Have a first round call with a PM at one of the big MM (P72, Citadel, Millennium etc...). Anything specific to prepare for outside of the traditional pitch? Just wondering if anyone has any clue if certain MM firms ask specific questions.
I'll chime in since still NBA preseason. I've interviewed with 3 such different PMs, most recently when I was at sell-side. Didn't get any offers in the end.
1. How much PnL you made last year andmore importantly, how much of that was prop?
These PMs immediately know that trading at a HF is vastly different than trading at a bank; the differentiating factor specifically is the lack of client information at the buy-side. Thus, for all interviews I had, the prop PnL was the only one that mattered. I used to think I could say I made 20M for the bank and got the job; not the case here.
2. Out of the PnL you've made on prop, how much was paid as transaction costs i.e. spread crossing?
Most of the PMs who interviewed me went into detail how much spreads were crossed in order to come to a conclusion whether my prop strategy could scale. The objective was to answer the following: if I paid X in spreads on trading size M, what spreads would I have to pay, call Y, if I traded size N. And what is the increase in PnL relative to Y.
For example, I made $100, after spreads, opening and then closing 1M EUR. Estimate 1M EUR to be 0.5bps wide so $50 to open and close 1M. Mark to mids, I made $150. Now, let's say I traded 10M EUR instead, I'll make $1.5k mark to mids. But let's suppose now that 10M EUR is now 2bps wide, subject to the HF's liquidity. I'll be paying $2k in spreads. Thus, if I were to trade 10M instead of 1M, I'm actually making a loss of $500.
If this may surprise some, it isn't that difficult to see when I highlight that making $150 on a 1M EUR trade implies that EUR only moved 1.5 pips in my favour. The key is that in order to scale, I needed to capture a large enough move to compensate for the spreads for a larger size OR to trade 1M but over many signals with high win probability OR to employ a sophisticated execution algorithm to fill 10M at 0.5bps wide.
The point: the PM who interviewed me questioned the specifics on whether and the how my strategy could scale. Get ready with the details.
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I'll chime in since still NBA preseason. I've interviewed with 3 such different PMs, most recently when I was at sell-side. Didn't get any offers in the end.
I got asked two main questions. Note that they knew I was doing quant trading.
1. How much PnL you made last year and more importantly, how much of that was prop?
These PMs immediately know that trading at a HF is vastly different than trading at a bank; the differentiating factor specifically is the lack of client information at the buy-side. Thus, for all interviews I had, the prop PnL was the only one that mattered. I used to think I could say I made 20M for the bank and got the job; not the case here.
2. Out of the PnL you've made on prop, how much was paid as transaction costs i.e. spread crossing?
Most of the PMs who interviewed me went into detail how much spreads were crossed in order to come to a conclusion whether my prop strategy could scale. The objective was to answer the following: if I paid X in spreads on trading size M, what spreads would I have to pay, call Y, if I traded size N. And what is the increase in PnL relative to Y.
For example, I made $100, after spreads, opening and then closing 1M EUR. Estimate 1M EUR to be 0.5bps wide so $50 to open and close 1M. Mark to mids, I made $150. Now, let's say I traded 10M EUR instead, I'll make $1.5k mark to mids. But let's suppose now that 10M EUR is now 2bps wide, subject to the HF's liquidity. I'll be paying $2k in spreads. Thus, if I were to trade 10M instead of 1M, I'm actually making a loss of $500.
If this may surprise some, it isn't that difficult to see when I highlight that making $150 on a 1M EUR trade implies that EUR only moved 1.5 pips in my favour. The key is that in order to scale, I needed to capture a large enough move to compensate for the spreads for a larger size OR to trade 1M but over many signals with high win probability OR to employ a sophisticated execution algorithm to fill 10M at 0.5bps wide.
The point: the PM who interviewed me questioned the specifics on whether and the how my strategy could scale. Get ready with the details.
Regards,
Nijikon
Rerum eaque libero sit officiis occaecati quibusdam. Blanditiis rerum dolorem sint sunt eius et assumenda minus.
Velit repudiandae cum aut numquam id commodi. Sit ipsa nisi praesentium qui voluptatum non qui. Distinctio et nemo deleniti reprehenderit eum harum. Porro quia atque placeat est rerum explicabo.
Laudantium ipsa veritatis perferendis. Ad impedit asperiores id officia voluptatem deleniti fuga.
Exercitationem id perferendis dicta sequi. Aut id aut veritatis sed perspiciatis animi inventore eum. Optio voluptate qui voluptatem impedit. Excepturi amet commodi qui qui. Voluptas explicabo ea suscipit ullam dicta rerum.
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