Prop trading tech

A friend of mine is dipping a toe into writing code to support prop trading. So, in the spirit of telling tales out of school, let me make some observations about this business.

• The users don't know what they want. And they cannot spare the time to tell you even their incoherent and ill-posed ideas about what they think they want.
  
• As soon as they get something, what they think they want changes.
  
• What they want also changes are the market moves, as new research comes out, and as their ideas turn out to be worthless.
  
• The less the analytics depend on one particular paradigm, the better. Flexibility is the key to profitability.
  
• Expect that things will work for a while, then fail. This means you need to build in `does it still work' measures which might help avoid sailing over a cliff.
  
• Risk measures are nonsense, often, but you have to provide them anyway. Try to give both conventional (often silly but expected) and less conventional (more useful but unconventional) risk measures.
  
• Remember that model error is onmi-present and that over-fitting is very common. Expect the model to fail unpredictably and catastrophically.
  

None of this is a problem as long as you are expecting it. Just don't think that IT development for prop trading is linear...