Formula δ1 @FormulaDeltaOne Twitter profile

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Formula δ1

@FormulaDeltaOne

1 year

AMA - Shill me your HFT/algo strategy idea and I’ll tell you why it won’t work.

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Formula δ1

@FormulaDeltaOne

2 years

Linear regression - recommended by 9/10 quant researchers. The 10th is getting fired for not bringing any reasonable results after half a year of tinkering with neural networks…

Jessica Nutt

@JessicaNutt96

2 years

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Formula δ1

@FormulaDeltaOne

2 years

Some pople ask me for a list of firms to apply to for HFT QR. Firstly you can find that online or in the Max Dama write-up, secondly here’s *a* list: Akuna Citadel Sec DRW Flow Traders Headlands Tech HRT IMC Jane Street Jump Trading Maven Sec Optiver SIG Tower Research Virtu XTX

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Formula δ1

@FormulaDeltaOne

5 months

My dude what have you not understood from what I’ve just said. I spend 8-10 hours/day building Sharpe 10 HFT strategies. I have zero desire (and certainly lack of tech and other obstacles) to do so after that in my free time. Also my employer would have a look at that if I did.

Financial Market Witch-doctor 🌐

@MusembiWa

5 months

The realization that a number of quants just invest in low cost ETFs on their personal accounts is... worrying. If these guys just hand it to Fama at the end of the day (when it comes to their own money) then what chance do we have??

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Formula δ1

@FormulaDeltaOne

6 months

Thats’s my quant 🫵

cephalopod

@macrocephalopod

6 months

Few people know this but financial returns are not normally distributed. Mean-variance optimisation, Sharpe ratio AND the Black-Scholes formula are completely useless and can’t be used to make money.

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Formula δ1

@FormulaDeltaOne

5 months

People be spending so much time with their personal investments these days. Bro, you can’t out-invest a bad salary. Maybe if you invested all that time you watch markets into getting better at something and got a better (not only paying) job as a result…

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Formula δ1

@FormulaDeltaOne

2 years

To reduce the dimension of the “problem” let’s say there are three types of role at a (quant/HFT) trading firm: 1.Quant Researcher 2.Quant Trader 3.Quant Developer (Dev) Some firms mix these terms or call everyone an Analyst (catchall). N1. is sometimes called Strategist.

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Formula δ1

@FormulaDeltaOne

11 months

Factor quants will literally be like: “We sort stocks by how well their previous return predicts the next period return according to R2 (over a moving window), then long the highest decile of those that moved up and short the highest decile of those that moved down.”

Robot James 🤖🏖

@therobotjames

11 months

"Strategy: R-squared" kwants in absolute shambles that this has leaked

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Formula δ1

@FormulaDeltaOne

5 months

Aaand? Just because I create models that run decisions based on every tick doesn’t mean I know where the fuck is (any) market going tomorrow. Index funds are very cost efficient, especially with the time they save you.

oatz

@redoatz

5 months

I was just hanging out with an elite quant from an elite hedge fund who told me she puts all her own money in low cost index funds

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Formula δ1

@FormulaDeltaOne

2 years

Some people just cannot take “it depends, …” answers. They want a clear definitive answer and when you start with “it depends, …” and go possibility by possibility, you just completely lose them. They don’t trust you. Trading is full of “it depends, …” answers, btw.

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Formula δ1

@FormulaDeltaOne

1 year

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Formula δ1

@FormulaDeltaOne

2 years

@vamchale

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Formula δ1

@FormulaDeltaOne

5 months

What does HFT pump and dump even mean? Seriously, I’m all ears.

zerohedge

@zerohedge

5 months

The allegedly secret trading strategy over which Jane Street Group is suing two former traders and Millennium Management involves options trading in India, lawyers inadvertently revealed at a court hearing: BBG so the entire Indian stock market is an HFT pump and dump

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Formula δ1

@FormulaDeltaOne

2 years

Popular misconception they’re trying to shill: “You can learn trading all by yourself from public resources, web and books.” WRONG! I was trying to go this way a while ago. I learned more in the first month of joining (mid-tier) prop shop than I did the year before by myself.

