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ex-Citadel QR's soul-crushing post on blindapp getting quite a bit of traction. In a comment on the thread () he says his TC was 1.3m after 2 years. Wonder if he will get sued?
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A hard truth to say out loud: don’t take advice on how to run a quant shop from someone who ran one that failed.
Here's a hard truth that quant firms can't say out loud: According to multiple sources from Tier 1 quant/HFT/prop shops, the number one indicator of success as a quant trader is the university they attended... for undergrad. 🧵
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"keep optimizing babe, I know you can get another 5us out of the hot path"
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max dama is here to make HFT participants feel OK about themselves
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the best quants i've worked with are: 1) strong at programming, get hands dirty in the code regularly, even at high levels of seniority 2) relentlessly paranoid about whether their system is actually working correctly/as intended 3) focus on research that can be monetized quickly
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Don’t invest in VTI.
Instead it would be more useful to start off by learning about
1) equities market microstructure
2) microwave data transmission networks
3) robust statistical learning techniques
4) feature selection / feature engineering
5) market impact modeling
Don’t learn SQL.
Instead, it would be more useful to start off by learning about:
1. I/O hierarchy
2. Indexing, e.g. B-trees vs. hash indices
3. Process model
4. Hardware codesign and column-oriented databases
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a weird thing about trading compared to tech, is due to general secrecy/lack of open sourcing/etc, firms tend to do things pretty differently - much less uniformity in terms of idea and implementation. switching firms is like getting teleported to an alien planet in some ways
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People talk a lot about the SBF Odd Lots ep, but the “Flirting with Models” (cc
@choffstein
) ep with Tabasco is also crazy in light of recent events. In it Tabasco admits that they lost a lot of money making tight markets on FTX but says they figured it out and it was now “chill”
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anyone have a reasonable guess as to what actually happened with the Jian Wu / Two Sigma debacle?
Did he decrease some risk aversion parameter? Or shift some alphas from a portfolio holding mostly client funds to one holding mostly internal capital?
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2S leaking more than smidge of IP about their process in these 2 job listings
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The lesson here is that even if you’re a total autist/degen you need to keep some ties to the normie world to stay sane. Go to the park, get a drink at the pub, watch a basketball game. Too much posting and scrolling will turn you in to a lunatic
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I’ll be honest, winning in HFT involves solving a few very interesting problems but mostly a lot of tedious and esoteric ones. Sometimes I wonder if I’m doing the right thing with my life
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If we start saying mean (but non libelous) things about XTX on twitter maybe Gerko will reactivate
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whole balaji thing is less perplexing if you know his past. He raised tons of funding for a failed crypto startup. His VCs bailed him out by arranging an acq by Coinbase, somehow he became the CTO. Went terribly - he got pushed out. last few years he’s been posting full time
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@susanthesquark
@TraderTs9
And those premiums are ultimately paid by… customers of better-run banks? 100% a bailout. On top of that treasury is putting up 25B (taxpayer funds) to pay for the BTFP
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@experquisite
if you want a good outcome as a non-PM at a pod your best bet is to get a job in a trader facing central role (e.g. shared execution system) that gives you visibility in to the performance of all pods and then work your way in to joining the best one by being valuable to them
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@experquisite
We also value our high returns (flat last year), highly collaborative culture (pod shop) and state of the art trading platform (we outsource everything to Pico and maystreet)
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I think he’s literally just lost his mind, all he does is post all day and probably spends 12h a day in front of the computer alone. Eventually got dissociated from reality
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Rust is
5% - the borrow checker
20% - cargo
10% - the type system
65% - the unbearingly insufferable community that talks nonstop about it, despite mostly using it to build useless crypto nonsense
Rust is:
10% the borrow checker
40% the type system
50% Cargo just WORKS
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There's ~2500 homes in Atherton, CA. The median listing price of an Atherton home is ~10m USD. If the government seizes all those homes from wealthy VCs, and sells them for ~25B, that would cover most of the hole in uninsured SVB deposits relative to assets.
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@dan_is_coding
@AlexanderGerko
my guess is someone convinced him that his twitter habbit was -EV
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@leveredbetaboy2
Most of the PMs will fail so this helps them find the profitable ones faster. Seems smart to speed run this to avoid ending up like exoduspoint where hiring/fundraising becomes harder with a track record of mediocre returns
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@choffstein
their alpha was a larger millenium/baly/schonfeld pod rebalancing in to similar signals at a lower frequency, that pod blew up and now they are just paying xcost / borrow but trading with no alpha
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Years ago, I was looking at grafana and all the graphs were up and to the right. We were having a huge day, one of our best. Turn to the senior trader on my right.
