[starkfist]

If you're a good C++ programmer with a mathematics degree, what else do you need to know to get into work like this?

Is it worth taking "MFE" style classes, like the ones offered at Baruch and NYU? Are the systems Windows or Unix? How much "advanced" math do you need to know? How much high performance infrastructure do you need to know? (networking, specialized storage & I/O, etc.) Is there a way to go directly to a startup firm, rather than first working at a bank or larger hedge fund? Are languages other than C++ used? Is it easier to do this in New York or Chicago? What bars should I hang out at in order to bullshit my way into an interview or partnership?

[kingcub]

Personally, I started in 03 programming C++ for an, at the time, small Chicago Prop trading firm. Prop firms tend to be in smaller than larger banks / hedge funds and that is the route I would try to take. There are several of them around the Chicago area.

I never took an "MFE" class in college. I graduated with a CompE degree, taking most of my electives in CS. Math is important, primarily statistics. Being a good coder and loving to program more so. Having a natural analytical bent, and being able to wade through data / formulate then test conjectures, and appreciating how markets will never stop surprising you, even more.

A lot of companies use C++. I don't like it myself, & we use Scala, as functional programming + oo works really well for trading specific coding. Also our last place was Java based, so we have a lot of experience with that. However there are plenty of opportunities no matter what language you use. I know of firms using Python, C++, Java, C#, OCaml. So it's pretty wide open.

Speed is important, but usually not machine level instruction important as people often think. Usually it's more about understand big O and not overwhelming your critical paths / pushing things off to other threads.

As for finding a job doing this stuff, google "Chicago Prop Trading firms". The first result lists a ton. Goto their websites and apply. Or you can use a head-hunter.

I have no experience with the New York part of things, but it's probably similar. Chicago does seem to be a good incubator for starting up a trading company though as the CME is located here and it's a great place for big and small companies to trade (IMHO/YMMV).

As for going directly to a startup, it's tricky, we don't have the budget to pay for more employees at the moment, and I know a lot of start ups are in similar situations. If we do hire someone it is usually below what a prop firm would pay them and they have to be extremely experienced in the area we hire them for.

So, I would suggest prop firm first route, it worked for me and I wouldn't be where I am now had I not gone that route.

[starkfist]

Thanks for the insight.

I have an interview at one of the NYC prop shops, but it's for something more back office-y. Would it be a mistake to take this job, thinking I could move into something closer to the trading later? I've got mixed advice. Some people say it isn't too hard to shift, others say it's impossible.

[vecter]

At my firm, back office and trading are very, very different. I would advise you to stay away from back-office if you're not interested in that. YMMV

[kingcub]

It's really hard to say without knowing the position. I've seen it go both ways. Some places it's the entry level get in the door while we evaluate you position and if you're good we'll move you over to trading. Some places it's all they ever want you to do with no opportunity to move to the trading side.

[adn37]

Interesting thread, thanks.

As a Direct Market Access developer myself, I wonder what is your environment (target exchange(s), api/transport/codec stack, market data provider) and how time-costly it is for you to 'just connect' to the market (aka, having a platform ready to trade, without the algo stuff).

Could you elaborate a little please?

[kingcub]

Currently just the CME, all of it was written in house, with the exception of Quickfix for Java for sending orders and OpenFast for CME marketdata. We'd like to replace Quickfix in the near future as it has too much static singleton state for our liking. It takes a few months to a year to write the exchange connectivity pieces depending on how many times you've done it before. We've done it several times so we are pretty comfortable in that area. Subsequent exchanges are a lot easier once you have the basic infrastructure in place.