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Formula δ1

@FormulaDeltaOne

11 months

Ngmi, PyQuant News probably never traded a dollar.

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Formula δ1

@FormulaDeltaOne

5 months

Lol there is whole academic literature around preventing backtest overfitting. Have you just tried “not overfitting”?

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Formula δ1

@FormulaDeltaOne

6 months

The operational hazard of working with people that are smarter than you is that frequently you feel fucking dumb… Still worth it tho.

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Formula δ1

@FormulaDeltaOne

1 year

That’s a really good honest question. I’d read and listened to guys like @macrocephalopod (threads, podcast w/ Corey) @therobotjames (don’t let the shitpostd disturb you) @AgustinLebron3 (read his book Laws of Trading) @picotrades (posting nice brainteasers from the QR space)

Nicolaj B Andersen

@NBAgolf

1 year

@FormulaDeltaOne I went for these guys as an “Where to start if you want to go into quant trading”. Seems like that is not the thing to do, so what would you guys then recommend?

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Formula δ1

@FormulaDeltaOne

2 years

So far applying linear regressions to many more statistical problems in HFT has born me so much more fruit than toying with and tweaking some boosted trees or NN architectures on a few selected problems.

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Formula δ1

@FormulaDeltaOne

9 months

Yeah, the *other* HFTs trade purely on vibes.

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Formula δ1

@FormulaDeltaOne

4 months

He thinks about us. 🥲 I bet that if he started shitposting on LinkedIn the way he did before the compliance officer would let him back to Twitter 🤣

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Formula δ1

@FormulaDeltaOne

2 years

BUT… YOU JUST HAVE TO ACCEPT THAT THIS IS THE WAY IT IS. It’s better to spend weeks-months prepping and interviewing than spending years/a lifetime in a shitty job. Sit the fuck down, open the fucking Heard on the Street and start fucking prepping.

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Formula δ1

@FormulaDeltaOne

26 days

“Moderately high-frequency market making” is my new favourite terminus technicus 👌

Grant Stenger (hiring)

@GrantStenger

26 days

If you want a theoretical foundation in moderately high-frequency market making, check out: "Algorithmic and High-Frequency Trading" by José Penalva, Sebastian Jaimungal, and Álvaro Cartea (2015)

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Formula δ1

@FormulaDeltaOne

9 months

Do all these new AI regulations also apply to linear regressions? Asking for a friend.

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Formula δ1

@FormulaDeltaOne

1 year

I blame crypto for making people believe that “providing liquidity” or market making is a part-time hobby.

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Formula δ1

@FormulaDeltaOne

2 years

There are 4 types of things being tested in the interview process directly: 1.Brainteasers + probability&stats 2.Coding (language knowledge + algorithm design - not “algo” as in “strat” lol) 3.Numeracy & “IQ skills” 4.Quick mental math

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Formula δ1

@FormulaDeltaOne

4 months

We are too busy making so much money with C++ as is, we don’t have time to pursue memory safety. My day-to-day job is writing Python btw so I’m highly qualified to have an opinion on the matter.

Sean Baxter

@seanbax

4 months

Why is no else pursuing memory safety in C++.. I really would like someone to talk shop with. Very frustrating stuff. Disappointed with the C++ community that in the face of this challenge just rolls over and dies.

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Formula δ1

@FormulaDeltaOne

9 months

If you spent 6 months tinkering with ChatGPT I think you should drop the quant in your name, because that implies that you simply cannot have anything to do with real trading.

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Formula δ1

@FormulaDeltaOne

5 months

Although I’m a linear regression connossieur I’d like to brush up on other machine learning techniques. Are there any new up-to-date books about ML that you’d recommend? Even a bit hardcore is ok. 🙏 I have read (basically all) the classics (Elements of Stat Learning et al).

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Formula δ1

@FormulaDeltaOne

5 months

“Yeah I’ve been working on a new market making - I can’t talk about that too much - it’s market making something. (😮) And it’s a very fun one. Had a lot of kind of role in that and it’s part of a I guess this is something …”

Risk Biscuits

@risk_biscuits

5 months

🔥Interview #17 - Stat Arb - 9 April 2024 I chat with Stat Arb ( @quant_arb ) about quant trading, market making, and crypto markets and his experiences founding a fund and working in quant research. Check it out 👇

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Formula δ1

@FormulaDeltaOne

4 months

I wonder, how long before this joke dies..?

ekri

@ekrii3

4 months

Never seen a competent trading desk without this on it. Probably (definitely) a lesson in that.

