##orgro lens:which past accu proved long-term # !! quant

(There’s a recoll on this accumulation lens concept…. )

This post is Not focused on IV or GTD. More like zbs.

Holy grail is orgro, thin->thick->thin…, but most of my endeavors fell short. I have no choice but keep shifting focus. A focus on apache+mysql+php+javascript would have left me with rather few options.

  • —-hall of famers
  • 1) [T] data structure theory + implementation in java, STL, c# for IV — unneeded in projects
  • 2) [CRT] core java knowledge including java OO has seen rather low churn,
    • comparable to c++
    • much better than j2EE and c#
  • 3) [T] threading? Yes insight and essential techniques. Only for interviews. C# is adding to the churn.
  • 4) [j] java/c++/c# instrumentation using various tools. Essential for real projects and indirectly helps interviews
  • [C] core C++ knowledge
  • [C] GTD knowledge in perl/python/sh scripting
  • [j] google-style algo quiz — Only for high-end tech interviews. Unneeded in any project
  • [R] SQL? yes but not a tier one skill like c++ or c#
  • coding IV — improved a lot at RTS
  • ————————also-ran :
  • devops
  • [C] personal productivity scripts
  • [T] probability IV
  • [C] regex – needed for many coding interviews and real projects
  • [C] low level C skills@RTS {static; array; cStr; reinterpret_cast;  enum; typedef; namespace; memcpy}
  • [!T] bond math? Not really my chosen direction, so no serious investment
  • [!T] option math?
  • SQL tuning? not much demand in the trading interviews, but better in other interviews
  • [R] Unix — power-user GTD skills.. instrumentation, automation? frequently used but only occasionally quizzed
  • [R] Excel + VBA? Not my chosen direction

–strengths
C= churn rate is comfortable
D = has depth, can accumulate
R= robust demand
T= thin->thick->thin achieved
j|J = relevant|important to job hunting

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22 surprises since Apr 2017 #work+family

  1. regained self-esteem — in tech IV/GTD, after bleeding self-confidence for 5 years
  2. my c++ competence (including sockets) finally gained traction, thanks to the interviews.
  3. [c] my peers didn’t “leave me in the slow track”. Most of them are still regular developers.
  4. [c] concentration window — proved to be extremely important to my learning, career planning and reflections. Parenting and household chores are real drags.
  5. retire — I have decided to retire in Singapore not U.S. I see my Singapore citizenship as a huge strategic advantage over my Chinese/Indian peers.
  6. quant career and math aptitude — broken dream. Disillusioned. deepest pain
  7. coding test — continues to spread. I improved progressively, gained traction — I even find it enjoyable.
    • dnlg — all 3 types of domain knowledge are losing weight in interviews. Note half my recent interviews are outside ibanks.
  8. “strategic technology bet” — is thoroughly discredited, through repeated introspection
  9. [c] java remains robust and dominant in ibanks. c++ is robust too. There are still many c++ roles in U.S.
  10. Tristate housing — school-district housing is more expensive than I thought, but Edison/Bayonne can be quite affordable

–Next 20

  1. [c] I didn’t lose all of my java strength…
  2. U.S. contract rate — has grown from $90 to $100
  3. [c] ibanks interviews — (including coding IV) continue to play to my advantage, after 5 years
  4. [c] aging developers — I see good examples in Shubin, Paul, Shanyou, Alan, Daniel etc
  5. [c] U.S. job market — didn’t lose steam. I think it is growing. U.S. economy continues to grow
  6. [c] wife was competent at her job and continues to keep the kids in the current condition without deterioration
  7. kids — my daughter didn’t become alienated; my son didn’t get out of control.
  8. [c] I continue to take unpaid leaves to learn from interviews
  9. start-ups — There are many interesting start-ups both in U.S. and Singapore, able to pay.
  10. mkt data — enjoys growing demand and I gained traction more than I gained a new defensible territory.
  11. U.S. investment yield is typically 6%, higher than what I observe in Singapore.
  12. [c] ibanks didn’t reduce IT budget or go offshore as some predicted
  13. [c] HFT — is robust
  14. rise of west coast
  15. BGC — delays
  16. apps, coding jobs … are becoming more important, more wide-spread than I anticipated.
  17. [c = continuation, but unexpected]

j4 stick2c++: Score big{losing@quant/c#

See also vindicative specializations , what if I transition to desk quant role but don’t rise up@@ and j4 c#: hind sight

