Hi there,
Im very interested in a career in designing trading systems which requires low latency programming. I wondered if anybody knows good books for low latency c++?
thanks, someone else recommended that on another board. im going to 'answer' to the other guy as there's a book there i'll have a closer look at. thanks for the confirmation though :)
Tom
2010-10-01 01:58:14
@Tom NP, glad to help!
Secko
2010-10-01 10:18:45
+3
A:
Asking what book to read to learn how to do this makes me wonder whether you are on the right track.
You are targeting an extremely competitive field. You need to be an experienced (5 years plus) C++ developer to even get a foot in the door of serious HFT shops. There is not exactly a shortage of experienced domain-aware developers in the financial centers at present after the carnage of the past couple of years, with more possibly coming soon after a major (30%+) fall-off in sales and trading revenues and ongoing hedge fund bubble deflation. Low-latency trading in particular is under the regulatory microscope at present and (like 'financial engineering' 2-3 years ago) may prove to be a bubble that bursts, in the Fin. Eng. case leaving a lot of associated technology people jobless and with expensive, unusable Masters degrees. Several of the major banks are in the process of divesting their Prop Trading desks per new regulation, which adds more talent to the pool of job-seekers.
Unless you are enrolled in a top-tier Comp.Sci. or Elec.Eng. program, or already working in the HFT field, or have guru-level non-finance C++ expertise, you have zero chance of breaking into this subfield in finance without the help of a recruiter. Your best bet is to target a few headhunters in the NYC area (or your region of choice of course), show them your resume and ask them what your chances are.
I worked at Microsoft for several years. Latterly I have been in finance (NYC) for 5+ years, and my impression is that nobody cares about book learning. You have to show people what you have done, and can do. It has taken me this long to get to the point where I can credibly interview for the jobs you are targeting. Even then it's a tough sell because it's all Linux, and my background is Windows.
Good luck. Just be realistic.
EDIT: Read this thread for a bit more background on the topic.
Steve Townsend
2010-10-01 11:03:44