[dintech]

Audio has a lot of buffering behaviour that you wouldn't generally see in event-reactive HFT. Think of all the plugins that you know of that have non-zero latency, compressors with 'lookahead' etc. There are maybe some similarities where the logic is more complex (loop unrolling, SIMD and so on) but I feel like plugins are generally optimizing for throughput (CPU usage) and quality (oversampling etc) rather than purely latency in most cases.

[ssfrr]

I guess the difference I'm interested in is whether HFT tends to be "realtime", in the sense that there's a hard deadline that you need to hit every time.

Put another way, audio is operating on a much longer timescale, but cares a lot about worst-case latency (as well as throughput and quality). Is that true of HFT also, or are they more concerned with average latency? If computing a trade takes too long, can they just discard it, or is it catastrophic to miss that deadline?

[hermitdev]

I can't go into too much detail (I currently work at an HFT, but not on the HFT bits), but some of the FPGAs make decisions without even seeing a entire packet coming in on the wire. Latencies are more often measured in nanos than micros from what I've seen lately.

[vineyardlabs]

Tangentially, how do you like working for an HFT? I'm a low level software / FPGA developer and have thought about going into the HFT space. Is the work life balance as terrible as people say?

[hermitdev]

It's really going to come down to which firm you're at and who your manager is. I'm at a smaller shop currently, and it's great. I basically work 8-5 most days, sometimes a little later if processes don't come up cleanly for market open at 5P (CME basically operates 23 hours a day with different trading sessions).

There are firms that are more like sweatshops. I spent roughly a decade at Citadel; when I started, average tenure was thought to be about 18 months. Hours were brutal, but it largely depended on your manager. I had one (he was fired 6 months after I started) that insisted on 80 hour weeks, ass in seat, no work from home, not even on the weekends. The kicker was, my team didn't even have the work at the time to justify all of us pulling 80 hour weeks. I also spent months at times pulling 100 hour weeks. That is, if you slept, it was at your desk (there were cots/sleeping bags available, but I never saw anyone bother). Maybe go home every 2nd or 3rd day for a change of clothes (you could shower at the office). Then, I had other managers where it was more 8-5. But, I was always on call 24/7, even while on vacation. That was the truly rough part. I would say on a whole, the reputation of working for Citadel is worse than it deserves, but it really matters who your manager is. That said, not sure I know anyone left at Citadel anymore other than Ken G. (I've been gone over a decade now).

My best advice when you're interviewing people, ask pointed questions about work-life balance. Avoid asking overly broad questions like "How's the work/life balance?". Instead prefer: "When was the last time you took a 2 or 3 week vacation?"

edit: At my current role, I do sometimes work outside of 8-5 and on weekends, but its because I choose to, because I'm working on something interesting that excites me. I'm not expected to, and no one gives me a hard time if I don't.

[kangda123]

Not OP but it varies wildly between companies. JS and Citadel are both top tier trading shops and they could not be more different when it come to wlb.

It's not hard to sniff out during the process though.

[ketanhwr]

@vineyardlabs: JS - Jane Street

[vineyardlabs]

Ah, duh

[vineyardlabs]

Curious, what firm is "JS" in this context?

[vineyardlabs]

Yeah that's pretty much what I figured.

[dintech]

Yes, there is a lot of effort to understand, for example, the 99th percentile tick-to-trade latency as well as the average latency. For a lot of those worst-case timings there are things that are occasionally out of your control like the kernel, the network, the hardware. Then there are things always in your control like how you implement your software.

Most HFT algos are busy-spinning. You'll see a core pinned at 100% as it checks for input availability over and over. The vast majority of the time it is actually doing nothing, from an external point of view. When that tick appears that it needs to react to, it springs into action. It might react to some input in the range of a few hundred nano seconds but for literally billions of nanoseconds it's doing nothing at all.

Audio is processing a buffer of data (usually whatever your audio interface buffer is set to), then waits patiently until the next buffer arrives. There's a regular pulse to it. If your CPU isn't hurting, there's way more time between those buffers than are required to process them. The order of magnitude between work and 'not work' for HFT is huge compared to audio generally. HFT logic is simple, small and fast. Audio is hopefully complex if you paid good money for it. The best way to go fast is to do almost nothing.

In terms of the impact of not meeting a particular deadline, it's an opportunity cost in HFT. In audio, you get audio dropouts if you can't process it fast enough. In HFT, if your reaction time is slow, you're not at the front of the queue for that juicy trading opportunity you and everyone else just spotted, then you miss it entirely and someone else gets the prize. HFT is all about making thousands of small statistically favourable bets and being able to execute on them fast enough to realise the opportunity before the next fastest guy.