I already give up several “investments”. If I take a java job, I would again forgo so many years of investment in c++. Now after I got more c++ offers, I feel /triumphant/vindicative/.

swing py c# quant 2010~13 quant af 2013 c/c++  (Zoom out …)
 $0 $0  $0 S$70k $ invested
 $0 $0 S$5k/Y  $0 $1k/Y cf
nonQuant job
up to USD20k/Y pretax opportunity cost
6M 2Y since barc 2Y  1Y 3Y 6Y since 1998 nominal effort
3M 4M 1Y  6M 2.5Y 3Y serious effort incl. STS
3M 2M 1M  2M 2Y 1.5Y spare time sacrificed(STS)
-2 -3 -6  -5 #more than py -15 -15 points invested
Barx passed some IVs OC, Bbg, Reuters 95G/OC Stirt/Mac/CVA ~14 offers job “offers”
Trex,bbg..  -> DRW; Nomura; Mako; Trex many help interviews
helps my WPF xx value@algo IV deepens java nlg  -> brain teasers; math cfd; contrarian
insight into bigData/quantTrading;
deepens java nlg other ROI
2 more than
invested
3 #built real
professional xp
 3 8 (half invested) more than invested points SCORED
 no loss? no loss -3 -2 -7 no loss net points lost

[11]quant library in java/c# Not catching on

XR,

You once told me java can emulate the same quant lib functionality of C/C++. I asked quants in GS, MS, ML, Barcap and a few other banks. I don’t remember anyone saying their quant lib is in java. I now feel there’s no industry momentum behind such a migration. Further, I feel there’s no justification either. I’d go out on a limb and say there’s justification for sticking to C++.

A java implementation is less accessible from dotnet, python, and other scripting languages that could be making (slow) inroads into trading floors.  In contrast, all major languages support an decent interface to integrate with a C library. C is the common denominator.

More importantly, the sponsors of the quant lib are business users (not only traders) and they
know none of the languages but they know MSExcel. I’d say Excel integration is a must for every quant lib, otherwise traders may refuse to use it. C implementations easily integrate with MSExcel, via the
Microsoft COM interface and other interfaces. C# also integrates well with Excel.

Some quant libs are used in visualization and GUI. Dotnet and WPF are a market leader in GUI.

I also feel C implementation tends to be faster, at least no slower, than java quant lib. In pre-trade real time apps, a quant lib needs to be fast. A Barcap veteran told me the most important justification for C++ in quant lib is speed/performance.

In 2018 I asked an Executive Director in MS CVA team why java is not used. He said performance is the main reason.

%% poor accu ] quantDev: Sg+U.S.

My past experiences are underwhelming. I thought that once I become experienced and proven in quant dev domain, things will be easier and I could move from one job to another. Wrong!

  • Barclays? helped me get into OC since OC interviewers are interested in how things are done in Barclays. Didn’t really help me go anywhere else
  • Stirt? helped me a bit with Mac interview
  • MSFM? didn’t help me get anywhere, partly because I didn’t try.

OC/Stirt/Mac gave me no insight no breakthrough in my understanding no thick->thin->thick

The number of quant dev positions is much fewer than in market data!

