%%algo trading dev xp !! HFT

Let’s not try to look like a HFT pro, citing your low-speed algo trading xp…. You could look desperate and clueless.

My list experiences don’t guarantee success, because devil is in the details (Just look at all the details in xtap retransmission…) However, I should feel more confident than an outsider.

  • [95G/Citi] OMS — In Citi, I worked on automatic quote cancellation and republish. Most executions involve partial fill and subsequent quote (limit order) reduction, similar to OMS. Citi and Baml were probably 2 biggest muni houses in the world. Baml system also handles corporate bonds.
  • [Citi] real time even-driven (tick-driven, curve driving…) quote repricing
  • [Citi] generating and updating limit orders in response to market data changes. Need to brush up on the basic principles since I was asked to elaborate, but a developer probably doesn’t need thorough understanding.
  • [95G] OMS — low-speed, low volume (bond) order management using very few FIX messages with trading venues to manage order state. I actually wrote my own wait/notify framework. This is probably the most valuable algo-trading project I have worked on.
  • [OCBC] simple automated option quote pricer in response to client RFQ
  • [95G] FIX messaging — up to 6-leg per order. Another ECN uses NewOrderSingle and Cancellation messages.
  • [RTS] FIX feeds — with heartbeat, logon etc
  • [NYSE] proprietary protocol is arguably harder than FIX
  • [NYSE] high volume, fault-tolerant raw market data draining at 370,000 messages/sec per thread
  • [NYSE] order book replication — based on incremental messages. I also implemented smaller order books from scratch, twice in coding interviews. This is directly relevant to algo trading
  • [NYSE] connection recovery, under very high messaging rate. Devil in the details.
  • SOR — no direct experience, but Citi AutoReo system has non-trivial logic for various conduits.
  • [Barclays] converting raw market data into soft market data such as curves and surfaces, essential to algo trading in bonds, FX-forwards, equity options.
  • [Stirt] real time ticking risk, useful to some traders if reliable
  • home-made FIX server/client
  • [Citi/Stirt] real time trade blotter — i added some new features
  • [Citi] very limited experience supporting an ETF algo trading system
  • [UChicago] school project — pair trading

However I feel these experiences are seen by hiring managers as insufficient. What are the gaps you see between my experience and the essential skills?

? limited OMS experience
? latency optimization
? network optimization

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