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This is very true, the bad thieves are caught printing code and copying files, the good thieves memorize code and steal ideas but call it "work experience".

Just meeting a friend after work. Most of the theft you hear about is some ex trader or quant stealing code and trying to take it to their new job.

I feel like this would be rare because the risk of litigation is high and in the worst case you could face prison time. At least in my own experience, we rent whole cages. Also some exchange colos do not let you or your own remote hands to enter the site, in some cases you must use the data...

I agree, not to say that these guys are legit, but we cannot assume that because they participate in hft that they front run or are crooks. Entirely possible but it's not a guarantee. If it's their risk system that protected them from exposure, in some systems if the market turns against you...

+1 on provide vs take definition. One places resting orders by joining the bid or ask, the other removes orders existing on the book. It really depends on the strategy but market making hft can trade passively using limit orders. For example in index or etf arbitrage. But there will be taking...

I was half joking. In reality it is really subjective and spans the spectrum depending on your personality, role, project, and if you are front office, middle, or back office. Personally I have only worked front office and on trading floors so I don't know how the other halves live.

This answer would change depending on the market/exchange, order type and if there are other offers coming in at the same time. In a price-time based exchange/market (most are) if these are regular limit orders you would get filled 4@1.2, then 6@1.2, and finally 5@1.1. PSX exchange used to...

i am not qualifying their claim, but I can say that 1ms to CME in aurora from downtown chicago (350 e cermac or 400/440 lasalle) is very possible. But the question is to where in CME, my guess is this is just to the datacenter demarc since most exchanges do not let you ping them. Building to...

Agreed, 150k is the average for senior dev, I think you can max out at 175-200k. After that any extra money in the financial industry is going to come from the bonus which is getting weaker in the big banks at 20-30% and 30-50% in the hedge and prop shops for pure IT. With the cost of living in...

I think if you're concerned with latency to the point where you would buy real estate, pay taxes, re zone the property, and run dark fiber to CME you might as well just co-locate with them. Between the hidden costs and effort I think there would be diminishing returns on your investment. I...

If you want a clearer picture of the open on NYSE, you need two feeds NYSE open book ultra and NYSE imbalance feed. The open book ultra will give you the continuous limit order book but the imbalance feed will give you the on-open order qty/price/side imbalance, which can be huge. Like if there...

Me too. Even if the savings doesn't directly result in added p+l, to play devils advocate those single digit micro savings that would come from paying extra for fpga is an easy win compared to expecting them to reduce the latency elsewhere by being smarter or a better programmer or better...

I'm not sure what you a exactly referring to but if you are talking about the large size trades that get printed around 4:01+pm, those are the closing trades from the closing cross auction where they match all of the on-close orders and close the imbalance. After that then there is the market...

EXCHANGE_TO_YOU <your recv time stamp - market data time stamp> You could use this as a relative latency and if you see the number spike or deviate from the rolling median time you could have logic to not act on the quote, but personally I trigger an alert so you can troubleshoot. I would only...

If you don't have direct exchange market access then colocating with the broker is the best you're going to get. This is especially true when trading cross border where they require broker sponsored access like Canada or Brazil.

Could also be an off market block trade or a trade resulting from execution on a calendar spread maybe relating to the implied book. Assuming this is cme.

Yes, I do this kind of stuff every day, it's my job. Is there something that I said that is untrue or out of date? As far as I know it is relatively true. i am somewhat vague just because if we were to go into every aspect like numa or non blocking sockets or cache management we might as well...

Hardware is really dependent on your app, is it heavily threaded or does it do heavy number crunching, etc. Because intel makes custom cpu configurations where they over-clock the cpu at the expense of disabling cores and can also inversely provide more cores at the cost of clock speed. Tuning...

I agree mostly but we use backtesting to test tweaks and tricks and their affect. Mostly to see if there are latency or decision making benefits.

If you think your math skills are weak, go with M.fin As far as programming goes, most quants use python, matlab, r and maybe light c++ with exceptions. If you have a programming background I feel you can learn most of the programming on your own. Knowing how to backtest strategies...