## threading: a better specialization than algo,quant…

  • In summary — appears daunting and opaque but actually simple in practice
  • theoretical — my strength. Few coding tests and usually easy for me
  • fairly low-level — my strength. Not as low level as debugger, or template hacks …
  • GTD — no GTD challenges, since most projects use only simple threading designs. The code tracing, trouble-shooting expectation on me is relatively low.
  • opaque — for my peers. Even the basic condVar…
  • churn — low churn at the low level, but high churn at high level
  • ever-green — favorite topic of interviewers, esp. java
  • thin->thick->thin — I have achieved this for a long time.

Many of my halos are in this domain — ##halo across domains #specific=better

c#/c++/quant – accumulated focus

Update — such a discussion is a bit academic. I don’t always have a choice to focus on one area. I can’t afford to focus too much. Many domains are very niche and there are very few jobs.

If you choose the specialist route instead of the manager route, then you may find many of the successful role models need focus and accumulation. An individual’s laser energy is a scare resource. Most people can’t focus on multiple things, but look at Hu Kun!

eg: I think many but not all the traders I know focus for a few years on an asset class to develop insight, knowledge, … Some do switch to other asset classes though.
eg: I feel Sun L got to focus on trading strategies….
eg: my dad

All the examples I can think of fall into a few professions – medical, scientific, research, academic, quant, trading, risk management, technology.

By contrast, in the “non-specialist” domains focus and accumulation may not be important. Many role models in the non-specialist domains do not need focus. Because focus+accumulation requires discipline, most people would not accumulate. “Rolling stone gathers no moss” is not a problem in the non-specialist domains.

I have chosen the specialist route, but it takes discipline, energy, foresight … to achieve the focus. I’m not a natural. That’s why I chose to take on full time “engagements” in c#, c++ and UChicago program. Without these, I would probably self-teach these same subjects on the side line while holding a full time java job, and juggling the balls of parenting, exercise, family outings, property investment, retirement planning, home maintenance….[1] It would be tough to sustain the focus. I would end up with some half-baked understanding. I might lose it due to lack of use.

In my later career, I might choose a research/teaching domain. I think I’m reasonably good at accumulation.

–See also
[1]  home maintenance will take up a lot more time in the US context. See Also
https://1330152open.wordpress.com/2015/08/22/stickyspare-time-allocation-history/ — spare time allocation
https://1330152open.wordpress.com/2016/04/15/set-measurable-target-with-definite-time-frame-or-waste-your-spare-time/
https://1330152open.wordpress.com/2016/04/26/spare-time-usage-luke-su-open/

algoTrading^bigData^quant

Update: I told bbg (Karin?) and Trex interviewers that domain isn’t a big concern to me. Even a back office IT role can turn out to be better.


  1. quantDev
  2. algoTrading
  3. bigData

… are the 3 big directions for trySomethingNew. I’m cautious about each.

quantDev (not pure quant) — low demand; poor market depth; unable to find another job; least jobs and only in banks. CVA is not really quant dev, based on what I gathered. See also %% poor accu ] quantDev

algoTrading — perhaps I should try java and medium frequency?

bigData — no consolidation; questionable accumulation and value-creation

quant^HFT^WestCoast, again

After I felt fairly established on Wall St (around 2011), I looked for greener pastures:

  1. quant dev
  2. HFT
  3. high-end positions in the west coast. Not sure what positions exactly — mobile? machine learning? cloud?
  4. regular Wall St c++  job

In fact my java jobs on Wall St is not that inferior, and has the advantage of reachability. In contrast, those greener pastures still look rather distant. They look closer when I’m in a positive mood. But let’s put on the black hat and be critical and skeptical:

Quant dev is low-churn but demand is kinda shrinking.

HFT is rather niche skillset, possibly less relevant to west coast than java and regular c++.

1) 2) 3) are mostly FTE, not contracts. Regular c++ is contract-friendly and more reachable.

I used to feel the quant domain is hardest. Now I feel it’s shrinking. Now I feel I’m in much better shape. I made the decision to focus on quant early, assuming I could self-study and break into HFT later.

Data science? Math is much easier than quant finance, and I have some training in it.

C++? I now have more hands-on experience