Ian Henry started his career at Warby Parker and Trello, building consumer apps for millions of users. Now he writes high-performance tools for a small set of experts on Jane Street’s options desk. In this episode, Ron and Ian explore what it’s like writing code at a company that has been “on its own parallel universe software adventure for the last twenty years.” Along the way, they go on a tour of Ian’s whimsical and sophisticated side projects—like Bauble, a playground for rendering trippy 3D shapes using signed distance functions—that have gone on to inform his work: writing typesafe frontend code for users who measure time in microseconds and prefer their UIs to be “six pixels high.”

You can find the transcript for this episode on our website.

Some links to topics that came up in the discussion:

• Bauble studio
• Janet for Mortals, by Ian Henry
• What if writing tests was a joyful experience?

In Young Cho thought she was going to be a doctor but fell into a trading internship at Jane Street. Now she helps lead the research group’s efforts in machine learning. In this episode, In Young and Ron touch on the porous boundaries between trading, research, and software engineering, which require different sensibilities but are often blended in a single person. They discuss the tension between flexible research tools and robust production systems; the challenges of ML in a low-data, high-noise environment subject to frequent regime changes; and the shift from simple linear models to deep neural networks.

You can find the transcript for this episode on our website.

Sylvain Gugger is a former math teacher who fell into machine learning via a MOOC and became an expert in the low-level performance details of neural networks. He’s now on the ML infrastructure team at Jane Street, where he helps traders speed up their models. In this episode, Sylvain and Ron go deep on learning rate schedules; the subtle performance bugs PyTorch lets you write; how to keep a hungry GPU well-fed; and lots more, including the foremost importance of reproducibility in training runs. They also discuss some of the unique challenges of doing ML in the world of trading, like the unusual size and shape of market data and the need to do inference at shockingly low latencies.

You can find the transcript for this episode on our website.

Some links to topics that came up in the discussion:

• “Practical Deep Learning for Coders,” a FastAI MOOC by Jeremy Howard, and the book, of which Sylvain is a co-author.
• The Stanford DAWNBench competition that Sylvain participated in.
• HuggingFace, and the Accelerate library that Sylvain wrote there.
• Some of the languages/systems for expression ML models that were discussed: PyTorch, TensorFlow, Jax, Mojo, and Triton
• CUDA graphs and streams
• Hogwild concurrency