Sunday, January 28, 2007

Dissecting a Wall Street Job Posting

A lot of you have emailed me privately with questions about working on Wall Street, and how to land a job there. (I assume that the questions are coming by email because everyone is afraid of their bosses tracing the IP addresses.)

I would like to take a recent job description that was on the site and dissect it.

Here it is:


Job Description
Our client, a top-tier global brokerage firm, is seeking multiple C++/Java Developers to work on an a real-time algo trading platform for their US Equitites trading area. This is a fulltime opportunity located in New York City, NY.

Experience in designing and implementing high speed trading system that can be used for algorithmic automated trading and smart order routing.

Prior experience in US equities trading environment is essential. Prior experience in US options/futures trading environment a plus. Prior experience in UK/Asia markets a plus. Knowledge of building automated trading systems and/or exchange connectivity is a big plus.

• Strong technical programming skills is a key requirement. The Object Oriented Design and Programming is essential. Knowledge of design patterns is also key. Hands on expertise in programming in C++ and Java (server side programming) is necessary. In depth knowledge of multithreading, exceptions, template etc.

• Needs to have strong expertise in inter process communication and event driven programming
Projects will include:

• Algorithmic Trading
• Automated Market Making
• Smart Order Routing
• Trade Analysis for Equities, Options and Futures in US Domestic and International Markets

Experience with the following products:
• TIBCO Messaging Services
• Ticker Plant
• Times Ten
• GemFire
• Transact Tools (FIX Gateway)
• Web servers (Tomcat/Weblogic)

$150 -$300k


The work is for an Algorithmic Trading platform. This is a good thing. Wall Street is becoming more and more automated, with the NYSE reducing floor space and a number of firms paring their trading staffs.

Algo trading is a very hot area. Firms want to trade large blocks of stocks without affecting the marketplace. The trading has to be broken up into a lot of small blocks, according to different strategies. The firm also has to be able to switch strategies in mid-stream. This requires monitoring the marketplace in real time, and keeping an intraday history of the stocks that you are interested in.

The firm is looking for experience in high-speed, low latency trading. Latency is everything. You want to get yourselves out there faster than all of your competitors. Latency can be affected by many factors, from speed of the networks to inefficient locking algorithms in your code. There is also a need for experience in smart order routing, which means that you might get to work with some kind of rules engine, like ILog Rules.

Let's look at the technology stack.

- Tibco is being used (either Rendevous or EMS), probably to get the spot prices from the ticker plants into the algo trading server. (Watch out for those multicast storms...)

- "Ticker Plant" probably means something like Reuters or Wombat. If the job is for Merrill, Bear Stearns or RBC, then most likely that Wombat is being used,otherwise most likely Reuters.

- Times Ten is an in-memory database (now owned by Oracle) that is probably being used to hold tick history. Other solutions in this area include KDB+, Vhayu, StreamBase, and some of the newer players that I have talked about on this blog in the past. These newer time-series databases can be used to perform complex event processing on the incoming tick stream.

- Gemfire (by Gemstone) is a distributed cache. This is probably being used to cache queries to the reference data. The use of Times Ten may mean that you will have an Oracle database.

- Transact Tools TTConnect will be used to send and receive FIX messages between your Algo server and the various exchanges. FIX is the standard message format that is used to send equity orders to exchanges and to receive updates about the status of your orders. Latency is extremely important here too. How fast can you get your messages to and from the exchanges.

- Web Servers. Perhaps for some web apps that will be used to monitor status. I would expect to see a .NET front-end here. The fact that .NET is not on the stack makes me believe that the job is not for Goldman nor Morgan Stanley, where .NET front-ends are "de riguer".

Now, onto the compensation. 150-300K ... That's a pretty wide range. The 300K might lead me to believe that this position was for a hedge fund, but the first line tells me that it is a top-tier global brokerage firm. If you take the word "Brokerage" literally, then this would eliminate Lehman, Goldman, and Bear Stearns. Base salaries go from about a low of 130K to about 160K, with 150K being the norm. So, if the total comp was 150K, then you are not getting much of a bonus, are you? Let's take 150K as being the base. Lehman had about 60-80% bonuses this year and Morgan Stanley had about 45-55%. Except for Goldman, you are probably not going to get 100% bonus for a Java/C++ developer role from one of the other firms. So, I would take the 300K figure with a HUGE grain of salt, and look more at 210-225K as total comp.

With all of this said, my firm is also looking for top talent. If you have experience in the above areas, and if you want to explore some opportunities with us, please send your resume to me.

©2007 Marc Adler - All Rights Reserved

Saturday, January 20, 2007


While searching for some good interviewing questions for some candidates we have coming in (you are rolling your eyes at that one, but I swear that it's true!), I came upon this site, presumably created by the guy who wrote So You Want To Be a Wall Street Programmer .

Will all people who are applying to my group please *not* read this site, as I don't want you to see the questions that I am going to be asking you....

©2007 Marc Adler - All Rights Reserved

Python and FP on Wall Street???

One of the heads of a group that I deal with asked me about the use of Python on Wall Street. This group is strictly Windows.

Anyone reading this blog using IronPython? Any opinions? What are you doing with it?

Looks like Jane Street is using OCaml. Perhaps we should also be keeping our eyes on Microsoft's F#? Credit Suisse is investigating FP in one of their derivatives groups (FP through Excel).

©2007 Marc Adler - All Rights Reserved

How was your bonus this year?

Bonus season is upon us, and for the first time in my life, I have been part of it as a full-time employee.

When you are independent consultant, you view bonus season as some sort of other-worldly event, a day where the only people who are expected to work are the consultants. Now, when you are part of that world, you have to have to act as father, brother, priest, rabbi, drinking buddy, etc to fellow employees at various times throughout the day.

