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No, not a fun job. Mentally challenging without being intellectually stimulating. Stressful. Long hours. Morally bankrupt. Everything you'd expect from a sell side trading job. I guess that answers question 2: "What were your reasons for leaving?" GAT

Another small point, even if your book isn't seeing any customer flow or potential news, you will still need to adjust your vega hedges as the book matures, the underlying spot moves, and the greeks change. So you may develop a short vol position in your book, and then axe your pricing to make...

That is pretty close to the truth, but MM will also increase prices if realised vol has jumped, or if there are events in the near future which are likely to impact vol (eg Non farm, elections). GAT (Used to be an interest rate options market maker)

Good point, and it would be interesting for me to (at some point) compare the slippage for 1 tick and 2 tick markets. GAT

Your intution is correct. So in summary: Cost of always paying up: 0.5 tick Cost of passive trading: 50%*-0.5 + 50%*1 = 0.25 ticks Net improvement: 0.25 ticks: about half the original cost This is purely theory, but my actual trade statistics come in at almost exactly this level of...

Yes, I mean an outright spread order. A synthetic spread is basically a broker executed version of "two seperate trades". GAT

I had a quick look at that prospectus, and there's a few obvious differences between my system and theirs. For example, their portfolio is very commodities heavy with no equities and only two bonds, has only 3 momentum rules, has some weird rules about not going short certain commodities...

Of this list I've used emacs, eclipse and pycharm. In that order so currently using pycharm. Atom looks fun but a bit OTT for me. GAT

Didn't say I was. GAT

If there was no point trying to be passively filled then HFT wouldn't exist (or at least would be drastically smaller). All the hedge funds and banks in the world wouldn't bother investing gazillions into improving their execution algos. In practice you will get filled at the bid if (a) like...

You can avoid it... or at least significantly reduce it. Agreed (although I'd argue it's comm + spread that matters) - but it depends what you mean by 'significant'. I paid about 0.5% of my account value in commissions and 0.5% in slippage (for both rolls and execution; I don't seperate them)...

There's an important difference between pre-cost returns and costs. The former have huge uncertainty, the latter do not. So you should always be trying to save costs, especially roll costs since this will have no bearing on your pre-cost returns (whereas trying to trade more slowly to reduce...

This isn't dumb, and remember the old adage 'look after the ticks and the points will look after themselves'. If you're trading pretty slowly (like yours truely), then roll costs becomes quite a large part of your total cost (at the limit of no trading you'd have 100% roll costs). Day traders...

https://www.systematicmoney.org GAT

Yes GAT

"A strategy designed to have lower volatility than the market had slightly lower returns than the market in a year in which the market was up" Even by the poor standards of financial journalism, this is pathetic. Not saying that low-vol investments don't have their issues, but criticising them...

Hi Yes, I use carry smoothing. I use a simple ewma with 'span' in days = {10,30,60,125}. V*X each get an equal allocation to those in my current, 'dumb', handcrafted weights, for a total of 16%. Relative carry has another 4%. Here's the full list: FC VIX V2X Short bias 0.2 0.2...

It depends: Most of my income comes from trading or investing. I guess that makes me a 'professional speculator'. But on a month to month basis it's the dividends from my long only portfolio that pay the bills, with my more volatile trading income a nice (but erratic) bonus. So since I don't...

http://www.automated-trading-system.com/resources/state-trend-following/ Maybe the names aren't crazy enough here either. GAT

I've made a little back this morning as well. Not sure where the losses where - I would have to check - but sounds plausible. GAT