > I've never heard of that happening.
|
| I have heard of it enough that I assume it is industry
| standard (much like the non compete).
|
| Admittedly I am more familiar with the quant side than
| pure dev
| caddemon wrote:
| Interesting, I only have close friends at a handful of
| places so perhaps those are exceptions. Could be a dev vs
| trader thing too, I have heard the trader bonuses can get
| really nuts so maybe a deferred structure starts to make
| more sense at a point.
| KRAKRISMOTT wrote:
| When they start letting you put your own cash in, you
| need cash to start with.
| caddemon wrote:
| Jane Street does much better at retention than Citadel
| and probably many other quant firms. The performance bar
| is definitely higher than the average at Google but it's
| not like there is no WLB either.
|
| Because they are more selective about fit to begin with I
| wouldn't be surprised if JS has better yearly retention
| than most FAANGs. People seem to hop between different
| big tech cos quite a bit (pre hiring freezes anyway).
| lotsofpulp wrote:
| I do not see a way to compare big tech companies and Jane
| Street or Citadel, seeing as how the big tech companies
| employ many tens of thousands of very qualified people
| and Jane Street and Citadel are a couple thousand max.
| caddemon wrote:
| Yeah there are a lot of differences, I wouldn't normally
| bring up the comparison. My point was just that the
| turnover is not as bad as the other commenter was
| implying.
| jrockway wrote:
| Where is Google doing layoffs? The latest news I have is
| that people are very worried about layoffs, but so far
| they've only started putting people on rebranded PIPs.
|
| The other FAANGs are definitely laying people off, though.
| I personally think the recession is a self-fulfilling
| prophecy, but regardless of my take on the fundamentals, it
| is certainly fulfilling itself and everyone in tech should
| be pretty worried right now. This is not the year when
| you're going to increase your salary by jumping to a cool
| startup as employee #3.
| dasil003 wrote:
| > _This is not the year when you 're going to increase
| your salary by jumping to a cool startup as employee #3._
|
| Agreed, you won't get a big salary out of the gate
| because unproven startups paying huge salaries are
| dropping like flies as the easy capital dries up. On the
| other hand, the likelihood of getting in on the ground
| floor of the next FAANG is increasing as staffing costs
| decrease and behavioral changes increase during a
| recession. EV obviously still higher at established top-
| of-market companies, but when has that ever not been the
| case?
| kennend3 wrote:
| you are correct, it has not happened yet, but you willing
| to bet it wont in the next 6 months?
|
| https://www.seattletimes.com/business/google-employees-
| brace...
|
| https://www.cnbc.com/2022/12/22/google-tells-employees-
| highe...
| DWqRdped wrote:
| a high performer at citadel or JS can make 1m in 5 years. i
| don't know many people at google make that much.
| dasil003 wrote:
| Not many at Google receive that much in their offer letter,
| but with the stock appreciation over the last decade and
| stacked refresher grants, I'd be willing to wager there
| were thousands making >$1M as of Nov 2021 (many fewer since
| the stock has fallen though).
| hansvm wrote:
| If Google is offering an initial total cash equivalents
| of $300k (say $140k salary, $480k/4 stock, 15% annual
| bonus on each), that's roughly the same deal as somebody
| else getting a base salary of $300k. The fact that a
| particular investment decision (GOOG) can accidentally
| push the individual's yearly increase in net worth past
| $1M isn't a good way to judge what Google is actually
| offering:
|
| Anyone with a base salary of $300k can obtain a similar
| payoff structure by taking out a $550k loan to invest in
| GOOG, and taking out additional smaller loans at each
| stock refresh. The tax benefits from capital gains/losses
| and time-value-of-money benefits from getting your bonus
| sooner should handily outweigh the cost of servicing the
| loan, but even in a worst-case scenario where you pay
| interest for no benefit, that example Google offer would
| be a lot more comparable to a $315k-$330k salary, not a
| $1M+ salary.
| Sevii wrote:
| Citadel has 2600~ people, Jane street 2000~ while google
| has 150,000~.
| selectodude wrote:
| Those are low numbers compared to the smaller prop shops that
| routinely pay 1MM+.
|
| Gotta have a PhD in pure math though. That shit is bananas.
| smabie wrote:
| You don't need a PhD in pure math to get into these prop
| shops.
|
| However they do sometimes pay !MM+
| nequo wrote:
| Do you have a source on the $1mn+ figure? I would be curious
| to read more about this.
| selectodude wrote:
| I mean, not really. This is personal knowledge. You can't
| really look up salaries because the base is like $175k but
| even in mediocre years they're getting high six-figures in
| bonus.
|
| Take a peek at what Wolverine, Radix, or Jump are paying
| new grads though. It's generally like $500k+. Even Jane
| Street, which is a larger place that hires people who
| aren't published mathematicians (see: Sam Bankman-Fried)
| pays $750k
| caddemon wrote:
| Yeah the numbers he posted were also base from JS and
| Citadel websites, so they're not reflective of how much
| one could (or even guaranteed will with the early career
| bonus floors) actually make at those places.
|
| This is for traders and researchers though. You can get
| pretty similar early career salary + bonus as a SWE at JS
| or Citadel, which is probably what more people on HN
| would be considering. Do you know what kind of pay the
| smaller shops offer for pure SWE?
| selectodude wrote:
| I'm afraid that's out of my purview. Only familiar with
| quant traders and researchers.
|
| I'm sure it's as good or better than big tech. But you
| don't get to live in San Francisco and the work is a lot
| more boring.
| slymon99 wrote:
| > You don't get to live in San Francisco
|
| You get to live in New York City which is unparalleled in
| the US in terms of urban amenities. The weather can be
| brutal though.
|
| Or you live in Chicago which is like, still a solid city,
| but the weather is even worse.
|
| I would disagree that trading firms are more boring than
| big tech. They are typically much smaller and leaner
| (even HRT and JS are like sub 2k?), and generally
| employees have massively more impact and ownership as
| opposed to being a cog in a 20k developer machine.
| laidoffamazon wrote:
| I'm more surprised people don't know this. It's the primary
| cause for my depression.
| matheist wrote:
| Anyone know of any open-source exchanges at the level of
| sophistication described here?
| shakezula wrote:
| I wrote an open source one in Go that I'm still working on.
| It's never meant for production. The code is at
| github.com/dylanlott/orderbook and there's an accompanying
| write up on it at dylanlott.com/orderbook if you're interested.
| eftychis wrote:
| Thank you for the writeup.
| [deleted]
| jjoe wrote:
| Are there any technical books or reading material about matching
| engines out there?
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