Jane Street and the OCaml Compiler (2018) [video]

(janestreet.com)

172 points | by chmaynard 11 days ago

4 comments

  • codingslave 11 days ago

    Seems to me that firms like two sigma and jane street form some sense of "mystique" about them with regards to how elite their developers are. But once you get inside, most people are writing run of the mill software. Google has the same tactic, even paying below market rates to people willing to work their for the brand. Jane Street does pay very well, but still, most of their hiring is based off of prestigious colleges, less off of people who have written brilliant software. Not that they arent smart. I've just seen enough marketing, and met too many people working at these firms to give them much credit from an "elite software" perspective.

    • ironSkillet 11 days ago

      With so much money on the line, hedge funds and other trading firms focus a lot of effort on marketing and building up a perception that they truly are something special (at least those that take outside client money). Internally, things could be rather mundane, and even downright awful (from a technology perspective). Not commenting on Jane Street in particular, just the industry in general.

      Source: I've worked at a hedge fund and I've seen how the sausage is truly made. Many friends have told me similar stories about other firms.

      • hermitdev 11 days ago

        Also having worked for a hedge fund, they're generally going to do their best to get you at the lowest salary possible. The overall benefits might be good, but they're going to do their best to low ball on the salary, "you'll make it up at bonus time!" Bullshit, You have to negotiate with hedge funds and be willing to walk away from a shit offer. I started at one a year out of college. Made 3x what I did as an intern. I was happy, at first. You can budget around a salary for rent, utilities, etc. You can't budget hoping for a bonus to make ends meet.

        Took me about 3 years to realize I was being paid half of my coworkers doing the same to lesser jobs as mine. Took me resigning with an offer in hand for twice what I was making before they upped their offer. I stayed for another 3 years before I got so fed up with the bullshit I actually left for a lower paying job (also less stress).

        • zarkov99 10 days ago

          There is another, more sinister reason for low base: typically if you have a non compete and are forced into a one year garden leave, they can get way with paying you just the low base.

        • codingslave 11 days ago

          Yeah worked in the industry as well, there's a story an older buddy used to tell when he worked at PIMCO in the 90s. Bit different than a quant fund but still applies. They hired a few Harvard Economics PhDs, who when looking at their macro economics material for institutional investors, claimed it was all wrong/didn't make sense. Bill Gross, the fund manager, told them it was to "get the money in the door from the fucking clients, we make gut bets on the market". Then fired the guy

          • fnord123 10 days ago

            >Harvard Economics PhDs

            tbf, academia is its own racket.

            • codingslave 10 days ago

              Yeah absolutely, the value of the Harvard PhD in this story is the name and nothing else.

          • tianyicui 11 days ago

            FWIW, Jane Street is not a hedge fund nor take outside client money.

            (Edit: I work at Jane Street.)

            • moneywoes 10 days ago

              How would you best describe them

              • darawk 10 days ago

                It's a prop trading firm. It's pretty important to distinguish between hedge funds that take public money (which are generally probably low quality, as the OP described) and prop trading firms that only or primarily trade their own money (Two Sigma, Renaissance, Jane Street, Jump trading, etc.). The latter deserve their mystique, because you only trade your own money if you are actually beating the market.

                • HereBePandas 10 days ago

                  Two Sigma and Renaissance (albeit not Medallion) primarily invest outside capital.

                  • darawk 10 days ago

                    Renaissance does take outside capital, but their primary business is Medallion. The outside capital is just a way to make a bit more by trading on their reputation.

                    Two Sigma does generate a bit more revenue from outside capital than Renaissance, but it is my understanding that the heart of their business is still prop trading. But I don't know that for certain.

                  • amelius 10 days ago

                    Can you comment on relevance for society? Do these companies generate a net positive, or do they only extract value?

                    I.e. should I look for a job there only because of the money, or also because I can make a difference somehow in the bigger societal picture?

                    • wjnc 10 days ago

                      Difficult question, at least if you'd try to argue without politicizing too much. I'd say it's a false dichotomy to equate 'making money on the stock market on your own investments' with '(negatively) extracting value'. On the whole of it I'd argue that the existence of a stock market is a public good since it makes capital more liquid, more accessible and more transparent. Going from that to argue that firms that invest purely for themselves deliver a whole lot of positive externalities would be hard for me. I'd call it Lawful-Neutral. It's wholly within the rules of society, doesn't create very clear negatives and clearly delivers positives for those involved (employees, stockholders, etc.).

                      If you have a 'millenial mindset' and want to work where you directly and positively impact society, I'd choose elsewhere. From a Peter Singer-like perspective, if you'd earn top dollar there and spend at least a modest amount giving to the right charities, you might still be making the world a better place, even compared to the other place.

                      • amelius 10 days ago

                        I'd maybe agree with your points, except the last point: if these traders keep all/most smart people from the job market, then even your dollars would not make a difference. Of course this is overblown but it is similar to the concern that "all of our smart people are trying to make people click ads".

                        • darawk 10 days ago

                          I think the way to think about it is that this "make people click on ads" problem needs to be solved. Just like this "value assets efficiently" problem needs to be solved. And if you can contribute to solving either problem more efficiently, that frees up the next smartest person to do something more directly productive.

