Tim Meggs
@TimMeggs
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LO Tech. HFT. Views probably someone else's.
Joined March 2013
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I've worked in a bank (10yrs), a hedge fund (6yrs) and in HFTs (4yrs). Two things:
1. Yes, I'm old
2. You be amazed - stunned - by the number of premium name counterparties whose polished branding and external image belies a myriad of internal 'systems' that are held together…
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The Missing Quant. True story.
First trading desk I worked on. Bank. Prop equity derivs. Me, 25, junior as f.
We had a stat arb team as part of the group. Three traders, one quant.
The quant was a mad bloke. Unintentionally hilarious. He had one PhD and left academia in the…
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@DenisPitcher
100%. Add the effect of bolting new systems acquired through merging desks, teams and acquisitions and, bingo. System spaghetti.
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@abcampbell
If only there was a burgeoning alternative set of composable financial systems.
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Most of the bank quants I met in my career were physics background. Even complex financial math was trivial for most of them.
I often wonder if this fact contributed to the ballooning complexity of credit derivs in the early '00s
i.e. let's do this synthetic CDO^2, not because…
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Bank trading floors are either 'run' by Sales or Trading. Each side usually thinks the other is a waste of space:
"you don't understand the risks in the products" Trading to Sales
"a computer can do your job" Sales to Trading
The truth, of course, is they are symbiotic. No…
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Raw MM (no alpha in theo) shouldn't be thought of as a trading strategy at all - it's a service.
And not a "service" in the sense of the MM-as-a-service deals that token issuers enter into with mms, no.
A raw MM provides a service to all users of a market; that service being…
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Spent a career trading derivatives and building systems that do it well.*
Know that I love about it? The details. Every exchange, every contract is different. Details are table stakes for not getting a rude awakening from the market. And in those details you might, *might*,…
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I wake up, I think about market making
I wake up, I'm think about microstructure
I wake up, I think about the interaction of two (or more) derivatives at microsecond resolution across AWS zones.
I'm not normal
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Wife: space-time is cool. What would you do if you could travel at the speed of light?
Me: manually run arbs between geographically dispersed financial centres
Wife: 😒
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Pssst. Wanna know a secret?
The most valuable thing you can bring to a quantitative trading role, and which will get you further and serve you longer, is definitely NOT your pure quant skills.
Rather, the ability to hold in your head, interrogate and explain, two or three…
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The best quants I've worked with - and I've worked with a lot - almost always have active interests (physical, mental, or mixed) that fill their head space on the daily way more than the maths/finance they're paid to do.
Something something creative thinking something something…
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Much of HFT engineering is dedicated to ensuring timely handling of messages during periods of heavy load. By definition, heavy load is not the regular state of things. This leaves your systems over provisioned and under capacity most of the time. Two things:
1) find something…
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Is there a better corrollary / mental model for market making than systematic option selling?
- edge as premium
- vol as proxy for asset risk (vol ⬆️, edge required should ⬆️)
- large moves hurt in the short run, but higher vol envs better for pnl in medium run
Having…
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A great way to help with this is to minimise the chances that the system needs to carry state around in order to operate
Every action should be a logical response to current state.
Hella helps debugging and running simulations too
the amt of effort it takes to manage complexity in a trading system dwarfs the effort to add it in the first place
so easy to carelessly add complexity
need to keep in the back of your mind the q "if trading is going poorly, will i still be able to figure out why?"
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1. Learn, then move. Repeat.
2. Age 20-35yrs, is when you build the foundation.
3. In later years, your network will be the best source of interesting work. Continually cultivate it.
What is an underrated piece of advice for people early in their career?
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Of course that's your contention. You're a marco generalist. You just got finished reading Flash Boys probably, you’re gonna be convinced speed is evil until next month when you get to CME calendar spreads, then you’re gonna be talking about how pro-rata is superior to frequent…
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Yo DeFi.
Stop called Cex-Dex trading "stat arb". It's not.
Come up with something sexier. Or more accurate. Like: matching mechanism latency war.
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It's likely a HFT MM values their speed for its role in cancelling orders at least as much as for its role in picking off your slow limit orders Anon.
Let that sink in.
