Monday, May 6, 2013

truly important skills for algo trading developer

Traditional ("real") algo trading is still confined to buy side. (Sell side algo trading includes things like RFQ auto pricer, limit order auto pricer etc. Dr. Chou points out execution cost reduction algos...) Such shops look for the "strategist" role which is often (usually?) a different role from the implementation engineer's role. Allow me to focus on the latter.

In my opinion, the really improtant skills are all about optimization, latency, performance Engineering

#1 algorithm/data structure optimization
#2 instrumentation tools -- profilers, memory leak detector
# threading -- for multiprocessor
# network/socket programming, including NIO
# fast messaging - like RV or solace
# memory management (c++), GC tweaking (java)
# OS tuning including memory, net and CPU
# cache products - like coherence
# exchange conn beyond FIX - understand its idiosyncrasies

Other skills are important to the team but less important to the engineer
- market data gateway
- back testing
- architectures
- OO designs
- automated pricing. No need to understand BS or bond math, or hedging techniques
- basic trading algorithms
- scripting for system automation
- statistics software

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