                          • amelius 8 days ago

                            No, because how do you solve a problem better than with one smart person? The answer is with two smart people.

                            And from there you get an endless race using more smart people to solve pointless problems.

                            • darawk 8 days ago

                              Sure, but you can only solve these problems so well. They are of finite complexity.

                      • darawk 10 days ago

                        I would say yes, they do make a positive difference for society, but in a fairly abstract way.

                        Efficient capital markets are an extremely important part of a market economy. They allocate capital where it will do the most good. Firms like Renaissance make that process more efficient. That is, they take a process that used to require 1000 MBAs working full time, and they accomplish it with 4 physicists, and automate it. This frees up the 1000 MBAs to go do something more productive with their time.

                        I think it's easy to be dismissive of this sort of value creation because of how abstract it is, and how concentrated the wealth creation at a firm like Renaissance is. However, I think the value add to society is actually real.

                        There are legitimate questions about the value being added by ultra high frequency firms. The ones that engage in market making are definitely adding value, but the ones that are doing things more like front-running or statistical front-running are a lot more questionable.

                        • Barrin92 10 days ago

                          I think this deserves a little bit more scrutiny in particular because the OP is asking about making a difference.

                          1. I would argue they're not a net positive. Making markets more efficient is fine but markets are already extremely efficient. The biggest social good can be achieved by working on issues that are classical market failures and full of externalities. Climate change, healthcare, basic science, education and so on. The man-hours invested in these prop trading platforms compared to the benefit to society is maybe positive under the microscope, but negative when one considers opportunity cost.

                          2. They're freakishly proprietary. They're corporate black boxes full of 200 IQ people who could be solving and distributing knowledge, but they're basically locking them in the basement to make money. Put any of those researchers into a public university and over the course of their career, they could educate thousands of fine researchers.

                          • nikofeyn 9 days ago

                            > Efficient capital markets are an extremely important part of a market economy.

                            i was under the understanding that the entire point of the medallion fund is that markets are not efficient and can be taken advantage of, which is exactly how medallion works.

                            • darawk 9 days ago

                              That is exactly right, but as Medallion takes advantage of them, they become efficient with respect to Medallion's trading strategies.

                          • kjs3 8 days ago

                            You actually need to ask other people if you should care about more than money when looking at a job? Weird.

                        • nailer 10 days ago

                          They trade their own money instead of OPM

                      • fnord123 10 days ago

                        >Internally, things could be rather mundane

                        Elite developers often make things mundane. No fires. No explosions. etc.

                        • quickthrower2 11 days ago

                          Is the sausage made in VBA?

                      • throwaway720348 10 days ago

                        The people who work at jane street are generally super talented, but they also mostly work on generic not-especially-interesting software problems.

                        Source: Former jane street employee, also worked at two FAANGs before that, so I think I have some basis for comparison

                        • downerending 11 days ago

                          Not JS, but I've worked for a couple of competitors and can confirm. There were a few truly brilliant individuals, but most of the staff was unexceptional, and the general level of the tech varied between standard corporate and outright appalling. It turns out that if you have enough money, you can simply keep throwing programmers into the firefight until something sort of works. They're truly too rich to fail.

                          But, not an enjoyable ride if you actually love quality tech.

                          (But, money! So much money!!)

                          • Chyzwar 10 days ago

                            5 years ago, I had an interview with Jane Street. At that time I was interested in functional programming but not in OCaml. I think I had a fair chance but I bombed a technical interview. I do not have a "prestigious college" background and at that time I only had like a year of PHP experience. The interview format was also quite good.

                            I am not sure if the software they are writing is "elite" but OCaml is raising the bar a bit higher.

                            • chadash 10 days ago

                              > "Google has the same tactic, even paying below market rates to people willing to work their for the brand."

                              I've never heard anyone say that google pays below market. Perhaps there are those who pay more, but it's definitely above "the market"

                              • johntiger1 10 days ago

                                Below market rate compared to other Big Ns. But Google is willing to play ball if you can get other offers/get a good recruiter

                              • UweSchmidt 10 days ago

                                This kind of elite mystique was also summoned in many posts in the "Who's hiring" thread a few days ago. It's important not to be too discouraged by all of this when looking for a job. Yes, there are really good programmers, but how many can there be, realistically?

                                • nailer 10 days ago

                                  I've worked for Google and been rejected by Jane St and come off with a much better impression of Jane St. Google has some bright stars, but Jane St has a higher portion of them.

                                • smabie 11 days ago

                                  i asked this question at my Jane Street interview, but never got a real answer: how does a market making latency arb firm handle GC pauses that are inherent with any GC language? OCaml is better in this regard than, say, the JVM, but it still seems problematic. I know they wrote some FPGA compiler stuff with OCaml, but I can't imagine that all of their execution is running through FPGAs. Even if it's possible, it seems like an uphill battle; something like Rust would probably be easier to deal with (at least for their realtime code).

                                  • hendzen 11 days ago

                                    From what I've heard Jane Street's bread and butter isn't latency sensitive market making on public equities, but creation/redemption arbitrage on ETFs, especially ones that hold a lot of relatively illiquid stuff like various fixed income ETFs. Creating and redeeming those ETFs might involve pricing an emerging market sovereign or corporate bond that might have only traded a few times in the last year. So their expertise is more around smartly trading really weird stuff as opposed to the pure speed players like Jump, Citadel or Virtu Financial.

