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I am looking for some reading material about entrepreneurs (or insiders) who set up (or observed firsthand) a HFT/trading/asset pricing company, preferably from the last couple of years. How did they set up their data sources, what type of employees did they hire and other practical questions. I am not looking for some popular book that compares quants to rocket scientists (and other likewise popular quotes and page fillers), but rather practical considerations and ideas about setting up such companies. I am not considering setting up such a company myself, but I am interested in the process.

Does anyone know of such a book?

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  • $\begingroup$ Do you have any connections in the industry? That would also be a good place to look. I assume not, but just asking to serve as a reminder. $\endgroup$ Oct 31 '20 at 16:17
  • $\begingroup$ I'm currently a student in a graduate quant like program. $\endgroup$
    – Cardinal
    Oct 31 '20 at 23:56
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Interpreting the last couple of years loosely you can look at All About High Frequency Trading (2010) by Michael Durbin.

Matt Hurd at the Meanderful blog has been quite open about his experiences. I don't think the Kickstarter for his book came to fruition though.

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You could try https://chatwithtraders.com/ep-198-christina-qi/, which is an interview with a founder of an HFT firm.

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