“pretty good pnl today!”
He turns to me, snarling
“how do you know our competitors aren’t making even more?”
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If a coworker updates their LinkedIn profile at all they are likely on their way out. Surprised more orgs don’t monitor this to figure out flight risk
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Anyone want to wire me a few million bucks for no particular reason?
any good reading on rates RV strategies? preferably the ones that go deep into the details. preferably have Sharpe ~2-2.5 after tcost. ideally not capacity constrained, net DV01 neutral and negatively correlated with carry and momentum. code attached is a plus. thanks in advance!
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@OrthogonalAlpha
Devs in trading firms really need to understand that the goal is to make money, not write “clean” code
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for many years HFT devs only cared about network I/O. The concept of being storage/memory bound was laughable. With the much larger models that are currently in vogue, that’s starting to change.
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@sasuke___420
that would go in the interesting bucket fwiw. The esoteric/tedious stuff involves becoming an expert on the implementation details of your venue and optimizing your system for them. Super important but seems kinda pointless in a big picture sense
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the CME should consider listing perpetual futures contract versions of the cash settled products ES, NQ, etc. Might as well steal the main good idea of crypto exchanges
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@AgustinLebron3
The day that GPT4 can take a bloomberg terminal and produce profitable trading strategies is the day a few thousand quantitative traders need to find a new job.
Doesn't eliminate the demand, but increases productivity (and hence supply) by >10x.
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🤣😂🤣😂😂🤣🤣🥲🥲🤣🤣🤣🤣🤣🤣😅😂🤣
Imagine getting this high on your own supply
One idea I’ve been contemplating is that Bitcoin may be the key to extending western civilization.
The natural trend of whichever country has the reserve currency is to inflate the money supply and increase deficit spending until it loses that advantage. The U.S. is somewhere on
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Feels like the next financial crisis will be some black swan event that triggers a massive pod shop deleveraging event
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Imagine being a chad OpenAI dev expecting a 20m payday from selling PPUs in the thrive tender…. and now you’re suddenly a run of the mill SE Level 5 dev slinging code on the MS Azure Cloud365 Excel ML team with equity worth 0
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This seems completely contradictory to the statement by Caroline Ellison & other insiders reported by the WSJ:
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Michael Lewis included an FTX org chart in the footnotes -- where all all these people now?
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@TheReal50972902
@experquisite
This is not the path to becoming a PM. This is a path to getting a cut of a high warning pod as an individual contributor. The EV of joining e.g. the Jump Core Strategies pod or Daedalus at tower as a researcher or dev is higher than the median pod PM (lower variance tho)
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Is he literally K-Holed as he’s saying this stuff?
$TSLA
❖ Tesla Roadster won’t really be a car, says Elon Musk
It’s going to have some rocket technology in it. I think the only way to do something cooler than Cybertruck is to combine Tesla and SpaceX technology to create something that’s not even really a car. [..] Something
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@quantian1
execution algos
block trades
risk management
most useful BB functions
convertible arb
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@tracyalloway
@TheStalwart
good ep but I feel like you cd do another episode on this topic with a guest like Izzy, Ken, Dmitry Balyasny, Bobby Jain or someone else involved in running one of the big platforms. Feels like they have something to gain by dispelling some of the talk about concentration risk
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@joshuaclappers
From someone in the industry this is just false. 2020-2021 were extraordinary years and now things have reverted to 2019 levels. Some firms hired too much and will have to slow growth or maybe even lay off some people, but nobody (of the major players) is going out of business
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The best thing that could happen to the world is for a meteor to suddenly destroy everyone & everything in Atherton, CA
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@experquisite
Strong agree about the adverse nature of getting hired off the street in to whatever pod is hiring…
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to me this reads like jump crypto is way too high on their own supply and are directionally balls long crypto when they should be focusing on making markets/providing liq. Reminds me of Alameda…
1/ Can we trust each other?
It’s one of the fundamental questions that, after the still unbelievable demise of FTX, our industry is struggling to answer.
No, we can’t
Can we?
