How to become a quantum in the HFT-company

I often receive letters from those who want to get a job in a HFT-firm (HFT or High-Frequency Trading - high-frequency trading). They sometimes have problems with the application process, as well as understanding the necessary technical skills for a particular position. I wrote this article in order to explain what high-frequency trading is, what skills are necessary for you to be recruited, and who you should turn to in search of a vacancy.

Keep in mind that HFT is a purely technical field. It attracts the most prominent candidates in the field of mathematics, physics, computer science and electrical engineering, most often during their postgraduate studies or after several years of work in a highly specialized field of industry. In spite of their high pay, work in HFT-firms will require significant expenses in terms of training and invested forces.
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What is high frequency trading (HFT)

The term “HFT” includes a wide range of operations from algorithmic trading. In the context of this article, this means conducting a huge number of trading operations with the lowest possible delays. “Minimal delays” means processing the data from the update quotes tapes and closing trading operations in less than a millisecond. In turn, the delays in the most "advanced" HFT firms are less than a microsecond. Further reduction of this value is directly dependent on the emergence of more productive specialized hardware.

High-frequency trading is a fairly closed area. It is very difficult to find information on how HFT firms work. However, some information can still be obtained from the list of open vacancies, advertising and selected Internet articles. Ultra-high frequency trading (Ultra-HFT, UHFT) is also very different from other forms of algorithmic trading. It is based solely on technical solutions and a huge amount of computation. After the start of trading according to a certain algorithm, there are almost no adjustments made to its work (as long as it remains profitable), which is very different from the low-frequency systematic trading, in which people often make their own adjustments.

Working in such an environment is highly competitive and can often break people. Many months of research overnight become irrelevant if the exchange scheme changes, a new legal framework appears, or if competitors can start processing data at higher speeds. Therefore, such work is suitable for well-disciplined people with higher technical education who are able to work “under pressure”, people who value independence and a highly professional team.

Entrepreneurial mindset

Most high frequency trading companies are small. Their modest staff usually has about 20-25 people. This is explained by the fact that employees of such firms follow a well-defined entrepreneurial culture and a meritocratic view of life. At the interview you, as a candidate, are sure to be asked what innovations you can bring to the organization.

Considering the fact that the bonus fund is common to all (although it is distributed according to the different “weights” of one or another employee), you will need to demonstrate the ability to generate income that (explicitly or implicitly) exceeds your wages and bonuses. Otherwise, you simply do not make sense to hire. That is, in order for you to even be considered as a candidate for a position, you must show skills that no one in the organization has yet.

On the other hand, there is a chance to create a place for yourself. People in the company may not seek new employees at all, but if they understand that you have a wealth of experience in a certain area, they can open a vacancy for you. A meritocratic approach in HFT firms usually allows for sufficient autonomy in projects. Therefore, if you want to work in an initiative environment, side by side with extremely intelligent and talented people, then HFT will probably suit you.

Duration of working time in this area is above average. 60-70 hours per week is not uncommon, especially when the deadline for the completion of the project is close. However, intensive intellectual work and monetary compensation usually outweigh the workload. This lifestyle is not for everyone.

How to get into the environment of high-frequency trading

There are several ways in which you can get into this environment, but most of them require outstanding technical skills in one or more exact sciences: mathematics, physics, computer science, or electrical engineering. Usually people come to HFT firms after:

• Postgraduate studies . Most HFT-firms hire candidates after graduate school for a specific, relevant tasks of the company direction. Such an approach is the simplest, since it is easier to determine the candidate’s abilities by a doctoral dissertation, publications or university status. Therefore, if you really want to make a career in the field of HFT, research in the field of low-latency information transmission systems can be a good help. Also, there are frequent cases of selection of distinguished students from the latest courses of the most popular technical universities (MIT, Stanford, Cambridge, Imperial), followed by their training for a particular position.
• Gaining experience in high-tech industry . Experts in specific areas where minimal data transfer delays are needed (for example, in telecommunications) are usually hired for their knowledge of the subject area. However, it is worth noting that, as a rule, for normal work in their field, in any case, they need an extensive technical base. Scientists working on high-performance computing projects (for example, in the CERN data center or other national laboratories with supercomputers) are in high demand due to their experience with Big Data.
• Experience working on the stock exchange . Those who know how the work of the exchange “from the inside” is organized are considered to be in demand. This is explained by the fact that such people, most likely, can help in creating new algorithms that advantageously use the information architecture of a particular stock exchange.

