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If you are trading "things" in a non-latency sensitive manner (more or less), you should not bother with a complex system. It's very unlikely that you'd be able to compete with the high end MMs for scraps of their business. Instead you should assume that you are going to be a net payer of...

Upon some analysis (with the help of a few former co-workers), we are moving towards the suggestion by temnik - kdb+ in the long run. In the ultra-short run, I have switched to storing everything in duplicate as a pickle to improve read spreads from python. It truly would be nice if there was...

That too uses Jedi :) apparently people even use Jedi-based autocomplete in Visual Studio Supposedly, Spyder is a great tool if you need to actually write complex code such as libraries. I gotta take a look at it, been meaning for a while. Jupiter notebooks are fantastic for prototyping and...

For your purposes, you can just build a n-branch tree starting with the lowest correlation pair or something like it. However, i really think that before this exercise, you want to think of “what” correlation you are using. For long term strategies that’s a more important factor.

Well, but of course they can. It totally mundane for higher frequency guys to post double digit Sharpe ratios and returns of a few hundred percent. With their capital turnover it’s not hard. Obviously, that’s irrelevant here. Out of curiosity, what was your average $Vega and $theta during this...

quant funds are managing only about 10-15% of total AUM in the hedge fund space so I would be surprised if they were massively represented most long-short funds are, in reality, closet longs and usually do better when the market is rallying while quant funds tend to be truly market neutral...

Any editor/ide that supports Jedi has reasonable autocomplete and static analysis for python. I used Atom, personally, but I think Jedi works for jupyter notebook too

That, my friend, is an "maximum edge weight clique problem" and it's pretty darn hard to solve. There are alignment-style algorithms that approximate the solution, though.

If you are planning to trade vol, the system should be vol-centric.

I assume that includes the commissions and the exchange fees? It feels high, I can quote someone Monday to check.

Nothing RenTech does is latency sensitive. It would be impossible to run the type of capital they are running.

It's possible, just not very probable.

Latency arb is not as easy in cryptos as it appears - transfer fees, transfer speed, exchange risks etc. In short, "it's not an arb". Ugh, if he was truly arbing them, than probably the other leg of the trade is on another venue and he lost money. Sounds very painful. It's an interesting case...

Just FYI, a quick glance at the tick data - median b/o for EUR is 0.4 pips. Also, 1 pip is more or less equivalent to the bid/ask spread you see on the spooz and even 3 pips is miles tighter than what you get in VIX futures. You should mainly compare bid/offer to the volatility that the asset...

How much AUM are you guys running that you have such staff needs?

Hmm. I wonder if your career path is possible now? On the merits of schooling. I think there is an educational aspect to going to a good school which is hard to deny (even the startup founders that dropped out usually dropped out of Harvard:)). Then there is the whole degree-access aspect to...

While I doubt it's possible to be an HFT player on your own these days (the technology investments are too high), they certainly take the cake in terms of return on capital. The truly UHF players easily produce hundreds of percent on their capital with unbelievable Sharpe ratios. However, at...

I hope that you do make it. On a more realistic note, I have to say that long-term perspectives as a self-employed trader are pretty dim unless you are sitting on a very nice chunk of capital. I To make a respectable living in a place like Chicago, without taking unreasonable risks, you probably...

With all due respect, you can't disagree that in the modern world it would be near impossible to follow your path. These days if you want to make it to professional finance with high probability, you need a college degree in a quantitative field. It would be an interesting statistics to see...

In general, whenever trading delta-one products that have/had a very skewed distribution or a strong drift, you might want to break your trades into initiated buys and sells, with separate statistics.