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Formula δ1

@FormulaDeltaOne

10 months

IMO good strategy to begin with is market-making anything, you’ll always find some alpha there.

Piotr Pomorski

@PtrPomorski

10 months

IMO good strategies to begin with is momentum in crypto and mean reversion in equities, you’ll always find some alpha there.

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Formula δ1

@FormulaDeltaOne

1 year

Oh no… 🥲 Bye bye, old foe, come back again to read my threads on quant interviewing once you come of age and will want to get a real job at a real firm.

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Formula δ1

@FormulaDeltaOne

9 months

1. Stare at ticks 2. Formulate a hypothesis 3. Test it on large data sample 4. It doesn’t work, go back to 1. 🔄🔄🔄

cephalopod

@macrocephalopod

9 months

@AmirAli7e Staring at ticks is good too!

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Formula δ1

@FormulaDeltaOne

8 months

How do you just not have your brain full of trading stuff when you wake up in the middle of the night at 3AM ? I want some of that…

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Formula δ1

@FormulaDeltaOne

11 months

So, what is the hardest thing about market making options? (Disregarding things that are hard for an MM in general…)

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Formula δ1

@FormulaDeltaOne

1 year

Shill me the best book about trading FX. Ideally quant stuff. And don’t come at me with this “orderbook, haha” shit. 😅

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Formula δ1

@FormulaDeltaOne

2 years

Some ppl here were taken aback by the competitivness of the quant trading job market. It’s all natural progression. If you’re 9.5/10 and I am 7/10 but I can “gain” 3 points by prepping (while you are complacent with your superior talent) I’m doing that all day, taking your seat.

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Formula δ1

@FormulaDeltaOne

1 year

My POV: hedging = you pay some of your EV for lower variance of PnL. Ergo it’s a movement along the Sharpe x absolute PnL tradeoff curve. Ideally you want to maximize your PnL w/ the constraint that Sharpe drops just enough that you can eat the drawdowns.

Zero Coupon Perpetual Bearer Bond

@zcpbb

1 year

@FormulaDeltaOne @sasuke___420 @QuasiNeutral_ I always tell juniors/interns: Hedging costs money and you should do as little as possible. If a hedge doesn't cost money then it's not a hedge, it's a good trade and you should do more.

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Formula δ1

@FormulaDeltaOne

11 months

What is beyond me is that someone is like “aight I want to research trading strategies, I’ll stay in academia and write papers”.

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Formula δ1

@FormulaDeltaOne

1 year

If you are a hammer, everything starts to look as a nail. This is especially true for many quants. Coming from trad ML background? Everything can be solved by a more advanced model. Optimization background? Lemme just set up this objective function…

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Formula δ1

@FormulaDeltaOne

5 months

Why is it always crypto in the DMs, people asking me “hey I’m from exchange xxx do you want to MM for us?”. It’s boring, why is it not e.g. a CME rep asking me to make markets in Lean Hog Futures? As ppl in TradFi are aware market making doesn’t increase traded volume that much.

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Formula δ1

@FormulaDeltaOne

11 months

Maybe the fundamental research should be incentivized as well as doing HFT is…

Amjad Masad

@amasad

11 months

The fastest most impactful way to accelerate Math and Physics progress: Ban HFT.

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Formula δ1

@FormulaDeltaOne

2 years

This is not an AMA. yet, but what *topics* would you be interested in? I feel at least a little bit qualified to talk about HFT, systematic trading, predictive models and job interviews. I don’t know jack shit about macro etc.

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Formula δ1

@FormulaDeltaOne

6 months

By meticulously analysing what’s called the cumulative distribution function in options markets I have arrived at a profitable strategy. Buy the bid sell the ask.

