"That's a really great question."
Went to MIT
Dormmate staked $100K by rich kid roommate at Harvard, made $40K with it
Didn't like environment/culture (hazing) at place she interned (Goldman), wanted to start her own place
"No thought leader in the space."
"That's a great question."
Had no money, no credibility, no connections [except for MIT/Harvard]
Raised venture capital, built all technologies from scratch, create operational side
People invest in people at the angel/seed stage
Raising money for the fund another matter, you need numbers, backtests at least
No one has ever seen a bad backtest
"What's interesting, Aaron, is that...."
"That's a good question."
HFTs changed language post-Flash Boys to "low latency trading" or "electronic market making"
Their highest trading volume this year (2020) was 7.1 billion shares in a day
They don't buy order flow
Took two and a half years to build the system
Felt like a fraud up till launch, no track record
Everyone at domeyard was called a partner, free food, unlimited vacation ... all bad ideas, naive mistakes
Giving people too much choice is a bad thing
On average, recently, they do 2,500 trades per day ... could be 25,000 depending on environment
Holding periods are microseconds to hours (latter called mid-term strategies)
Flat at end of day, always
"Good question!"
One losing day can wipe out 29 days of profits
They mainly trade futures and forex, not equities
Aim for 1-3% of average daily volume of the products they trade
They try to predict market a few seconds out
Mainly use order book market data
Half life of a strategy could be one to three months
"That's a really interesting question."
Trading strategies are constantly being monitored by humans, tweaking the code
They don't play the hardware game ... next year there will be a new FPGA after all
"That's a great question."
Not many HFT firms that were around a decade ago are still around
Can't talk about returns, considered marketing
Also works on a project called databento
domeyard dot com is a suspended webpage?
Twitter: @christinaqi
FOMO Inducing Tweets for June
A collection … if I missed any, please send them to me and I’ll add them:
Movies Watched -- Wait Until Dark (1967)
108 minute running time. Dumb story, must have been a stage play (it was). I love Audrey Hepburn, even old blind Audrey, but this was a dud. John Farr did me dirty by recommending it.
Would you hold my doll, please?
Sweet Songs and Empty Tummies
“In the end, it all goes back to Aesop, who in 600 B.C. said that a bird in the hand is worth two in the bush, and when we buy Amazon we try to figure out whether there’s three or four or five in the bush, and how long it will take to get to the bush, how certain are we going to get to the bush, and who else is going to come and take the bush away.”
The original:
Luscinia, ab accipitre famelico comprehensa, cum se ab eo devorandam intellegeret, blande eum rogabat ut se dimitteret, pollicita pro tanto beneficio ingentem mercedem sese relaturam. Cum autem accipiter eam interrogaret quid gratiae sibi referre posset, “Aures,” inquit, “tuas mellifluis cantibus demulcebo.” “At ego,” inquit accipiter, “malo mihi ventrem demulceas. Sine tuis enim cantibus vivere; sine cibo non possum.”
Movies Watched -- Charley Varrick (1973)
110 minute running time so about ten minutes too long … clearly inspired the Coen Brothers’ when making No Country For Old Men and mad genius Tarantino’s “getting medieval on his ass” … Walter Matthau the least sexy man in the world, but I guess they had fun with that … Joe Don Baker plays a good psychopath, slapping the ladies and telling them “he don’t sleep with whores, at least not knowingly.” It wasn’t a terrible movie, in many ways it was good, but I’m not going to put it on my Top 500 list or give it a green-go rating. There’s a rare anti-Semitic jibe where Norman Fell is called a “bright little bagel snapper.” John Farr liked it and I must have gotten the reco from him.
He says his name is Sally.
AIDS Alarmism
From Michael Fumento’s interview on Booknotes:
“… your average white, heterosexual, middle-class person … their chance of getting AIDS is actually lower than their chance of either being struck by lightning or drowning in a bathtub … your typical heterosexual AIDS victim … is a black or Hispanic female who's living in the New York-New Jersey area whose steady sexual partner--we're not talking promiscuity here--steady sexual partner is an intravenous drug abuser. And for these women, they probably have a better chance of dying of AIDS than anything else … I think we're being horribly cruel when we pretend that we're all at equal risk. You're lying to people or deceiving them at any rate, and I think at the margin, people will die because we're giving them this false, `everybody's going to get it,' or `everybody's at risk' message.”
I remember I had to take an HIV test in 1988 to get a visa to study abroad in China, and the dumb woman doctor who got the test result back said, “take a look at the result here on this paper,” which sort of alarmed me (of course I was negative), but I realize now that she was caught up in the whole AIDS hysteria at the time.
Movies Watched -- Tully (2018)
95 minute running time … I loved this one … Charlize Theron is a special woman (born in 1975 so she’s a tail-end Xer). She’s beautiful and smart and chooses to participate in really good, interesting movies. I don’t know why this movie was in my queue (obviously not a John Farr reco since it deals with a heterosexual woman and motherhood and mental health), but I’m glad it was! Green-go, highly recommended, I haven’t seen many movies from 2018, but this would obviously make my top 10 list for that year.
I see now that the director (born in 1977) directed “Up in the Air,” which I hated, and the writer (born in 1978) wrote “Juno,” which I also hated. But they made a winner here, probably due to Charlize’s input. (Ah, they also made “Young Adult,” which I loved.)
Rex didn’t like it, but of course he’s gay. (I still love Rex: “I kept wishing Marlo would dump her deplorable life and marry Tully.“)
… he’s ruining it for all the other kids in the class who are reading like, The Iliad or whatever?
Movies Watched -- All That Jazz (1979)
123 minute running time so 20 to 30 minutes too long, but this was an unusual movie, very interesting in parts … if it were edited, which would be easy because it’s just a series of set pieces, and ran 90 to 100 minutes, I would give it a green rating, Top 500 movie for sure … a fan edit of it is called for … anyone in show business will love it despite the length. Been awhile since I’ve seen a movie as unusual as this one, but not unusual in a bad way. I think it inspired the creators of The Singing Detective TV series, which I loved. Anyway, I’d do a fan edit of it if I had the technical skills.
There’s no people like show people
Autumn Leaves of Red and Gold
Skip to 0:29 … I like this cover of ‘Autumn Leaves’ sung at Anthony Benedetto’s 90th birthday party … Leslie used the Johnny Mercer lyrics: