Ive implemented a fair number of the textbook microstructure metrics while working with raw crypto perp tick data.

The more I compare them, the shorter the list I actually reach for !

If I had to keep only five:

• Order book imbalance / OFI: still the strongest short-horizon predictor Ive found. Static imbalance and Cont-style OFI aren't the same object, but both seem to contain real information. The problem is that the half-life seems tiny: by the time youve paid fees and accounted for queue position and latency, a nice t-stat doesn't necessarily translate into PnL.
• Amihud illiquidity. almost embarrassingly simple but I keep failing to replace it with something more sophisticated; I mostly use it as a liquidity or regime variable rather than a trading signal.
• Effective spread / realized spread Extremely useful for understanding execution quality and adverse selection. I'm much less convinced they belong as features in predictive models, although Id be interested to hear if anyone has had success there.
• Kyle's lambda I trust the ranking across instruments more than the estimated values themselves. Small implementation choices (sampling interval, trade signing or outlier treatment) seem to move the estimate more than Id like.
• VPIN : The one Im most sceptical of: I can usually make it identify stressed markets, but so can realised volatility. The Andersen Bondarenko critique feels fairly convincing to me, although I'd be happy to be proven wrong by someone who's used it successfully in production.

For context, this is all on crypto perps, so I wouldnt expect the conclusions to transfer unchanged to equities/ futures.

Im particularly interested in hearing from people who've used these in live systems rather than backtests.

Which measures have actually survived implementation costs for you? Are there any papers from the last decade that genuinely changed your view on the classics?

Bias disclosure!: I build infrastructure that computes these metrics as a living, so Im probably more sympathetic to them than I should be.

Have spoken to colleagues across multiple pod shops (and a few lower level QR at collaborative shops), it seems that true market-neutral alpha is almost nonexistent this year...? A lot of returns being posted by multi-strats are from discretionary or non-equity quant trading.

It could be that I have a limited sample pool, but I haven't heard of even the usual top dawgs like 2S and Shaw doing well this year purely on equity stat arb. Has this been the experience across the board for everyone? Has equity stat arb this year just turned into 'factor timing'?

My account was originally suspended by my broker for exceeding their Order-to-Trade Ratio (OTR). Since then, I’ve adjusted the strategy to be more conservative. It's now running smoothly, generating ~50% annualized returns with a 3+ Sharpe ratio.

The estimated capacity for this strategy is around $20M. However, I’m currently bottlenecked by my available capital ($400k) and my broker’s API rate limits.

Does anyone have advice on how to effectively reach out to pod shops or prop trading firms to discuss scaling or seed funding? I’ve tried cold emailing a few, but haven't received any responses yet.

last post:
https://www.reddit.com/r/quant/comments/1cjtq8b/my_hft_account_got_banned/

I have a minor conviction record (happened in about 9 years ago, about 2K USD fine paid). It's not related to felony, fraud, or finance-related. It was showing bad behavior due to alcohol intoxication (no drug).

I'm currently working at local trading desk as a researcher/trader but I wanna move to big firms in SG/HK.

AFAIK, there is a background check after the final interview. My above record is all spent so it doesn't appear on my official criminal history document. But not sure whether I should disclose it or not.

Also, I heard that there's a question like "have you ever been convicted in court of law in any country? " when applying for SG EP visa. Some SG lawyers say I don't have to disclose but quite confused about this part.

Does anybody know some cases like my situation? Or should I just stay in my Country..?

I’ve been working in sellside/buyside since graduating and I received an offer at one of the large energy firms, the role essentially involves structuring and pricing physical deals, similar to an exotics desk at a bank. What’s it like compared to traditional finance? Please feel free to dm me if you've been in a similar situation.

Hey everyone,

I'm a QR with around 2–3 years of experience in the job market right now. Lately I've been getting a bit worried about my interview conversion rate and wanted to get a sense of what others have experienced.

So far, I've been submitted to around 18 firms through headhunters. I've heard back from 13: 3 resume rejections, 4 screening-call rejections, and 4 rejections after the first technical round (OA, coding interviews, etc.).

During this recruiting cycle, I had some personal issues going on and wasn't able to devote as much time for interview preps (I've managed to get through maybe around 50 LeetCode problems). Looking back, I think I underestimated how prepared I needed to be for the first technical rounds and assumed I could mostly wing them. Or maybe an ideal candidate should be able to wing these, but more on that later.

I have two questions please, if you could give some advice:

1. A couple of the technical interviews felt very doable in hindsight, and I'm pretty sure I'd perform much better if I took them today. For firms where I was rejected after the first technical round, is it generally possible to interview again after the cooldown period, or do they usually expect a more substantial career update before considering another interview? And how is that done, if the initial one was done through a recruiter?

2. It's easy for me to attribute these outcomes to being underprepared, but I'm also trying to evaluate myself honestly. There are obviously people who can perform extremely well in these interviews with minimal preparation. How common is that among successful quant candidates? As someone who's still relatively early in my career, I'm trying to distinguish between "I just need to prepare properly" and "this may not be the best fit for my strengths."
   I guess I'm trying to see if I should also look for other opportunities other than just buy-side QR seats.