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With 43 open chrome tabs on my mobile, when will I realise I'm not good at following up on the "I'll read that full length article later" promise I make myself daily
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If a market order falls in the orderbook and there's no one there to hear it, does it even fill?
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@BlackSwan_ptf
The answers more nuanced than a tweet reply allows, but for general liquid flow products, yes. The only reason they're not already is because the incentives for the top execs in both Sales and Trading partly aligned with having large teams of humans working for them.
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@JaredKubin
Most HFs would kill for a good MMs account curve. And most MMs are proprietary firms. No external client investors a la HFs
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If order books made sounds, what would they be like? What does a taker order sound like as it rips through 10 levels? What noise does a canary order make as it's picked off and rushes back to tell the tale?
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Our simulator so good it even sends the odd fill after cxl been ack'd
If you know, you know
Bybit 👀
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Orders need to be present, to be filled, to capture edge. Orders need to be absent to avoid adverse selection, toxic flow.
Wen quantum order books?
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The irony of talking about details in a post with a glaring typo has not escaped me
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If you find an edge, before you put any strategy in play to try to capture it you should be able to answer two questions:
1) what game are we playing?
2) why am I (uniquely) well placed to win at this game?
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@macrocephalopod
and there was me thinking we were pvp battling teams of ex-Jump, ex-Tower, HRT, Wintermute and tonnes of solo mev gurus. Thank goodness that's not the case...
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Is a python only stack fast enough to win consistently in crypto MM?
Absolutely not. (Correct, unthinking answer)
Depends which venues you choose to price from & make on. (Correct, nuanced answer)
If making as way to enter on slower decay alpha signals, then yes, but
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Stone cold banger
random thoughts for quant traders
- trading is a business so trade to make money not to be smart, right, admired, or anything else or you will pay for those things
- "The first principle is that you must not fool yourself and you are the easiest person to fool"
- your processes…
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@frothybeverage
@xmgnr
I wouldn't exclude something just because it's commonly known (there's plenty of HFs that successfully run momentum for instance). As with most things, it usually comes down to being kick ass in your implementation.
Your point about OB imbalance is good, and something we've…
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@Its_Pierre
"Mr Smith, I'm afraid to inform you that an error was made when processing your order yesterday. However, given how highly we our relationship, we are of course willing to make you whole, as if the error had not occurred. Thank you for your continued business."
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I fantasise that in a parallel universe, all the branding, marketing and gloss got ditched, and everywhere there are very chill, open conversations between firms along the lines of:
- Hey man, sorry we're late - again - sending that early exercise spreadsheet over. Turns out…
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This feels like ChatGPT 2.0 is feeding logo + name results for Google search.
Am sure
@wintermute_t
and
@AkunaCapital
don't mind though...
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When I think about the amount of duped crypto market data being stored up in AWS it makes me weep.
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It's 0630. Again. I'm sweating profusely. It's dark and I'm confused, at least 15 years older than everyone else here. Red and green lights flash incessantly. Not sure I should be doing this.
What am I describing: the
@BarrysBootcamp
class I just did, or my crypto HFT career to…
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Delta neutral.
Bandied about a lot, means different things to different people.
In MM, often a colloquial catch-all for being flat with respect to an underlying, but that can still encompass a lot of spread risk (and/or term risk) between products, venues, derivs and spot.…
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@NoLayingUp
is it true that Rory saw your caddy work for JT and decided he needs you on the bag?
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@gumby_arc
Stop. Fix this now.
The industry's not moving so fast any longer that you need to be frantically gluing stuff together to grab the $ lying around everywhere.
You'll benefit in the future if you abstract out the venue-generic at this point.
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Tradfi made a mess of asset symbology/identifier standards. RICs, FIGI, Cusip, ISIN, BBG etc etc
Is crypto going to do better? I hope so, but it's not looking good at the moment.
Perhaps LO Tech should fix this...
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@QEternity
@JaredKubin
Ask Citadel Securities, XTX or Jane St. if they are 'capacity constrained'
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The distance from "I can't get Optimus Prime to transform" to "I bet you can't beat my fastest time" has been remarkably short this morning
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Dev been soooo deep in a crypto-winter-build-bunker but I let him out for 5 mins today to enjoy the ATH. Now, back to work!
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@laurentzeimes
The worst is when you bug fix and start losing money immediately after pushing to prod
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Seems like FX is the main culprit in these replies...
