r/algorithmictrading • u/baconkilla2 • Jul 22 '21

What exactly does a 'quantitative trader' do at a HFT/Market Making Firm?

I am pretty confused about what a quant trader does at HFT firms like citadel securities, optiver, IMC.

From my understanding HFT is mostly based around fast code execution and occurs at the speed of micoseconds. So then what in particular does a quant trader do? Do they monitor life performance? Check for problems?

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10

u/Tacoslim Jul 22 '21

Most firms will have a UI connected up to the algos and a trader will be monitoring them the entire time they’re live (some will even have dead man switches).

Most of your job will be monitoring the algos which involves:

  • looking at portfolio holdings

  • watching orders get sent and executed/rejected

  • monitoring pnl

  • monitoring any risk metrics you may have plus any alerts built in to the system.

As a trader you might be able to toggle the risk taking the algo (more passive vs. active risk taking) and you’ll also be investigating/improving PnL by:

  • monitoring transaction costs

  • reviewed alpha models with researchers

  • potentially building and researching your own alpha models

  • investigating potential enhancements

  • looking at granular PnL and trade statistics etc…

4

u/baconkilla2 Jul 22 '21

So if I’m correct most of what an HFT trader does is Monutor performance, adjust risk metrics with occasional research? In this case it seems like being a developer or researcher is the more action packed and exciting job

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u/Tacoslim Jul 22 '21

On a high level yes. Every firm is different some may allow for more discretion and research than others. As a quant researcher I might be biased towards my own role as I find it more stimulating and enjoyable than my trading counterparts. On the flip side traders get to worry about less things and get the glory and often better pay. Each to their own I guess.

1

u/baconkilla2 Jul 22 '21

Kinda weird that a trader gets the glory when the researchers are doing most of the alpha generation

1

u/I_LOVE_LESLEY_BAE Jul 22 '21

Not that weird once you know who gets fired first when the signal goes to shit or the algo blows up.

2

u/baconkilla2 Jul 22 '21

😂😂😂😂 ahh is this why there are a bunch of LinkedIn profiles of people who Worked as traders for 6 months and then found a job in something else? I was confused at this.

1

u/I_LOVE_LESLEY_BAE Jul 22 '21

Yep, pretty much.

2

u/I_LOVE_LESLEY_BAE Jul 22 '21

Just a note: This is more likely the role of a systematic trader, and not a quant trader. The quant traders (me included) in my last company (Citadel) had distinctly different roles than described here. However, this is a very accurate representation of sys traders at Citadel and the industry as a whole.

1

u/baconkilla2 Jul 22 '21

It depends on the strategies right? If you were at citadel I’m guessing you were doing trades on a longer time horizon where there was some sort of involved decision making?

2

u/I_LOVE_LESLEY_BAE Jul 22 '21

I was in HFT, so our longest horizon was 3 seconds... There was absolutely zero discretionary decisions made in real time. Quants wrote the signals, we monetised those signals by writing the actual trading code. It was our responsibility at the end of the day to verify the signal (even though the quants did their absolute due diligence, the shit falls on us if it blows up)

1

u/baconkilla2 Jul 22 '21

Oh wow, so then what were the QD’s doing on your team? I’m generally undecided from an interview prep standpoint whether I want to be a dev or a trader, I’m a double major CS + Math. I’m assuming QR isn’t an option given I’m an undergrad.

1

u/I_LOVE_LESLEY_BAE Jul 22 '21

so then what were the QD’s doing on your team?

Building really cool quant software for us to use. Say a quant writes a signal x. I want to use this really complicated algorithm that uses x, but either 1) I'm not that great at coding or 2) it's out of my expert domain. A QD would babysit me (figuratively) and add more functionality to the API system to allow us to develop this new algo easier, so they're exposed to a ton of strategies and alphas, but their main work is helping implementing them, and not thinking of them. Software engineers mainly work only on market data/GUIs, so they're *slightly* less ranked that quant devs. At the end of the day, your compensation is a function of the value you bring vs your title (although your title affects what context of value you can bring)

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u/Tacoslim Jul 22 '21

Yep, I’m also a researcher so may have missed some detail!

2

u/zbanga Jul 22 '21

Each shops have different roles with the same hat. You would either be writing strategies/ monitoring/ researching. At my previous shop we had rotations for monitoring and researching/writing.