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Formula δ1

@FormulaDeltaOne

5 months

This would be a great interview brainteaser. Very practical as well, I use this neat little trick every day in my manual HFT MM job.

cephalopod

@macrocephalopod

5 months

@liquiditygoblin How are you supposed to price a fixed income exotic without understanding d(α ∧ β) = dα ∧ β + (−1)ᵖ (α ∧ dβ)??

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Formula δ1

@FormulaDeltaOne

5 months

Tbh almost any big breakthrough seems counterintuitive, unexpected at first and initially meets with significant skepticism. In other trading firms, in science etc. Only ex post it is “wow everything falls into place, why didn’t we think of this earlier?”.

Deus Ex Trader

@deus_trader

5 months

So how does Jane Street come up with an options strategy that they don’t understand and don’t believe in? Probably by studying their own loss of efficiency and someone arbing them. $SPX

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Formula δ1

@FormulaDeltaOne

3 months

Yes invenotory management is hedging - reducing variance by paying a bit of EV. If you don’t have alpha, you don’t have EV, so reducing variance is meaningless. Worry about the quality of your fair price first, then latency, and good inventory mngmt is the cherry on the top.

ryuzaki

@0xRyuzaki

3 months

@BeatzXBT @over_termin_ai_ @quant_arb @Vertox_DF @quantbeckman @nik_algo @cryptoflashboy_ @Dub0x3A @GoshaawkTrades @laurentzeimes My only advice is to worry less about inventory mgmt and more about alpha + latency. If you only focus on inventory you’ll be getting picked off on every trade basically & only be making money when you trade against pure noise

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Formula δ1

@FormulaDeltaOne

1 year

For all the hopefuls out there. I suggest you stop worrying about what RenTech might or might not be doing. Hanging on every word any firm’s present or former member utters for the press. I assure you, they’re never sharing anything of value.

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Formula δ1

@FormulaDeltaOne

2 years

Everybody’s salty about this one, like they’re writing rocketship navigation systems. In my industry, quick scripting one can do w/ Python to iterate ideas and find hidden piles of cash is invaluable. Just bcs you prefer your niche language you don’t have to attack Python.

Formula δ1

@FormulaDeltaOne

2 years

@vamchale

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Formula δ1

@FormulaDeltaOne

2 years

Good fucking point. Non-normality of residuals being a problem for inference is one of the things that if you say in a quant interview, you prolly not gona make it. Especially if you bridge it into tirade about ML techniques you know.

Jessica Nutt

@JessicaNutt96

2 years

you absolutely do not need normal distributed errors for OLS to be "useful"

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Formula δ1

@FormulaDeltaOne

1 year

Usually people bragging about their CFA signals that they think about it as one of the hardest things they’ve done in their life. Which actually tells you a lot…

Piotr Pomorski

@PtrPomorski

1 year

I've learnt that some people get triggered by my tweets due to the "CFA" next to my name, so after carefully considering and mulling it over for hours I have decided to keep it.

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Formula δ1

@FormulaDeltaOne

11 months

- backtests every symbol and picks the top few 🚩🚩🚩 - churns through trading research papers 🚩🚩🚩

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@idoccor

11 months

Signs your quant is ngmi - no sanity checks - magics away data errors instead of fixing - instead of pinpointing specific errors, can only point to some complex aggregation - backtests every symbol and picks the top few - churns through trading research papers - not conscientious

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Formula δ1

@FormulaDeltaOne

4 months

This is really really good stuff. The first point should be called “the first rule of trading” and is so often ignored. Those who trade because they want to feel smart/right will inevitably lose all their money to those who trade because they want to make money. 💸

π* | ¤

@totlsota

4 months

random thoughts for quant traders - trading is a business so trade to make money not to be smart, right, admired, or anything else or you will pay for those things - "The first principle is that you must not fool yourself and you are the easiest person to fool" - your processes

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Formula δ1

@FormulaDeltaOne

3 months

Hedging being of greater importance to alpha in HFT MM is a strange hill to be willing to die on. Examples: Alpha shite, hedging superb -> E[pnl]<0, Var[pnl]=0 (Basically negative infinite Sharpe 👏) Alpha superb, hedging shite -> E[pnl]=x>0, Var[pnl]=x/2

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Formula δ1

@FormulaDeltaOne

2 years

I promised a thread on interviewing at (quant) trading firms, here is the first part. I’ve been super busy lately, I’ll continue later. Everything I say is from my experience, yours can be different so take everything I say with a pinch of salt.