                                    That said JS is probably in a lot of different products, some more latency sensitive than others, but speed isn't what they are known for.

                                    • helsinki 11 days ago

                                      Things to consider:

                                      The company is >20 years old.

                                      OCaml is a general purpose language that provides an equilibrium between the avoidance of bugs introduced by state (like all functional languages), speed, and polymorphic type inference. At the time of adoption, the other choices were Haskell (too academic, not practical), Erlang (no type inference, not suited for large code bases with complex business logic), and lisp (too slow, loose/optional type system). The last time I checked, OCaml was third only to C and C++ in terms of speed. It is also important to consider how intellectually stimulating it is to write OCaml. If you can achieve the three things mentioned at the top of this paragraph while also creating a brand of gravitas and intellect that attracts top-tier talent, of course you would choose OCaml.

                                      Would a new, uninitiated market maker write something in OCaml? Unlikely, as they would probably use C++, Rust, or Scala with a 1TB heap and GC disabled. Ignoring the learning curve and time/dollar constraints of starting a hedge fund, I would choose OCaml over the three mentioned.

                                      [1]https://en.m.wikipedia.org/wiki/Hindley%E2%80%93Milner_type_...

                                      [2]https://courses.cs.washington.edu/courses/cse341/04wi/lectur...

                                      • riwsky 11 days ago

                                        Yaron Minsky (speaker in the talk, and guy who introduced OCaml to Jane Street) wrote in detail about how the firm decided on this in ACM Queue: https://queue.acm.org/detail.cfm?id=2038036

                                      • thesz 10 days ago

                                        At the time of OCaml choice at JS (I guess it was circa 2008-2010; I also strongly suspect that it was not at the start of JS) Haskell already had multithreaded RTS with very green threads, software transactional memory and multicore support.

                                        [1] https://downloads.haskell.org/~ghc/6.6.1/docs/html/libraries... (Control.Concurrent contains forkIO - thus, green threads!)

                                        Guessing from what information is available to me, it was a matter of personal preferences, not technical decision.

                                        PS From [2] in some other comment, it really was a matter of personal choice.

                                        [2] https://queue.acm.org/detail.cfm?id=2038036

                                        At [3] it can be found that ghc had green threads at 2002.

                                        [3] https://downloads.haskell.org/~ghc/5.04/docs/html/base/index...

                                        • thedufer 7 days ago

                                          > At the time of OCaml choice at JS (I guess it was circa 2008-2010; I also strongly suspect that it was not at the start of JS)

                                          You're right that it wasn't OCaml from the beginning, but I believe it was quite a bit earlier than that. The firm dates to 1999-2000, and OCaml came into the picture sometime around 2004.

                                          The reason they avoided Haskell, supposedly, is the lack of predictability in its performance, largely due to its laziness. OCaml, meanwhile, has a fairly straightforward compilation that allows moderately experienced developers to have a very good idea of what the corresponding machine code will be.

                                        • tartoran 11 days ago

                                          Why C++ now but not then, 20+ years ago? And would F# be suitable for the task? Im genuinely interested

                                          • helsinki 11 days ago

                                            Presumably Jane Street didn’t choose C++ because they wanted to reduce bugs introduced by the preservation of state; the killer of prop shops. F# was developed six years after their founding, hence too young, and more importantly, a Microsoft-owned clone of OCaml. I don’t think it even ran on Linux before 2015. Today, F# might just suit the job, assuming you are open to being locked into the .NET family. An interesting idea to say the least.

                                            Why C++ now? Still the fastest and tons of quants and highly skilled programmers know it. When you consider the correlation between C++ developers’ technical acumen and quantitative skills, coupled with the maturity and increasing convenience of the ecosystem, it makes sense.

                                            • insulanian 11 days ago

                                              > assuming you are open to being locked into the .NET family

                                              Which is not different than being locked into e.g. JVM family, or even being locked into OCaml itself.

                                              • tluyben2 10 days ago

                                                .NET (redone as Core) was a much worse choice 20 years ago than it is now of course. If they would fully open up the debugger, I would prefer it over the JVM. OCaml is more open (for .NET Core, there is still no good open debugger and the JVM suffers from Oracle keeping closed performance enhancements which, in my experience, do make big difference) than either of them, but not many people like programming it so it is hard to find people.

                                            • cmrdporcupine 11 days ago

                                              Everything in the C++ ecosystem is better now than it was 20 years go. The language, the tools, the libraries, the build systems. It's actually fairly pleasant to work in these days.

                                              • pjmlp 10 days ago

                                                Not really, everything related to app development is just gone, dead, with Qt and wxWidgets being the remaining survivors.

                                                VCL is only available to corporate shops and those that aren't into FOSS religion.

                                                MFC is in maintenance mode, and so far Windows developers are more keen moving into one of .NET UI stacks while keeping some C++ code as COM/DLLs or even C++/CLI, than jumping into UWP/WinUI. It remains to be seen if WinUI 3.0 will change the migration trend.

