I'm curious how HFT relates to pro audio programming. The timescale is close to gaming (usually <10ms for desktop PC work), but you really care about the tail of the distribution. All the audio processing happens in a high-priority callback that's called for every audio frame and needs complete within the time budget, so you typically never allocate, do IO, or use any blocking synchronization primitives [1].
It's not hard real-time like you're going to crash your car, but if you miss your deadline it causes an unacceptable and audible glitch.
I've always been a bit surprised that Jane Street uses OCaml. I know they've put a lot of attention into the GC, but it still seems fundamentally indeterminate in a way that would make most audio devs nervous.
Audio has a lot of buffering behaviour that you wouldn't generally see in event-reactive HFT. Think of all the plugins that you know of that have non-zero latency, compressors with 'lookahead' etc. There are maybe some similarities where the logic is more complex (loop unrolling, SIMD and so on) but I feel like plugins are generally optimizing for throughput (CPU usage) and quality (oversampling etc) rather than purely latency in most cases.
I guess the difference I'm interested in is whether HFT tends to be "realtime", in the sense that there's a hard deadline that you need to hit every time.
Put another way, audio is operating on a much longer timescale, but cares a lot about worst-case latency (as well as throughput and quality). Is that true of HFT also, or are they more concerned with average latency? If computing a trade takes too long, can they just discard it, or is it catastrophic to miss that deadline?
I can't go into too much detail (I currently work at an HFT, but not on the HFT bits), but some of the FPGAs make decisions without even seeing a entire packet coming in on the wire. Latencies are more often measured in nanos than micros from what I've seen lately.
Tangentially, how do you like working for an HFT? I'm a low level software / FPGA developer and have thought about going into the HFT space. Is the work life balance as terrible as people say?
It's really going to come down to which firm you're at and who your manager is. I'm at a smaller shop currently, and it's great. I basically work 8-5 most days, sometimes a little later if processes don't come up cleanly for market open at 5P (CME basically operates 23 hours a day with different trading sessions).
There are firms that are more like sweatshops. I spent roughly a decade at Citadel; when I started, average tenure was thought to be about 18 months. Hours were brutal, but it largely depended on your manager. I had one (he was fired 6 months after I started) that insisted on 80 hour weeks, ass in seat, no work from home, not even on the weekends. The kicker was, my team didn't even have the work at the time to justify all of us pulling 80 hour weeks. I also spent months at times pulling 100 hour weeks. That is, if you slept, it was at your desk (there were cots/sleeping bags available, but I never saw anyone bother). Maybe go home every 2nd or 3rd day for a change of clothes (you could shower at the office). Then, I had other managers where it was more 8-5. But, I was always on call 24/7, even while on vacation. That was the truly rough part. I would say on a whole, the reputation of working for Citadel is worse than it deserves, but it really matters who your manager is. That said, not sure I know anyone left at Citadel anymore other than Ken G. (I've been gone over a decade now).
My best advice when you're interviewing people, ask pointed questions about work-life balance. Avoid asking overly broad questions like "How's the work/life balance?". Instead prefer: "When was the last time you took a 2 or 3 week vacation?"
edit:
At my current role, I do sometimes work outside of 8-5 and on weekends, but its because I choose to, because I'm working on something interesting that excites me. I'm not expected to, and no one gives me a hard time if I don't.
Not OP but it varies wildly between companies. JS and Citadel are both top tier trading shops and they could not be more different when it come to wlb.
It's not hard to sniff out during the process though.
Yes, there is a lot of effort to understand, for example, the 99th percentile tick-to-trade latency as well as the average latency. For a lot of those worst-case timings there are things that are occasionally out of your control like the kernel, the network, the hardware. Then there are things always in your control like how you implement your software.
Most HFT algos are busy-spinning. You'll see a core pinned at 100% as it checks for input availability over and over. The vast majority of the time it is actually doing nothing, from an external point of view. When that tick appears that it needs to react to, it springs into action. It might react to some input in the range of a few hundred nano seconds but for literally billions of nanoseconds it's doing nothing at all.
