Hustling into Algo/HF (Quant)

Short of it is that I bombed into a non-target almost 2 years ago and I'll be getting a Computer Science Bachelors and a Masters in Data Analytics come a year or two. GPA is not an issue.

Masters in Financial Engineering (MFE) from a target down the road, is on the table. But for now, I'm not stacked and the no job experience will hurt me in admissions.

I've got a metric load of free time on my hands so building a high frequency trading (HFT) engine is all I'm spending my time on right now. Open source for exposure, and in C++ because everything out right now is in Python -- and Python's slow as shit and can't be optimized as much as C++.

The end goal is to network (or force) myself in front of anyone that can get me even a single chance for a buy-side role. The Plan B is to wander around the NYC/CT area as a hobo rambling "look, look! I can get these speeds on a shitty Linux quad core!" to anyone that so much as looks like they might have money behind them.

Sanity check: What's gonna up my odds? They're pretty low, I know, but anything that'll raise them is what I'm looking for.

And @IlliniProgrammer & anyone else that has "quant" experience:

What is the current HF "hot" problem? What can I drop in front of a PM and have him salivating to fela- hire me? (Besides a machine that can predict the future -- that'll take 10-25 years and a lot of LSD)

Aside from the portfolio, what about side-studying the the MFE curc from Baruch? Most of my time, after the initial build, will be optimizing algos, routines, and data structs anyway. Looking through the syllabi it all looks pretty straightforward.

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Comments (21)

Apr 26, 2018 - 11:43pm
malloc:

What is the current HF "hot" problem? What can I drop in front of a PM and have him salivating to fela- hire me?

My guess is that most things you can come up with as a hobby are not likely to get anyone excited. That's especially true with anything high-freak-related you can come up with. So no, don't get all immersed in C++ and start squeezing those mikes in w2w latency. Not to say that there is no value in knowing that, but that's not a skill that would get you employed these days.

If I had to find a something sexy that would attract attention of a quant PM ("Personified in this case by an 'orrible cunt ...me"), I'd look at applications of alternative data (non-market), especially involving machine learning or fancy stats. In the process you'd acquire a relatively rare skillset (CS + data science). People like that are well bid outside of finance so you will have a competitive advantage even if you change your mind regarding the whole quant thing.

I have a friend who lives in the country, and it's supposed to be an hour from 42nd Street. A lie! The only thing that's an hour from 42nd Street is 43rd Street!
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Apr 27, 2018 - 7:45pm
malloc:

If 1/3: I probably will never be able to go toe-to-toe with dedicated teams, but I can get close. Maybe not nano-seconds close, but optimizing the shit out of an FPGA and making a "no-kernel" kernel will put me in the microseconds range.

It's more along the lines of 2 and the fact that low latency engineering has been commoditized over the last few years (for various reasons). The times when you can get paid well for simply knowing how to build fast systems are more or less gone.
malloc:

If nothing else, it'll be something to point at when asked for proof of my skillset. Because after looking through some of these quant-dev requirements (Jane, Citadel, HC, BlackRock), I know I've got all the dev experience needed, but nothing nicely wrapped up to prove it.

No, you do not, trust me on that. Not because you are not smart enough, but mainly because you don't have the domain experience. But yes, if you build something like that it would help at an interview (even though I am pretty sure any HF developer will tear you apart anyway).
malloc:

I want to focus on HFT/dev work, because it's what I'm good at.

Research/financial engineering on the side. So if dev work doesn't turn out to be challenging/rewarding enough, I can attempt to switch gears and go MFE without being completely blind-sided.


Firstly, you probably don't don't really know what you are good at, especially at this point in life. You tried software development and "it works", so you think you are in love with it. Once you have to maintain a pile of noodle code (written by the likes of myself), you might reconsider.

Secondly, there is no realistic way to do research "on the side", especially if you are busy maintaining the plumbing (that's what most developers are doing 90% of the time). While you will have some minor exposure to finance, you are not going to gain the skills needed to produce alpha.

I have a friend who lives in the country, and it's supposed to be an hour from 42nd Street. A lie! The only thing that's an hour from 42nd Street is 43rd Street!
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Apr 28, 2018 - 11:12pm

@malloc"

You are in a tough spot. I have industry engineering experience from a strong technology company, so the brand I have is easier to work with since I had gotten the opportunity to work on complex problems/issues.

Have you worked in the industry? What about possible internship roles or support roles that is not development related?

No pain no game.

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