Jane Street
In-House Tools

Jane Street created Dune (formerly Jbuilder), now the standard build system for OCaml projects worldwide. It handles compilation, linking, testing, and dependency management for OCaml codebases.

Key Features

• Incremental builds: Only recompiles changed files.
• Automatic dependency detection.
• Cross-platform: Works on Linux, macOS, Windows.
• Multi-package support: Manages monorepos with hundreds of packages.

Why It Matters

Dune is now used by thousands of OCaml projects globally, demonstrating Jane Street's influence on the broader OCaml ecosystem.

Dune documentation: https://dune.readthedocs.io/

Jane Street has built extensive proprietary infrastructure for their trading operations:

Key Systems

• Execution Management System (EMS): Routes orders to exchanges globally.
• Risk System: Real-time position and risk monitoring across all books.
• Market Data Infrastructure: Processes millions of market data events per second.
• Research Platform: Backtesting and simulation environment.

Design Philosophy

• Correctness First: OCaml's type system enforces invariants at compile time.
• Observability: Every system is instrumented with metrics, logs, and traces.
• Resilience: Systems designed for graceful degradation during market stress.

Reference: https://www.janestreet.com/technology/

Figgie is a trading game invented by Jane Street for evaluating trading intuition and market-making skills. It's played in 4 rounds with 5 players and uses a unique card deck mechanics.

Game Mechanics

• Each player receives 10 cards from a standard deck.
• A "goal suit" is secretly selected; cards in that suit are worth money.
• Players trade cards, trying to accumulate goal suit cards.
• Trading requires quoting bid/ask prices and making markets.

Why Jane Street Uses It

• Evaluates: Market-making intuition, risk assessment, decision under uncertainty.
• Tests: Ability to update beliefs from new information (Bayesian reasoning).
• Used in: Recruiting events, internship programs, onboarding.

Play Figgie: https://www.figgie.com/

Iron was Jane Street's internal code review and release management tool, which they used for over a decade before open-sourcing parts of it.

Iron Features

• Incremental reviews: Reviewers see only changed hunks, not full diffs.
• Release queues: Manages the process of releasing code to production.
• Integration with Dune for build and test automation.

Open Source Contributions

Jane Street's philosophy is to contribute back to the open-source community. They maintain dozens of libraries on GitHub:

• Core, Async, Incremental, Bignum, Bin_prot, and more.

GitHub: https://github.com/janestreet

Jane Street's research infrastructure enables rigorous quantitative research:

Key Components

• Historical Data Store: Tick-level historical data for all traded instruments.
• Backtesting Engine: High-fidelity simulation of trading strategies.
• Statistical Analysis Tools: Custom statistical testing frameworks.
• Visualization: Interactive research dashboards for PnL attribution.

Research Process

• Hypothesis generation from market observation.
• Statistical validation on historical data.
• Paper trading in a simulated environment.
• Gradual live deployment with risk controls.

Learning Resources

• QuantLib: Open-source quantitative finance: https://www.quantlib.org/
• Zipline (Quantopian's backtester): https://zipline.io/