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Formula δ1

@FormulaDeltaOne

9 months

A blast from the past. Love when I encounter LinkedIn trading influencer talking absolute crap about some basic finance concepts and suddenly Harel (who was an OG here on Twitter) spawns outta nowhere and puts them in their place.

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Formula δ1

@FormulaDeltaOne

2 years

Some folks have been asking which firms to apply to, this is a good start from an OG reference. Mind you some of the firms have been merged into others, renamed or wound down - the list is old.

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Formula δ1

@FormulaDeltaOne

5 months

39,000 of you follow an account that posts like this (every couple of months or so): “I’m an experienced HFT market maker” “I’m an experienced MidFreq portfolio manager” “I’m an experienced hedge fun manager” Why would you do that to yourselves?

Tim

@VolaTim

5 months

488,000 of you follow an account that posts analysis like this: "someone knows something" "this is very strange" "Nothing adds up here" "You can't make this up" Why do you do this to yourselves?

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Formula δ1

@FormulaDeltaOne

9 months

Even though I work in the TradFi industry and enjoy investing there, as well as building trading algos linked with (regularized!!) linear regression predictive mechanisms, I still think the only way to make serious money is by having an edge and managing your risks well.

Piotr Pomorski

@PtrPomorski

9 months

Even though I work in the crypto industry and enjoy investing there, as well as building trading algos linked with ML predictive mechanisms, I still think tradfi is the only way to make serious money. Also, I am sentimental.

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Formula δ1

@FormulaDeltaOne

2 years

Here are (symplifying, but not that much) the ONLY resources that you need. Don’t get cute, don’t collect (other) books. Screw all that, just grind it out, it’s about the depth not broadness. You have to make these problems your own and understand them inside out, upside down.

Formula δ1

@FormulaDeltaOne

2 years

There are 4 types of things being tested in the interview process directly: 1.Brainteasers + probability&stats 2.Coding (language knowledge + algorithm design - not “algo” as in “strat” lol) 3.Numeracy & “IQ skills” 4.Quick mental math

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Formula δ1

@FormulaDeltaOne

1 year

This is spicy. One person who does HFT MM, two who do not. Yet they are convincing @sasuke___420 about what is useful and what is not. If they were on Twitter only to learn, they would stfu and listen to what sasuke has to say.

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Formula δ1

@FormulaDeltaOne

2 years

Maybe one of these days I’ll do an AMA AHAIAIIDVANRTMAMODPAODTTPAAIIKAUI = Ask me anything about HFT and I’ll answer if it doesn’t violate an NDA, reveal too much about me or doesn’t present an opportunity directly translatable to PnL and also if I know and understand it.

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Formula δ1

@FormulaDeltaOne

8 months

Is it just me or have you also been hearing the “buzzword” mid-freq trading everywhere in 2023? Almost as if the HFT arms race ended in temporary division of spheres of influence and now we’re ready to conquer the realms uncharted.

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Formula δ1

@FormulaDeltaOne

2 years

Oh no @quant_arb blocked me. Now someone else has to call this MD/prop trader/HFT MM/whatever he LARPS as today’s bullshit. That was the only reason I still followed him. Really hope that not many aspiring quants fall for his mumbo jumbo bullshit…

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Formula δ1

@FormulaDeltaOne

6 months

1. ceph steals rant from me 2. RJ steals from ceph and adds Sydney Sweeney’s boobs, shit goes viral 3. Elon responds with an emoji 🤝 One day Guy Ritchie will shoot a movie about this.

Robot James 🤖🏖

@therobotjames

6 months

@FormulaDeltaOne oh lol i thought i was stealing this from ceph, rather than stealing it from ceph stealing it from you. either way, it's what the lord elon would have wanted. thank you for your service! 🙏❤️

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Formula δ1

@FormulaDeltaOne

1 year

Everybody tells you to work smart, not hard. Many people then don’t work at all if they cannot work smart in some instance. Whilst the default fallback should be to work hard, if you ever want to accomplish something.