When I went into work that day, everyone was just standing around eachother's cubicles, nobody able to concentrate on anything. One division actually cancelled all meetings for the entire day. And, despite the exhortations to the employees to NOT discuss their compensation, you know that everyone knows what everyone else got.

Now comes the post-bonus season where the shuffling of chairs begins. I have already gotten calls from ex-colleagues inquiring into positions in my company. Let me give you some advice:

1) The grass always seems greener on the other side, but often isn't.

2) Did you deserve your bonus? Be your harshest critic.

3) Calm down for a day or two, and don't panic the second that you leave your manager's office.

4) Do you really want to work for Goldman? At this time of the year, there is a black hole at GS that resumes flow into. Look at quality of life. Do you want a job where your wife has to remind your kids of your name?

5) The Street is very very very small. Do not burn bridges!

So, how was your bonus?

©2007 Marc Adler - All Rights Reserved

Friday, January 19, 2007

Blood on the Streets

The New York Post reports layoffs on the trading floor.

©2007 Marc Adler - All Rights Reserved

Thursday, January 18, 2007

New Visualizations for Trading Systems

I am doing some thinking about new kinds of visual interfaces for trading systems. Whenever you walk through the trading floor, you see rows and rows of traders, each one having 6 monitors, each monitor containing a multiple array of grids of cells flashing in different colors. It takes a special kind of mentality to be able to navigate this extremely hypnotic array of lights 8 hours a day, 5 days a week, 52 weeks a year.

I came upon this thesis, written by one Pasha Roberts of MIT. This is probably the best summary of different visualization techniques being used for financial industries. Pasha also formed his own company, LinePlot, to take advantage of his thesis work.

The use of WPF for new kinds of visualizations is upon us. I have heard that several of the big investment banks are dipping their toes cautiously into the waters. The trick will be to come up with compelling visualizations without overpowering the user. Word is also that several IBs are recruiting game developers. In fact, the other day, there was a job posting on CraigsList for a hedge fund seeking to recruit a game developer.

I wonder if any of the CEP companies like StreamBase, Vhayu, Kaskad, etc have considered visualization schemes as output for the data it processes. It would be interesting for one of these engines to do some CEP and eventual transformation into a stream of XAML. I bet that Matt is thinking along these lines, maybe as an offshoot of his patented work at JPMC.

©2007 Marc Adler - All Rights Reserved

Thursday, January 04, 2007

New Book on Building Automated Trading Systems

I'm looking forward to this one ....

©2007 Marc Adler - All Rights Reserved

This is Patently Mad

Financial Services firms rushing to the patent office.

Details of a Goldman patent for reducing volatility. And this is the patent that Goldman just got for diddling.

What does this mean for small companies developing financial software? I know a few people developing new trading packages which they hope to sell. Hope you guys are engaging a patent attorney.

Whenever I came out with a new product through Magma Systems, the first thing I would do was to copyright the code. At that time, you needed to send the "first 100 and last 100 pages" of the souce code to the copyright office.

(thanks to Terry for the first link)

©2007 Marc Adler - All Rights Reserved


Random thoughts ....

I have always wondered if there is any correlation between the coffee service that a company provides to the IT staff and the perceived quality of the company.

Barclays had the best coffee service. Being a British bank, it paid a lot of attention to the variety of teas it made available. It also had one of those big machines that made cappucino, expresso, or hot chocolate. I was at that machine five times a day.

BusinessEdge and Morgan Stanley have the little cups of Flavia coffee and hot chocolate ... totally free.

Wachovia in Charlotte ... never tried their coffee service Charlotte, there are three Starbucks in every office building ... I never saw so many Starbucks per square meter.

My current company has free Martinson's coffee, but charges 50 or 75 cents for Flavia. After years of drinking Starbucks, Martinson's seems very bitter and flavorless. I guess that I am too used to Starbucks.

Do you bring in your own coffee machine? Watch it... many companies are cracking down on that practice.

How does your company's coffee culture stack up?

©2007 Marc Adler - All Rights Reserved

Monday, January 01, 2007

I Have Been BlogTagged

The newest fad in the blogsphere is "tag, you're it". DonXml tagged me, and now I have to tell you all five things about myself that you did not already know. I also have to tag five other people.

Ok, let me think ....

1) In high school, I played in a Progressive Rock copy band called Heresy. We performed songs by Gentle Giant, King Crimson, ELP, and others. The keyboard player was a rich kid from Baldwin, Long Island, who had every keyboard ever made.

2) I was a huge pro wrestling fan when I was a kid. I used to get ringside passes to the old Sunnyside Gardens in Queens, and take photos of wrestlers like Pedro Morales, Chief Jay Strongbow, Haystacks Calhoun, etc. I was also a writer for a little wrestling newsletter put out by a guy named David Meltzer ... now Meltzer is probably the best known journalist in pro wrestling.

3) In college, I was the winner of the annual concerto competition, and I played the Mayazumi Conceto for Marimba and Orchestra with the SUNY Albany Symphony Orchestra.

4) My father was good friends with Dave Kamansky. Dave was the ex-CEO of Merrill Lynch, and presided over Merrill in the go-go 90's. My father and Dave worked together in the Forest Hills branch of Merrill Lynch in the 70's, and Dave was part of my dad's pinochle group. So, every few weeks, Dave would come over to our apartment for the big pinochle game.

5) I was classmates with the actor, Tim Robbins. A better of acquaintance of mine was Stacey Nelkin, who was the female lead in Halloween III, and was a former girlfriend of Woody Allen.

Now, I need to tag 5 people. They will be:

Francis Shanahan

Chris Donnan

Matt Davey

John O'Sullivan

David Lattimore-Gay

©2007 Marc Adler - All Rights Reserved