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@AgustinLebron3
the only quality option for international coverage imho is Thompson Reuters Tick History
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@tracyalloway
@TheStalwart
@real_bill_gross
This is an incredible interview. Informative & hilarious
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@0xfbifemboy
@noonenowhere39
Taxes for a regular W2 employee are basically trivial. It’s all the business /LLC cutouts (research tax credit, depreciation, carried interest, etc) that cause all the grey areas
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@_Dave__White_
Everything you’ve been working on for years is totally pointless and going to zero. It’s ok. Take a deep breath. You’re a smart guy. You can find something meaningful to do.
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@theemilyaccount
@dmfxyz
Shitty perl scripts running critical infrastructure… sounds like a firm that has their office near the giant Schwarma sculpture
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Anyone else farming USD right now? Those 4.2%+ staking APYs are looking pretty irresistible
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@macrocephalopod
@goodalexander
@AlexanderGerko
ceph is the mid frequency twitter main character already.
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"the issues at FTX are precisely ones that decentralized finance can solve through increased transparency and security" - me to my wife's boyfriend
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Effusive blog posts about how crypto is a PVP dark forest go out the door when the MEV arboooors get their ass handed to them
A rogue validator on Flashbot seems to be exploiting MEV bots. Over 25m USD already stolen.
The validator takes a sandwich bundle from the MEV bot and replaces the victim transaction with it's own that exploits the MEV bot instead.
Here's how it works -
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@hodlKRYPTONITE
Mar 2020 was actually pretty similar. Lot of quant factors had sharp drawdowns
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@TradingDutchman
@ClearStreetNews
Does clear street have an internal prop trading desk? bit murky but it looks like they are a spinout of the back office of summit securities group (third tier trading firm) and unclear whether SSG is still in business or even operating as part of clear street
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@MikeBurgersburg
Tether redemption fee is ~10bp, and the spread on curve is 5-6bps. Maybe bitfinex/tether arbing the spread themselves if they can redeem for free?
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Has music and fashion generally hit a wall in last 20 years? New music today sounds basically the same as 2010, people dress the same also. Perhaps something to do with the internet / algorithmic feed? Compare with 60s/70s/80s/90s which each had a unique visual/audio aesthetic
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@choffstein
around 30 min mark: “that was Alameda’s mandate…to market make [on FTX]…literally just providing more liquidity than exists on any other market…it’s trivial to take a ton of money from your trading systems…we might be getting picked off every time a move happens on Binance”
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.
@AlamedaTrabucco
you in international waters rn?
BREAKING: Caroline Ellison and Gary Wang are cooperating in the case against Sam Bankman-Fried.
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@Jason
This will cost you dearly, you just haven’t realized it yet. VC will be hated by the masses as the banks were post 2008. Get ready for stringent regulation, end of the carried interest loophole, etc. You’d been way better off w SVB depositors getting paid 80c on the dollar
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@TradingDutchman
@ClearStreetNews
Never mind it’s public info SSG -> clear street markets, subsidiary of the PB. Explains why Virtu is pissed. PB with a MM desk - sounds familiar 😅
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3) adopt maker/taker pricing to encourage tighter quotes. so fees become:
BET fee: 15bp for takers, -5bp for makers.
WINNING fee: 10bp on gains (symmetric)
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@therobotjames
@macrocephalopod
@moreproteinbars
@nope_its_lily
Cliff getting mad at you is pretty pedestrian, need the full gerko dunk to really feel alive
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@0xfbifemboy
@noonenowhere39
The people hurt by better enforcement by the IRS are also the people who pushed to create the complexity and who benefit most from it
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@macrocephalopod
Wintermute likely # 19 or 20.
To be fully transparent about this and stop doing ritual dances with journalists and counterparties:
Wintermute FTX holdings: 55M
Wintermute Net Equity assuming FTX recovery is zero: 400M
Of which fiat&stables: 350M (difference is venture book and BTC/ETH)
Debt to equity: 2.3
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@theemilyaccount
if you had been less funny we wouldn’t be in this mess
p annoyed this girl took the entire vibe I had been planning for my twitter persona
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@RobinWigg
@therobotjames
@macrocephalopod
The big multistrats (millennium, citadel, balyasny, schonfeld) have been putting up pretty consistent numbers for a long time and aren’t impossible to get in to, if you’re willing to agree to some pretty unfriendly terms re: lockups etc
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@experquisite
+ a bunch of stuff about corporate actions, like if you run this code every day for a month can you actually make a sensible return series
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