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Formula δ1

@FormulaDeltaOne

1 year

I still love the fact that generations of wannabe quants spent days-months studying HMMs as their holy grail because some interviewee dropped the buzzword in your book. 🙃

Gregory Zuckerman

@GZuckerman

1 year

The key w/ Renaissance isn’t the brainpower but the collaboration. No one comes close. No silos. No pods. One model. All paid based on how Medallion does. Jim was as good a manager as he was a quant. Maybe better. That’s Renaissance’s true secret.

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Formula δ1

@FormulaDeltaOne

11 months

Weekend Twitter is dull, gonna ramble a bit… In the 90s/00s we had supersonic travel (Concorde), space shuttles etc, now we have blockain virgin bs or nonsense generating “AI”. What the hell happened to our urge for real progress and pushing the boundaries of possible?

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Formula δ1

@FormulaDeltaOne

5 months

@quantymacro Based. Except for the steak with spaghetti part.

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Formula δ1

@FormulaDeltaOne

1 year

HFT market making is a pathway to many abilities some consider to be unnatural…

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Formula δ1

@FormulaDeltaOne

9 days

Capacity is a serious issue for HFT only approach. If capacity was the problem for Domeyard (due to pesky investors, I imagine), why didn’t you continue trading but without external money?

Christina Qi

@christinaqi

9 days

It’s one of the reasons @domeyard perished in the end. HFT and scalability rarely go hand in hand

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Formula δ1

@FormulaDeltaOne

9 months

Replication crisis, because nobody publishes the good stuff for obvious reasons.

Marcos López de Prado

@lopezdeprado

9 months

Honest researchers acknowledge that there is a replication crisis in finance, among other reasons due to: a) p-hacking; b) backtest overfitting; and c) causal denial. To learn more, read:

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Formula δ1

@FormulaDeltaOne

9 months

Please tell me someone tried to implement this sending market orders.

Christina Qi

@christinaqi

1 year

#HFT strategy time, part 3: Strategy parameters and considerations. 🧵 Continuing my HFT / quant example, context and disclaimers afterwards.

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Formula δ1

@FormulaDeltaOne

1 year

This sounds like it was written by ChatGPT. No substance whatsoever. How to inventory control - just lean the market. Period.

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Formula δ1

@FormulaDeltaOne

2 years

That ain’t happening 😂 unless it’s a bait… No sane person really working in the HFT industry would “walk through code” some random anons or anyone outside their firm for that matter.

yuanti - e/acc

@0xyuanti

2 years

How about a private discord for people who actually do hft? To get in you have to walk everyone through the code for one of your orderbook impls or something like that? @ltrd_ @0xLightcycle @sasuke___420 @crypto_hades @salience_xbt @moigottweets @FormulaDeltaOne @elitwilliams &c

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Formula δ1

@FormulaDeltaOne

1 year

Apparently if you say CFA three times, an army of people summons out of thin air that must convince you that the exams are really hard. Sorry folks if it can be obtained by couple of months studying it ain’t really that hard.

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Formula δ1

@FormulaDeltaOne

1 year

I love the “2 months ago I was in your DMs asking about good MFE programs and basic textbooks on option theory, now I’m an experienced fund manager and successful trader” vibes.

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Formula δ1

@FormulaDeltaOne

2 years

To be fair there are things an independent trader a.k.a. the little guy can do to make money (primary objective) and that is to do low capacity stuff (by definition not exploited by the bigger/better and/or harvest risk premia w/ good risk management. The Robot guy teaches that.

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Formula δ1

@FormulaDeltaOne

8 months

1) What

Jared L Kubin

@JaredKubin

8 months

@TimMeggs Hot take: market makers are hedge funds by a different name

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Formula δ1

@FormulaDeltaOne

1 year

This is huuuge differentiator. Actively seek mentorship, exact money is secondary at the start of your career. The mentorship usually has higher intrinsic value than your comp.