                                                Then on mobile OSes, it isn't even an option, unless you want to write your own GUI from scracth using OpenGL/Metal/Vulkan.

                                                • dirtydroog 10 days ago

                                                  I doubt HFT firms are writing apps in C++.

                                                • vkazanov 10 days ago

                                                  Everything in almost every ecosystem is better than it was 20 yrs ago. Even Common lisp is evolving... even c++ is almost, aaaaalmost has a package manager :-)

                                                • moobaa 10 days ago

                                                  G-Research in London are using F# I believe

                                                • throwaway720348 10 days ago

                                                  I think you are ascribing too much thought to Jane Street's decision to use OCaml. I think it was a good choice, on balance, but from what I heard/read when I worked there it was mostly just circumstantial.

                                                  • spugody 10 days ago

                                                    There are many prop shops using plain old java with zero gc code.

                                                  • lordnacho 10 days ago

                                                    Worked in HFT and funds, there's a bit more to the taxonomy:

                                                    - Trading completely based on the current prices. If you're doing purely arbitrage, eg looking for the ask to go under the bid (elsewhere), you are gonna have to be really, really fast, because that kind of thing is so very obvious nobody hasn't thought of it.

                                                    - One step from from that is passively leaving an order in and hoping for the same thing. Eg you leave a bid in a less liquid market, below the bid in the main market, and hope someone hits you. You then immediately throw that onto the main market. Gotta be super fast to do that, because of course everyone else can see someone traded.

                                                    - Market making based on some form of ML on the orderbook, basically imbalance. Here you need to do more than just comparing two prices. You also aren't entirely leaning on the current price to offload your position, you might hold onto your position a bit. So now there's risk involved, and you might need to decide how big a position you want. And not everyone will have the same position, so not everyone is after the same trade.

                                                    - Market making based on multiple orderbooks. Say you have an ETF basket, and you want to be able to make bids and offers around it, as well as the underlying shares. So then you have a different position to everyone else, there's a fair bit more information to digest, and there's a fair bit more modelling which will mean different participants have different decisions. This means your decisions will not be contested in the same way that obvious arbitrage would be.

                                                    • jnordwick 10 days ago

                                                      Ive worked a couple java based hft platforms at major firms. You write code that never gcs after startup. That means not using certain language constructs and rewriting almost every library along with using off heap memory.

                                                      I have personally worked on systems that would run an entire week between deployments and never gced.

                                                      • giu 10 days ago

                                                        Could you maybe elaborate more on how to achieve this with Java, i.e., run an entire week and never get GCed? I would imagine that using immutable types is one of the tricks used in such a scenario.

                                                        • Pepe1vo 10 days ago

                                                          You would (among other techniques) use something like Stormpot to maintain Object pools to release and acquire instances from.

                                                          Object pools typically can't match the GC on latency and throughput, however they do provide a lot more predictable and stable performance.

                                                          • mlrtime 10 days ago

                                                            You basically write Java as C++, you don't use any builtins, write everything yourself from pure java.

                                                            • spugody 10 days ago

                                                              I know you said "almost" but you don't have to re-write huge amounts to achieve zero gc and very low latency. There are open source tools, eg. agrona, aeron, that get you a lot of the way there.

                                                              • dirtydroog 10 days ago

                                                                And I'd imagine sun.misc.Unsafe is used quite often too.

                                                            • zerr 10 days ago

                                                              Why would you do that? Why not use C++? Especially, as you say, when memory management is ignored...

                                                              • throwaway720348 10 days ago

                                                                You can use a language like OCaml without allocating and still capture huge benefits over C++, like a decent type system, ADTs, and better abstractions than templates (modules in OCaml's case).

                                                                • zerr 10 days ago

                                                                  What about multicore? :)

                                                                  Nowadays Rust seems to cover all those features with zero-cost abstractions.

                                                                  • p_l 10 days ago

                                                                    You still need to write non-consing code to avoid memory allocation/deallocation latency, just as if you were working in Java, Lisp or OCaml.

                                                                    (In fact, GCs can often give you better latency than malloc/free unless you go into custom allocators with object pools... which is part of writing non-consing code in GCed languages)

                                                                    • throwaway720348 10 days ago

                                                                      Ah you're right, I forgot about OCaml's ass-tier multicore support. Rust is definitely better there.

                                                              • AllanHoustonSt 11 days ago

                                                                As others have mentioned, they have ways of writing OCaml specifically to not trigger the GC or perform any excessive allocations. Helps when you have your own version of the compiler and a branch of the language itself.

                                                                This is talked about with an example in this talk around 18m30s: https://www.youtube.com/watch?v=BysBMdx9w6k

                                                                Also as someone else mentioned, Jane Street doesn't try regularly competing (to my knowledge as someone in the industry) at trading horizons that demand lowest the lowest possible latency.

                                                                • ironSkillet 11 days ago

                                                                  I feel like the jane street tech blog has exceptionally good quality, with a really nice mix of academic and practical ideas thrown in. Do you happen to know of any other video series with this kind of exposition?

                                                                  • AllanHoustonSt 11 days ago

                                                                    Unfortunately I agree with you Jane Street's tech blog and published lecture series are great and probably the best I know of. They make for great advertising to boot. Lecture series like Jane Street's are common in larger trading firms (more than 100-150 headcount) but I haven't seen one of JS' caliber yet.