One of the most common misconceptions is the strong belief that in order to get a place in the HFT area, extensive knowledge of finance is required. Most HFT-firms do not pay attention to the availability of knowledge in the field of finance, given the sufficient level of technical competence of the candidate in other areas of the organization.

General skills

Job responsibilities in HFT-firms are very diverse. Practically every employee is forced to have a higher technical education and the ability to conduct independent research in this area (that is, he must know the theoretical material well). Since HFT is essentially a “technological sport,” most also need to have knowledge of computing, electrical engineering, or experience with low data transfer delays in other areas, such as telecommunications.

There is also a demand for knowledge and experience with a certain type of software, such as graphics subsystems (GPUs) and user-programmable gate arrays (FPGAs)

By and large, any subject area that somehow can reduce delays in bidding or increase the speed of algorithmic calculations will find its place in the HFT. Examples of such areas are:

• Schemes of work of stock exchanges . Among those engaged in high-frequency trading, skills are based on extensive knowledge in organizing the work of stock exchanges. Knowledge of how the book of applications, as well as all the intricacies of technology on a particular stock exchange, can play into your hands.
• Processor architecture High-frequency trading involves a significant number of operations in a relatively short period of time. Keep in mind that increasing the speed of these operations in any way will give you a plus. It is useful to have knowledge of processor architecture and hardware, especially systems other than x86 architectures (such as GPU and FPGA).
• Networks with minimal information transfer delays . One of the main sources of data transfer delays in trading is the network stack. HFT firms value expertise in optimizing packet handling, writing custom networking modules and using Infiniband high-speed dial-up bus.
• Understanding of laws . Knowledge of such legal acts as the “Regulation of the National Bank System” (Regulation NMS) of the United States of America and the EU directive “O markets for financial instruments” is necessary in HFT operations.
• Kernel Optimization The main task in optimization is to reduce delays and increase the speed of operations. Therefore, today there are frequent cases of rewriting the core of software to speed up the process. Many HFT firms value their experience in modifying the Linux kernel.
• Online algorithms . Speaking of delays in performing operations, I did not go into details of the operation of HFT-algorithms. Often, these algorithms include “repetitive” operations with arithmetic mean, error, and linear regression. Therefore, the analysis of the results of previous calculations is very important.
• Programming languages . Despite the fact that most UHFT firms have switched to specialized hardware (for direct information processing and network exchange), in cases less dependent on delays, trading firms can use the multithreading of C, C ++ and Java languages ​​(with a special garbage collector). Some trading firms value experience with such languages ​​and parallel computing.

As you can see, these skills are often technical in nature and require an academic degree or several years of work with certain technologies on an industrial scale. If you have experience with the things listed above, then you have a chance to express yourself in an interview at an HFT-firm.

Work searches

As is the case with most finance positions, it’s worth looking for a job through employment agencies. The largest HFT firms are located primarily in New York and London. Chicago also has a large number of organizations engaged in high-frequency trading. Recruiters are usually knowledgeable in the subject area and are able to answer whether your experience is suitable for the position. Note that the bar is very high! Most likely, you will have to make all your efforts to find a job, which can take you a lot of time.

Despite the fact that you can apply to the company directly, the most difficult is the process of finding companies engaged in high-frequency trading. Usually, if you are popular in your highly specialized field, the organization will try to hire you. This can play into your hands if you really want to work in this company, publish your research, participate in conferences, and simply seriously improve your track record.