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Comment by iav | Hacker News Reader

This is pretty comprehensive. I work at a quant firm, and we don't even have some of this implemented in code. The tricky part is always going to be the integration. Nautilus has its own OMS system, but so does IBKR, and there is no guarantee that they are going to match.

For very small funds, running entirely on IBKR platform (or Alpaca if you can live with their constraints) makes sense. For very large funds, you invariably will have a home-grown system that integrates with all of your expensive vendors. But if you are starting from scratch and want to scale up, using this to bootstrap quickly is most efficient.

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I wrote homegrown systems for HFT firms (citadel, RGM, etc) 23 years ago and it’s incredible what they just open sourced but agree with you that it’s the backend that might be the limiting factor. We got to a point where we had to license dark fiber at an alarming rate to stay competitive for our customers too.

Since you work in a quant firm, I am curious if there are any good public resources to learn about the techniques used by such firms. Aimed at a novice I mean. I’ve always had a curiosity about it, but I feel like whatever I can find is more basic than what is truly being done in production.

There are good public resources but they are expensive. One of the best resources for learning in depth quantitative techniques that is actually legit as opposed to Youtubers telling you how to squint to see patterns in a bar chart is the ARPM, which provides both a week long course and a year long course:

https://www.arpm.co/

It is a very math heavy course, highly technical and requires a great deal of existing math background. But the truth is that you will not be able to do much quantitative finance without that background anyways, so if what you want is a way to gain that math background then just crack open a textbook and get working.

You need a good background in mathematics and some knowledge of why you should be paid a premium by the market (e.g. carry, trend, various premia and so on)

Anything else requires millions of infra spend.

I work at a fund, and you need millions in capital and infra. It really doesn't make sense to trade as a retail investor. Look up Dimitri Bianco on YouTube; he's quite reputable and explains why it's not really feasible to trade with your own money.

In my opinion: If you trade, trade with a firm.

I've heard ibkr will ban you if they can detect algorithmic trading.

You heard wrong.

The fact that they have an api says otherwise:)

Lots of small hedge fund use them as a stop gap until they get bigger, or fail.

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