                                                                    If you welcome general corporate blogs, I think Google AI's technical blog is quite good. Their frequent publications on distributed computing strike a good balance of academic and practical ideas:

                                                                    https://ai.googleblog.com

                                                                    Cloudflare also has one of my favorite more engineering focused blogs.

                                                                • QuinnWilton 11 days ago

                                                                  I don't know what Jane Street does, and can't speak for them. That being said, I've heard of some firms using the JVM that just tune things such that the garbage collector will never trigger, and then they restart the VM every night.

                                                                  Unfortunately I don't have a citation for that. I think I've seen it talked about before here on HN before.

                                                                  • Reelin 11 days ago

                                                                    I'm not entirely clear on the use case, but Disruptor by LMAX Exchange is for the JVM and seems very concerned with latency. (https://github.com/LMAX-Exchange/disruptor/wiki/Performance-...)

                                                                    • imglorp 11 days ago

                                                                      Here's the backstory, worth a good read in general. https://martinfowler.com/articles/lmax.html

                                                                      I suspect at least one use case has gone away since the Fowler wrote that: wanting to saturate the write channel into a database in general. Consistent hashing document DBs like DynamoDB, Cassandra, etc. are basically infinitely scalable for writes. It's not clear to me if LMAX still makes sense if you want to assemble the db writes into a strongly ordered stream.

                                                                      • nimchimpsky 11 days ago

                                                                        "wanting to saturate the write channel into a database in general. Consistent hashing document DBs like DynamoDB, Cassandra, etc. are basically infinitely scalable for writes."

                                                                        I don't really understand what are you are saying there ?

                                                                        But we use disruptors for processing millions of messages/events as quickly as possible, with a variety of different consumers.

                                                                  • tbr1 11 days ago

                                                                    You can write zero-alloc OCaml code, since the standard compiler is very predictable in when it will allocate closures, etc. The Flambda compiler makes things even nicer in removing allocations for some common idioms.

                                                                    [1]: https://twitter.com/yminsky/status/947064713237684224

                                                                    • potatoyogurt 11 days ago

                                                                      If you don't allocate, you won't garbage collect. GC pauses would be really bad, but you can avoid them, or at least avoid them happening at bad times, if you're careful. It does requires knowing in some detail how Ocaml manages memory.

                                                                      • whb07 11 days ago

                                                                        They are market makers not those battling the swings at the micro second scale. Yaron Minsky replied this in some random video I saw a random night, though I cannot recall which.

                                                                        So their edge isn’t based on speed. They gain more from correctness and ability to express these ideas.

                                                                        • smabie 11 days ago

                                                                          Market makers are incredibly exposed to ms scale swings since they're warehousing a lot more risk than a HFT firm.

                                                                          • whb07 11 days ago

                                                                            i don’t doubt it. But that’s what he said. Very few people alive in this specific field with this much domain knowledge. Are you his peer in this respect ?

                                                                            • kolbe 11 days ago

                                                                              You assume he’s telling the truth. Why would he make the truth public knowledge? It can do nothing but hurt.

                                                                        • matlin 11 days ago

                                                                          In Elixir/Erlang there is no global pausing for garbage collection, instead each process is individual garbage collected. And I remember hearing about a strategy that allows you to avoid it entirely by ensuring your process's lifetime is short enough (or heap size big enough) that it basically never happens despite the BEAM (Erlang VM) running with garbage collection.

                                                                          Edit: my point is that it is likely avoidable through certain coding practices in garbage collected environments.

                                                                          • dnautics 11 days ago

                                                                            This is only possible due to the way that the BEAM VM and its languages are architected; the gc itself is "not the smartest", but it doesn't have to be because there is no shared memory and process boundaries are failure domains.

                                                                          • andrewnc 11 days ago

                                                                            This is a really fascinating question. When I chatted with some of the Jane Street crew at NeurIPS they were adamant in the benefits of OCaml's Hindley-Milner type system.

                                                                            I didn't ask, but am curious, how that compares to the type guarantees of Rust? Would moving to Rust cause them to lose that advantage of compile time error catching? I've never written a line of Rust (hopefully that changes soon) so I don't know, but am certainly interested.

                                                                            • throwaway720348 10 days ago

                                                                              Rust type's system has a similar power level to OCaml's but without modules (which are used heavily at JS) and with linear types/lifetimes. Rust would probably be a good fit for JS, but of course it takes a lot to overcome the momentum of 20 years of using primarily one language.

                                                                              • smabie 11 days ago

                                                                                Ocaml doesn't have a HM type system. I mean I guess it does, but Ocaml supports a lot of stuff HM doesn't.

                                                                            • easytiger 11 days ago

                                                                              Did they say that latency isn't a big factor in their PnL, but they let their tech guys waste their time over it to keep a big happy family?

                                                                              • codingslave 11 days ago

                                                                                They fill up with a few TBs of RAM and then turn off garbage collection. Always surprised people dont know about this.

                                                                                • nailer 10 days ago

                                                                                  > how does a market making latency arb firm handle GC pauses that are inherent with any GC language?

