Software Engineer at prop shops advice

KevinNYC:

At a lot of shops, the alpha models and the infrastructure are one in the same. One model that is common is as follows:

If you have 5 developers (arbitrary #), you have a 5-week cycle, rotating every week: 1 week Ops 1 week infrastructure 3 weeks alpha research

Obviously the PM can adjust this model as needed but it is good/necessary practice to have everyone in the loop in a large technical infrastructure.

However, it is easier to teach a quant some developer skills than to teach a developer some quant skills. At a big prop shop, they likely have dedicated infrastructure/ops developers. You keep the quants in the loop as needed and thoroughly document your APIs ;)

If you are interested in building algo's, you will need to study up and learn the numpy/scipy libraries (seem to be pretty standard these days)

Happy to answer any follow-up questions.

K

I can confirm what Kevin said for a quant group. Typically, these groups have a few dedicated developers (these people choose to be developers by choice though - top notch programmers who don't have interest in finance), but everyone else rotates depending on the needs of the group. That said, there do exist pure infrastructure groups that do no modeling whatsoever. These include database groups, IT framework engineers, application developers (these people sometimes also generate analytics, so you might get some exposure to finance here).

On the whole it depends on what group you apply to - you can usually gauge from the group description if the group does any quant work. If the group does do some quant work, you can definitely ask for projects in that area, but don't hope for much if it's a pure infrastructure group.