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Inside a Hands-On Quant Firm

Where do you get your algorithms?

Julie Connard: Everything we do we develop internally. We don't use any third-party algorithms. We simply have absolutely no reason to use anyone else's algorithms.

We have been doing this since 2001, and back then you didn't have other firms offering algorithms commercially -- at least not to smaller shops. Starting as we did in '01, at that time we had to develop everything ourselves. We simply never found any need for any third-party algorithm.

Do you develop algos yourselves, or do you have a basement full of Russian mathematicians?

Connard: [Laughs] Well, we don't have a basement full of Russians, but we do have software engineers. My husband and I work out all the trading strategies and we work out the algorithms at the top level. My husband, by the way, used to be a senior software engineer at IBM. Then we take the strategy and the algo and we give it to one of our senior software engineers -- Chuck Prenner, who has degree from Harvard in applied mathematics. We give it to him and he then writes to specification and gives it to a senior software engineer who does the coding. We also have a new research arm. We hired another Ph.D. who is working on the research analytical end. He is not doing a production trading programming, more research writing.

How often do you update your algos?

Connard: All the time, constantly. We're continuously updating our code, as for how often we have a new release, we don't have a set schedule for new releases. We usually do several new releases a week.

For more, please check out the November edition of Advanced Trading.

Phil Albinus is the former editor-in-chief of Advanced Trading. He has nearly two decades of journalism experience and has been covering financial technology and regulation for nine years. Before joining Advanced Trading, he served as editor of Waters, a monthly trade journal ... View Full Bio

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