                                                                                  Don't garbage collect, or do it at the end of the trading day. There's plenty of VMs designed for this, at least in the JVM space (which is where my personal experience has been).

                                                                                  RAM is cheap. Latency is expensive.

                                                                                  • gbronner 10 days ago

                                                                                    Preallocate all of the memory on the box, and control GC runs.

                                                                                    There's an entire library of tricks for ensuring that GC pauses don't affect trading, but the biggest one is to use userspace allocated memory pools.

                                                                                    • wk_end 11 days ago

                                                                                      Anywhere that's latency sensitive they write code carefully so that it doesn't trigger the GC.

                                                                                      • Arnt 10 days ago

                                                                                        GC pauses aren't inherent.

                                                                                        I've written a java compiler that does GC and watched that part work; no pauses even for data structures with loops, and generally excellent performance. Not released yet, because I've also watched other parts not work.

                                                                                        But GC without pauses: That worked. And I was relieved² when I saw that my ivory tower worked, after many people had told me it couldn't possibly ;)

                                                                                      • jasone 11 days ago

                                                                                        This is the third time I've watched this video (admittedly with a bit of distraction today). After the first time I went off and learned about modular implicits, which appear to be a huge ergonomic improvement, especially the way the JaneStreet library APIs are designed. The second and third times I got increasingly sad that so much brain power is being sucked up by algebraic effects, to the detriment of other advancements. Oh well, that's their decision to make; JaneStreet continues to do huge service to OCaml in myriad ways, and I really value these tech talk videos as part of that.

                                                                                        • throwaway992293 11 days ago

                                                                                          Interesting fact about the presenter (who is also my former boss) that I learned a few days ago: he recently gave $1,000,000 to an anti-Bernie Sanders super PAC.

                                                                                          [redacted]

                                                                                          • typon 11 days ago

                                                                                            I love hearing rich people say stuff like "I can give $2800 max to any candidate". How super PACs are legal makes no sense to me.

                                                                                            • Barrin92 11 days ago

                                                                                              the sheer amount of money in American politics amazes me. Here in Germany, which is no small country, the largest parties maybe spend 20 million over an entire election cycle. And the discrepancy to the small parties is maybe 10x or so. And I find that obscene already

                                                                                              The Bloomberg numbers shocked me too. 400 million or something before the general election has even started, you could probably feed tens of thousands of starving children with that kind of cash, and they're blowing it on TV ads

                                                                                              • smolder 10 days ago

                                                                                                Corruption is mainstream in the US. People don't appreciate how bad the situation is when money can buy politicians and subvert the majorities interests. It seems dramatic to say, but it's like a waking nightmare to me, seeing this in what I used to think was a country of high principles.

                                                                                              • lend000 11 days ago

                                                                                                The prevailing wisdom on Wall Street is that an anti-capitalist would be devastating to the economy, so this should be no big news. Keep in mind that quant firms like Jane Street aren't necessarily long-biased on their positions, so it's likely ideologically motivated.

                                                                                                • akhilcacharya 11 days ago

                                                                                                  Also it is indeed possible to be pro-Biden and not just anti-Sanders.

                                                                                                  • throwaway992293 11 days ago

                                                                                                    I have no doubt that a Sanders presidency would have a negative effect on Wall Street profits (which is why you see people like Ron giving millions of dollars to prevent it) but that's hardly a measure of the health of "the economy."

                                                                                                    • lend000 11 days ago

                                                                                                      Perhaps you misunderstood what I said by long-biased, but companies like Jane Street, Two Sigma, RenTech will be just fine (and will probably adapt better than most) to structural changes and a decline in growth of the economy. The tax rates will hit individuals, but probably not as much as his donation set him back, so it's almost certainly ideological. Clearly you are passionate about Sanders, and that's fine, but it seems you are slandering this guy for no good reason.

                                                                                                      • asveikau 11 days ago

                                                                                                        It's strange to me that you seem to assume higher taxes on top earners (which is probably the conclusion I parse out of Sanders and his proponents, though they would face opposition in Congress to get there) necessarily means that economic growth will decline. Speaking historically, the United States has gone through periods of high growth with top marginal tax rates at something like 90%.

                                                                                                        • lend000 11 days ago

                                                                                                          Higher taxes are not the only economics implications of a Sanders presidency, especially when you look at some of the governments Sanders has praised over his career. A better tax structure is necessary and the easiest thing to do, but I don't trust Sanders to figure that out. Even Warren comes up with a wealth tax instead of just fixing the income and capital gains tax brackets.

                                                                                                          Hint: add three more brackets with 4mm+ at 50%, 20mm+ at 65% and 100mm+ at 80% and do the same relative adjustments for capital gains. No need for the government to seize the means of production when you haven't tried the obvious thing. Our current tax brackets are a joke, topping out around 500k when some people make 10,000 times that.

                                                                                                          • asveikau 11 days ago

                                                                                                            > especially when you look at some of the governments Sanders has praised over his career.

                                                                                                            Can you be more specific here?

                                                                                                            I mean, there can be praise for some governments without saying we advocate for everything they do. It's possible for instance to praise Cuba for health care outcomes without wanting to become Fidel Castro. There are also some ridiculous insinuations that Sanders is some kind of Chavista, which to me is a bit of a flag that someone isn't serious about their anti-Sanders discussion. I would say he advocates for more of a European type of safety net.