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Formula δ1

@FormulaDeltaOne

1 year

@therobotjames @OnlyDeFiGuy

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Formula δ1

@FormulaDeltaOne

9 months

Oh, the “rich OHLC data”. We should probably get some of those as well 🤔

OpenBB 🦋

@openbb_finance

9 months

First things first: Get your OHLC data via OpenBB. This rich data is the foundation of our SVM model, helping us classify future price movements. 2/4

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Formula δ1

@FormulaDeltaOne

1 year

Man it just cracks me up when I see a formula like this applied to a market w/ 2000 lots traded /day. 🤣

Joel Rubano

@TCK_JRubano

1 year

Well, that didn’t last long. Assume this all reduces to 1 or something.

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Formula δ1

@FormulaDeltaOne

1 year

If you have no edge you start to worry about smart beta. Then u realize your beta wasn’t smart at all and was just poorly timed beta. So you just underperform SPX instead. Like a boss. The lifecycle of an investment manager…

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Formula δ1

@FormulaDeltaOne

1 year

Yep, lower niche engagement and more random public engagement is what makes this feel worse for me as well. If I’m posting about HFT and some of the people are like “what is HFT”… why do you even follow me? 🤣

the ghost of groditi’s future 👹

@GRoditiD

1 year

feels like the content-selection algorithm is hopelessly broken and I don't want to pay for premium--not bc I really care about twitter getting $84/y but bc I don't want the kind of low-quality attention you get from being boosted to the broad public when you are a niche tweeter

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Formula δ1

@FormulaDeltaOne

5 months

It’s another more advanced model called FPGAs or so I’m being told.

SurgiFi

@FiSurgi

2 years

If everyone knows how to utilize the Black Scholes model, how tf do you make money in options? The edge clearly isn’t the math

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Formula δ1

@FormulaDeltaOne

1 year

If you’re trying to isolate good and bad volatility, you probably have other things you should be worried about.

Robot James 🤖🏖

@therobotjames

1 year

"noooooo you have to isolate good volatility from bad"

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Formula δ1

@FormulaDeltaOne

5 months

FinTwit when we learn about the Indian options trade from the JS-Millenium legal action:

mcbenis

@pt0kes

5 months

tfw price up after sippin the lows

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Formula δ1

@FormulaDeltaOne

1 year

“My strategy performs poorly according to this (for good reason commonly used) metric, e.g. Sharpe), let’s invent this new metric which looks much better…” - way more common even among finance/trading “professionals” than you’d think

Formula δ1

@FormulaDeltaOne

1 year

If you’re trying to isolate good and bad volatility, you probably have other things you should be worried about.

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Formula δ1

@FormulaDeltaOne

2 years

I percieve interviewing @ these firms (quant, HFTs…) and getting an offer as a probabilistic event. Unless you are an absolute genius you won’t get an offer from every single one since processes can have 5+ rounds and are generally hard. You should apply @ as many as possible.

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Formula δ1

@FormulaDeltaOne

2 years

@therobotjames

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Formula δ1

@FormulaDeltaOne

2 years

I don’t have experience w/ building these trend portfolios on longer time horizons, but this thread sounds really reasonable. Also the Sharpe’s sound very realistic from what I’ve been hearing. ~0.2 for single asset ~2 for portfolio of tens-hundreds low-correlation instruments

cephalopod

@macrocephalopod

2 years

Couple of thoughs about trend following is probably the most straightforward systematic trading strategy to implement - you're just buying the stuff that's been going up and selling the stuff that's been going down.

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Formula δ1

@FormulaDeltaOne

10 months

So if I were in Chicago, NYC, Bahamas, London, Amsterdam, Singapore, Sydney, Tokyo would you be up to meet in person? What are some other FinTwit hotspots?

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Formula δ1

@FormulaDeltaOne

2 years

People seem to be very concerned about the order flow toxicity. I might do a thread on why they mostly shouldn’t. Or I also might not. Idk nobody cares here. Also I’ll probably lock my account for a while.

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Formula δ1

@FormulaDeltaOne

11 months

What the hell is “open outcry”? Is that some secret club human traders go to sob, when they get “frontrun by the algos”?

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Formula δ1

@FormulaDeltaOne

2 years

Good Q. If trading slow, think about how do you wanna execute in prod. Market orders? Assume you always hit bid/lift offer. Don’t have bests in your data? Add/subtract the halfspread. Limit orders? Who are you kidding, just use market orders.