I want to know what the ratio of "junior developers" to "MIT PhDs" is. As an economics+machine-learning+software-engineering autodidact, I firmly believe that I am qualified to provide insights in high-frequency trading; but, the impression I get is that, since it's such a cool and profitable field, the firms have their pick of the elite-of-the-elite.
When I worked in the field (not HFT, but automated trading nonetheless), I was the only one in my cluster of desks with a lowly MSc. Even the QA girl was a maths PhD. It was funny, all the alpha-PhD male programmers were always competing over who was the second-smartest... The smartest guy was light years ahead of anyone else (and the nicest bloke you could hope to meet). I always used to say, the rest of them should pick up his laundry and wash his car so he could concentrate more (they really liked that, HAHA).
I didn't do anything beyond the simplest algorithms, most of my work was on interfaces between our code and other stuff (like databases, data feeds, etc). Just grunt work really. Someone's got to do it tho'...
Just any notable stories (anonymized, of course). I wouldn't really know where to start asking questions, but here are a few:
What sets the field apart from other areas of programming, in terms of your problem-solving approach? What kind of special qualifications do recruiters look for?
Also, what kind of platform (OS, language, etc.) do you use? Do you hand-optimize the code?
Generally C++ is the dominant language (although Java is growing), unix the platform (Solaris and Linux mainly). I know at least a couple of firms that are embedding code onto programmable network cards for equities trading.
If you go to the eFinancialCareers website and search for "low latency" you can see the kind of thing recruiters look for.
In terms of problem solving it's not that different from other areas. Concurrency is obviously very big (lock free algorithms, etc) as is being comfortable with low-level stuff. You don't need it all the time but sometimes you do need to be able to read through kernel code and get an intimate understanding of things like tcp/ip.