                                                                                                            > No need for the government to seize the means of production

                                                                                                            I do not believe Sanders proposes that.

                                                                                                            • champagneben 10 days ago

                                                                                                              From Wikipedia (prior to elected office): advocated for nationalization of major industries, including those in the manufacturing, energy and banking sectors. In 1974, he advocated for a marginal tax rate of 100% on income over one million dollars, saying that "Nobody should earn more than a million dollars"

                                                                                                              https://en.wikipedia.org/wiki/Political_positions_of_Bernie_...

                                                                                                              I doubt Sanders still advocates for most of these positions, and he is of course a millionaire now.

                                                                                                              • johntiger1 10 days ago

                                                                                                                You're confusing wealth with income

                                                                                                                • asveikau 10 days ago

                                                                                                                  You can advocate for nationalization of some industries and high income taxes [like we had in the 50s] without going Full Communist or even pulling a Hugo Chávez.

                                                                                                                  Check out this list: https://en.wikipedia.org/wiki/List_of_nationalizations_by_co...

                                                                                                                  Amtrak was the one that came to mind for me. Nationalizing rail service has been pretty common in multiple countries over time. Sometimes private utilities also get absorbed by local governments. The history of fire departments in this country has a lot of that. The UK has an even longer list, you will note. Mexico nationalized gas stations in the 20th century.

                                                                                                                • venamerican123 10 days ago

                                                                                                                  I want to address your points re Cuba and Venezuela.

                                                                                                                  I'm going to start with Venezuela since I am a Venezuelan-American and you might not like what my views are on the topic. First of all, I always assume good faith, even when it comes down to Sanders, unlike Michael Moore, for instance.

                                                                                                                  - Venezuela

                                                                                                                  Sanders expressed his support of Chavez in many of his writings. So, you might not consider him a Chavista, but he's definitely praised Chavez at least up to 2011 [1].

                                                                                                                  I know this is anecdotal, I visited Venezuela many times: 2005, 2008, 2009, 2011, 2013. Believe me, anyone with good faith could not have praised whatever was going down there in 2011. 2000? I can give you the benefit of the doubt. Chavez had only been in office for ~3 years by the time and hadn't shown what an awful dictator he was going to become.

                                                                                                                  - Cuba

                                                                                                                  Have you been to Cuba? Again, this is anecdotal, but nothing like first hand experience on a matter to make some people understand what the ugly reality is outside whatever some organization states on what the state of those countries are.

                                                                                                                  Trust me, you don't want to be in a Cuban hospital.

                                                                                                                  >> No need for the government to seize the means of production > I do not believe Sanders proposes that.

                                                                                                                  Here's a video [2] where Chavez is seizing the means of production on national TV.

                                                                                                                  I find deeply sad when some Americans try to justify certain candidates who have supported awful governments, like Chavez's or Castro's.

                                                                                                                  [1] https://www.washingtonexaminer.com/news/campaigns/sanders-di...

                                                                                                                  [2] https://www.youtube.com/watch?v=X-zfD5SKeVQ

                                                                                                                  • asveikau 10 days ago

                                                                                                                    I am not a fan of Chávez or Maduro or Evo Morales and that sort. There was some more optimism when that political wave started, and I in particular used to be more optimistic about them than I am today. This is probably true of a number of American left leaning people.

                                                                                                                    I have not been to Cuba. I hope to some day. (I speak fluent Spanish btw and hear about these places in their original, local non-US sources.) I do understand that they are said to have good health care outcomes, which is especially remarkable given how the rest of their economic system is going. The United States health care system is very terrible.

                                                                                                                    > Here's a video [2] where Chavez is seizing the means of production on national TV.

                                                                                                                    Yeah he does look kind of like a dumbass appropriating buildings on a whim without investigation or any kind of review (for the TV cameras and that silly applause), that was pretty much his way, but it's important to note that Bernie Sanders is not Hugo Chávez and can't be held responsible for the actions of another person, living or dead.

                                                                                                                    • Why do you think the media focuses on acknowledging on this and not the official US policy of support of a monarchy like Saudi Arabia?

                                                                                                                  • chung2 10 days ago

                                                                                                                    Sanders proposes a wealth tax as well. Not knowing that, coupled with ludicrous fears about him “seizing the means of production”, strongly indicates a questionable origin for your impression of Sanders.

                                                                                                                    The same thing goes for governments that he’s praised, a completely manufactured controversy. It is not condoning authoritarianism to say, for example, that China outperforms the US in infrastructure. People get hysterical about insufficient condemnation of the Cuban regime; I wonder how many are even aware of the murderous right-wing military dictatorship that the US installed and the communists replaced. It’s a very similar situation with respect to Nicaragua. Somehow the outrage about authoritarianism is missing as long as the US is directly profiting from the oppression. See Saudi Arabia vs Iran.

                                                                                                                    • lend000 10 days ago

                                                                                                                      > Sanders proposes a wealth tax as well. Not knowing that

                                                                                                                      This is my point. They propose a radical new tax that requires measuring people's entire net worth, instead of fixing what's broken using our existing infrastructure which measures forms of income and money flow, because they are clueless, and it's good politics right now. The guy is a self proclaimed socialist, and that means socializing things [0].

