I’m a SWE looking to gain some understanding and maybe do some side projects in HFT. I’m not looking to transition to a quant job, I’m looking for info on what kind of systems a software engineer at Citadel or 2Sigma works on and some resources on how I can begin learning.
I know HFT involves a lot of high performance C++ and I’d like to use this to gain exposure to that in a meaningful way. I don’t mind if there’s a bunch of math fundamentals standing in the way of implementing quant models, if my interest keeps up I can work through that. Just looking for resources to build up this knowledge assuming I have undergrad level math down.
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Any system that needs a ton of business domain requirements baked in is shit and not fun to work on. You will learn nothing of value and your workday will be depressing.
In this case, there is no math involved. The job is literally about designing code that is a fast as possible. So just imagine writing backend code where the only thing you care about is microsecond (and for true HFT, nanosecond) latency. This includes things like: being OK with assembly; minimizing vtable; decent bit of template programming; knowing system architecture (most everyone is on FPGAs); being comfortable with kernels; bit manipulation.
Getting an hft system to profitability requires a lot of business relationships outside of writing code (eg. connecting to the exchange, financing).
Building a super low latency trading system sounds like a cool way to gain exposure to high performance systems programming. As a backend application developer I don’t get exposure to writing high performance code, so I think this may be a good way to do that.
Maybe some other system would be a better use of time, but I thought this sounded fun. If you know of any other good project ideas/study areas, I’d gladly look into it.