Thursday, August 2, 2012

small old-guard quant fund - some facts and figures

This is one of the earliest quant funds - stat arb sort of thing. "Definitely a quant fund, rather than a macro fund, but not high frequency."

Quant group 12 guys. Write most of (what i call) the business modules. (In contrast, mkt data consumption and OMS - 2 infrastructure pillars -- are owned by the System group -- what i call the pure tech, math-free modules) These business modules generate orders, achieve certain target positions, manage risks... As [[blackbox]] pointed out, quant traders think in terms of entering/exiting positions.

System group - 2 system admins and 4 c++ developers. I guess one of them is a network guy.

Mostly equity cash, but also commodities and (eq?) options. Trading is fully automated, forecast-based.

One model may have a trading horizon of hours
One model may have a trading horizon of days
These 2 models may overlap if they cover the same name. There is a feature of the trading system to manage the overlap.

(No model with trading horizon of seconds - not really high frequency.)

GUI is x-win. Whole company is linux/solaris, without windows.

Sybase - used lightly, now phased out. Persistence is done without database, probably in flat files.

Primary app language is c++ -- threading, IPC, TCP, multicast for mkt data feed handler. No RV.

Various scripts - often in perl.

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New York (Time Square), NY, United States
http://www.linkedin.com/in/tanbin