Pro IITian

  HFT strategy profitability depends on two factors: latency and competition (i.e. the number of robots taking advantage of the same alpha). If you are lucky to be the only one who uses the alpha you do not have to care much about the latency. If there is at least one more robot on this alpha you only make money (or make more money) if you are faster. The more competitors you have the more important the latency factor. Mathematically this functional connection can be expressed as follows: latency*concurrence= const Trading infrastructure considerably affects the trading results because it is there the latency provided. The latency is made up of the following parameters: a) Market data propagation time from the data source to the server running the trading platform and the strategy. Delay in the channels matters if the market data is sourced from other exchanges. b) The time that elapses between data packet delivery to the network adapter and data delivery to the application. The ...

 One of the most crucial books before starting your journey in options trading is this particular book by Sheldon Natenberg. If you are working as a quant trader or quant researcher, you may be required to go through this book in order to understand the pricing and other relevant details about options. This is a very good book in case you are a beginner and want to understand the basics of options, futures and how they are priced and how can you exploit any mispricing in the market to your advantage. It talks about black scholes model which is a crucial method for option pricing that various quant firms rely upon. The book explains the basics of futures, calls and puts and gradually moves up to other interesting things that can be built by using various combinations of calls and puts. Even someone who is going through all these concepts for the first time will find it easy to understand. It then explains the basic Greeks which are used for risk management of the options profile.

The greatest demand in the HFT space is for Quantitative Developers. These developers have strong programming skills and strong quantitative skills. A degree in Financial Engineering is helpful but degrees in CS, Economics, Math, Physics and Statistics will also be strongly considered. There are a few key areas of evaluation. 1. How you program: Are you strong in developing efficient real-time, multi-threaded, OO Code. Take note that you will get questions on Algorithms, design and how efficient your code is. 2. How do you think: The focus here is often to present problems that you should not be familiar with to better understand how you think. Are you logical in your approach, do you focus on the right aspects of the problems. Are you creative or linear in your solution. 3. How do you communicate: The evaluation on communication skills are the most subjective part of the meeting. You must ask good questions. If you are spewing out too much information with out asking questions then yo...

    This is one of the most common doubts people studying in the premier institutes have when the placement season approaches. Apart from the obvious difference in the work, there is a difference in their pay as well as a difference in the work timings and flexibility. About Me I have done my B Tech in Computer Science and Engineering from IIT Bombay. I too faced a similar dilemma and chose to finally go with doing a job in an HFT. Work culture The work in HFTs is hectic if we compare it to software companies but it’s interesting too. It’s a fast-paced industry and you are required to work quickly on things that the company wants to be done in order to reach its goals. You are required to give a lot of time to some ongoing problem that the team faces in trading which might be hampering live trading. And once the team finds a solution, it is brought into production rapidly. Comparing this with the work in a typical software firm, you are generally assigned some tasks with their...

Brief introduction I am a B Tech in Computer Science and Engineering from IIT Bombay. I wanted to explore and work in an HFT so I did my research about the HFT firms in India. I have hereby compiled a list of top HFT firms in India. I have also written a post that explains the pay structure and CTC of the HFTs in India .  Top HFT Firms in India Tower Research (Gurgaon) Quadeye (Gurgaon) Graviton Research (Gurgaon) APT Portfolio  (Delhi) Worldquant LLC (Mumbai) Mathysis (Gurgaon) Alphagrep (Gurgaon) Goldman Sachs (Bangalore/Mumbai) Two Roads Tech (Bangalore) Morgan Stanley (Mumbai) Dolat Group (Mumbai) Estee Advisors (Gurgaon) Edelweiss (Mumbai) Open Futures (Delhi) iRageCapital (Mumbai) Only the first 8 of the above list control the major market share. HFTs in India have not been for a long time but they are expanding fast which is giving new opportunities to build companies in this segment. There is little competition if we compare it to US , UK and other major exchanges arou...

If you are thinking of working in an HFT, there are a few things that you should know about. The pay might seem to be very good especially if you are a fresher but you will soon realise that it comes at the cost of your time. If you are planning to join a HFT or are already working in one, you will find this post really helpful. Usual Work Timing / Schedule This might depend upon the specific role. I have already written a post which talks about the various roles in a HFT and their pay structure. In general for a trader the schedule looks like this. The trader in most cases has to run his strategy in the live market himself/herself. This means that he has to be active and focussed for the entire duration of the market for which the strategy is written. Apart from the market hours, now the trader is required to work on his existing strategies as well as some other strategies in the pipeline or other features. This generally means that the trader might have to easily work for 10-12 hours...