Audio is processing a buffer of data (usually whatever your audio interface buffer is set to), then waits patiently until the next buffer arrives. There's a regular pulse to it. If your CPU isn't hurting, there's way more time between those buffers than are required to process them. The order of magnitude between work and 'not work' for HFT is huge compared to audio generally. HFT logic is simple, small and fast. Audio is hopefully complex if you paid good money for it. The best way to go fast is to do almost nothing.
In terms of the impact of not meeting a particular deadline, it's an opportunity cost in HFT. In audio, you get audio dropouts if you can't process it fast enough. In HFT, if your reaction time is slow, you're not at the front of the queue for that juicy trading opportunity you and everyone else just spotted, then you miss it entirely and someone else gets the prize. HFT is all about making thousands of small statistically favourable bets and being able to execute on them fast enough to realise the opportunity before the next fastest guy.
In audio, you can usually tolerate a few milliseconds of latency (more when mixing, less when recording). This means you can buffer your audio stream, for example in blocks of 64 or 128 samples.
As far as I know, these millisecond latencies are orders of magnitude higher than what would be tolerable in HFT. There the units are microseconds and nanoseconds.
As somebody who has done both, there's certainly a lot of similarities in how you write software.
I'm talking about real-time audio, though. There's also just audio playback (Pro Tools, e.g.) which tolerates much higher latency, but enables higher audio fidelity due to larger buffer sizes (e.g. in compressors to enable look-ahead) as well as more clever algorithms (which are often prone to latency spikes, such as a "standard" FFT, if you want a very simple example).
Both, finance and real-time audio, differ in their time scales, but more in the breadth of their time scales: real-time audio is often between 1–50 ms (yeah, we try to keep it below 10 ms, but that's tough to do in a complex setup. I've seen artists often compromise and increase buffer sizes (== latency) to accommodate for their complex virtual instruments and filters), finance in ns–ms (it's not HFT anymore at a certain point, sure, but those HFT architectures also have a layered response, with FPGAs being quick but simple and more complex strategies having higher latency; also, if you're e.g. asked for a quote on a bond, it's not a shame to take 500 ms to think about a price, because those trades are bigger but slower).
You also mentioned the consequences of missing a deadline. Well, indeed, I've seen this variance to be less of an issue in finance (we're only caring about xx µs, so I hesitate to call myself a HFT guy) than in real-time audio. A click in a live set is a no-go. A crash of your DAW is fatal, that's it with your live set. Nobody dies, but people will be very upset. I've seen real-time audio being obsessed with being reliable and keeping the variance in latency really small.
In finance, I've seen it more that people kind of accepted that variance was huge because there's some hidden allocations in a system. Hoping that those stop once the system is warmed up or that they rarely occur on a critical trade.
As a side note, in finance I've even heard this well-known HFT firm: "Well, it's not the end of the world if your process crashes. If you can restart quick enough."
It's also that in finance, your data is more heterogenous: Real-time audio has audio (isochronous, homogenous buffer of floats), MIDI (asynchronous, formerly small events), parameter changes (asynchronous, often just a float) and config changes (changes the topology of your audio processing graph; enjoy to transition from A to B without causing an audible glitch). Finance has processing graphs that only process asynchronous data (heterogenous market data, telling you what's on the order book of an exchange; trade data for which trades you performed with your orders and quotes; symbol data when new securities appear or change (historically only with the start of the trading day); pre-computed steering data for algorithms and/or data from third-party data sources).
Thus, the processing graphs of both differ in the data that's transferred as well as in the structure and domain. In finance, there is no regular tick-based processing. You have to accommodate a very varying amount of data per time period, whereas in audio, it's a very regular pace and the amount of data is often the same (± activations of voices in instruments).
Real-time audio has plugins, though. And those, from experience, do whatever you can imagine. Plugins are great, from a creative perspective, but the craftsmanship is of very varying degree. I bet I'll even find a plugin that draws the UI from the real-time audio thread.
It's not hard real-time like you're going to crash your car, but if you miss your deadline it causes an unacceptable and audible glitch.
I've always been a bit surprised that Jane Street uses OCaml. I know they've put a lot of attention into the GC, but it still seems fundamentally indeterminate in a way that would make most audio devs nervous.
[1]: http://www.rossbencina.com/code/real-time-audio-programming-...