@TimMeggs
At Lehman I paid $10bn USD for 100mm HUF bc the fx desk had a bug in their software.
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@FormulaDeltaOne
My understanding was that around '21 some of the louder HFT MM businesses realised they could use their fast execution to make enter on signals with second to minute time frames that wouldn't perform when implemented as takers. Hence they started adding mid freq alpha teams...
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Limit order book modelling with Python - check out a little project I've put together, with a nice pdf to boot!
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@mikeharrisNY
Absolutely agree. I was actually trying to highlight the internal reality vs the externally projected image.
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@therobotjames
Obviously depends on the implementation, but our short vol (not var) '08 gave up two years of equity curve and made it back in the following 9 months.
Blah, blah path dependency, blah blah, survivorship bias
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"Your call is in a queue. You are in position 4 of 9. Expected wait time is, 6 minutes"
Everyone else: "C'mon, c'mon I'm busy and have sh1t to do!"
Me: "Can I model this queue priority? What's my EV change as I shift up this stack?"
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I played a comp this weekend and got serious
#TourSauce
from the Starter
#ejected
@NoLayingUp
@TwoInchesShort
http://t.co/2iqF7L5KF6
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@quant_xbt
@kwaker_oats_
For all liquid financial assets, any human involvement in the execution workflow is pure rent-seeking nonsense. Completely unnecessary. The banks and large buyside execution desks have huge sofet vested interests in maintaining their human involvement. Even after Mifid etc...
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What's your favourite retail misunderstanding about HFT MM practice?
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@totlsota
@macrocephalopod
If strategy is close to strictly delta neutral, you can also increase online backtest speed by splitting data into sensible chunks (like days) and run them in parallel, then stitch results together afterwards.
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@bchaininsider
@sytaylor
@Saronimo
@AnthonyMacey
@TeanaTaylor
@block_one_
@weizhouBinance
@binance
@facebook
@money2020
Nice episode, some really great points on the threat/potential of Libra. A few jarring 'sigh-we've-been-in-crypto-for-years-what-are-FB-doing-eye-roll' moments, but
@AnthonyMacey
was excellent
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Just found these bad boys in old bag. Immediate 30 yrds distance loss. Mainly thru backspin. Maybe R&A should make compulsory?
@NoLayingUp
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@cryptohound666
It depends a little on what your execution components do with the theo they ingest, but essentially yeah, you have the rough idea.
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@AnthonyLeeZhang
@uriklarman
They weren't invented in crypto. The Bitmex team, in an early blog post, detailed how the idea is an adaptation of the FX CFD product. It was a nice rebranding.
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@chriswarburton_
6 yo son: "and you have a friend from school that's a singer"
me: "you mean on the radio?"
son: "yes"
me: "oh yes, he's a presenter. He's probably on right now, shall we check?"
son: "yes"
me: fiddles with radio: "Yes, there he is, chatting away!"
son:…
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@quant_arb
Have a running process that pre computes surfaces for small moves away from ATM. Store in a fast struct. Access as required.
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@NoLayingUp
@HashtagChad
Great pod guys! It's not often I take pictures of locker rooms, but agree, Western Gailes demanded it when we were there this year.
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@therobotjames
100%
20+ yrs in trading and the events normies conflate with trading glamour tend to be the most stressful, thereby removing any possible enjoyment.
Have found aiming at monthly incremental improvements to be much more personally satisfying.
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Will the top crypto derivatives venues ever move matching engines out of the cloud to offer physical colocation?
Yes
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No
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meh, not bothered
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Just published a Python version of an Adaptive Neuro Fuzzy Inference System (ANFIS). Needs work.
#MachineLearning
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@lightspringfox
@0xLightcycle
@0xLightcycle
exchange integration is going to be at least 2/3 of your work initially so
@lightspringfox
is right, it makes sense to go the multi-exchange-hedged route to start with
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@gumby_arc
Fair. TBH, the requirement to have really solid foundations depends to a large extent on how fast your alpha will decay.
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@7zeroo
@TobleroneFrank
"I do not endorse or condone any of the events or behaviours detailed in the above or below responses"!
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Wonder how much 2017 PTSD the Coinbase outage triggered amongst us crypto API enjoyooooors
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