                                                                                                                      I'm not interested in getting deep into another Sanders argument; looks like he is done. Of course, I'd like to see an inventive, creative, data-driven leader -- think Elon Musk, but without a social media presence. But that'll never happen.

                                                                                                                      [0] https://www.washingtonexaminer.com/opinion/bernie-sanders-wa...

                                                                                                                      • loup-vaillant 10 days ago

                                                                                                                        If measuring wealth is a problem, I'd look into inflation, and Land Value Tax. Inflation would depreciate money, and land value tax would erode physical possession. Then we can redistribute.

                                                                                                                        Land value tax in particular seems particularly interesting: if generalised to comprise (almost) all of tax, we can expect a drastic simplification of tax collection, and much less paperwork for everyone when doing all kinds of exchanges, paying an employee, selling goods… at least for unregulated activities. And of course, it would make accumulation of wealth more difficult.

                                                                                                                        Another route, that several countries have partially and successfully taken, is devoting part of salaries to the common good (tax salaries, at it were): a bit to pay for retirement, a bit to pay for hospitals, a bit to pay for unemployment… this could possibly be generalised to outright communism, where the means of productions are no longer owned by capitalists. (I would avoid a command economy however. We most probably want local stuff to be managed locally. For instance, only people living within 1Km of a bakery should have a say about what the bakery should do, and the people working there should probably decide how they want to work.)

                                                                                                                        The more pressing problem however is handling the coming recession: as energy (oil, coal & stuff) decreases, so will the GDP (it has already started). I don't know how an "ideal" should look like, but it's certainly not a system that assumes growth that isn't there. I'll just note that without growth, inequalities tend to be much less tolerable.

                                                                                                                        • lend000 10 days ago

                                                                                                                          Compare the junior software engineer who spends months writing an elaborate new system, full of bugs, to the senior developer who addresses the same problem with 10 lines of code. Which camp do you think your proposals, or any wealth tax proposal falls into? As opposed to just fixing the tax brackets, and not re-writing any code.

                                                                                                                          • loup-vaillant 10 days ago

                                                                                                                            Depends. How big is the rest of the project? I assume the 10 lines of code you are speaking of are a delta. But depending on the rest of the project, the consequences of that small fix could reach further than anticipated.

                                                                                                                            The new system may be full of bugs, but why would the old system be any better? I've seen old systems. Some of them get their bugs fixed. Many get their bugs worked around, either by the devs, but often by the users themselves: "don't click here, it makes the program crash!"

                                                                                                                            As for Land Value Tax, do not confuse land with other kinds of wealth. Land doesn't move. Its surface doesn't change. It's market value can change, but it's not wildly fluctuating, like, say, Oil. That makes it much, much easier to tax than whatever property you build on top of it, or goodness forbid whatever precious trinket you might store in that property.

                                                                                                                            The other proposition, taxing salaries, works today. Taxing more or less salary is just a knob to turn. And at the time such taxes were put in place in France after WW2, the change was swift, and the "new system, full of bugs" worked. Communism (or something close to it) worked, in a Western, democratic country. Okay, it was only applied to school, roads, hospitals, retirement, unemployment insurance, energy… but that's already a pretty big deal, don't you think?

                                                                                                                            ---

                                                                                                                            We could "just fix the tax bracket", but then my first reflex would be have a top marginal rate at 100%. I want a limit on maximum individual income. Something like $10M per year to begin with. That may seem ludicrous, to inflict such a brutal end on the American Dream itself. That's it, game over, no one will get rich ever again. But really, that dream is a lie to begin with.

                                                                                                                            Better yet, we could tether the limit to the median income. Want to get rich? Make your country rich first. That at least should appeal to patriotism, which I believe is still fairly strong in the US.

                                                                                                                • smabie 11 days ago

                                                                                                                  I dunno, the trading tax Sanders is proposing would hurt these firms a lot more than a traditional hedge or mutual fund. Moreover, it's banks that would be hit the hardest, and they have less exposure to beta than even the market neutral buyside guys.

                                                                                                                  • vowelless 10 days ago

                                                                                                                    I can assure you with 100 percent certainty that Rentech et al will relatively thrive with the trading tax.

                                                                                                                    This tax will reduce liquidity perhaps, make the market pricing inefficient (larger spread). This will hurt mutual funds the most by increasing their baseline costs. Which in turn will hurt pension funds, endowments, etc.

                                                                                                                    RenTech and others will thrive in the midst of those inefficiencies.

                                                                                                                  • flomble 11 days ago

                                                                                                                    "Slander" entails making false statements, whereas this was just a statement of fact, free even of condemnation. People who read it make their own value judgments.

                                                                                                                    • arduanika 11 days ago

                                                                                                                      No, sorry, false. A sentence of the form, "which is why <person> does <thing>", i.e. "<person I never met> did <thing> because <reason I impute>" is never, ever a statement of fact. It is _always_ an opinion and an attempt at mindreading. And in this case, it's ill-informed. As lend0000 has repeatedly told you, firms like these are not exposed long to the market. Hence, "likely ideologically motivated", unlikely a nefarious ploy, but again this is speculation.