Chapter 174, Part 5
Chapter 174 Five Per Thousand
In April, the air outside Huizhou already carries a noticeable warmth.
The old camphor trees on the USTC campus have sprouted new buds, and the sunlight shining on the road creates a drowsy and lazy atmosphere.
Su Wei walked up the stairs of the business school building to the fourth floor.
The corridor was quiet, with only the occasional student carrying books walking by, their footsteps echoing softly in the empty passageway.
Su Wei was wearing a faded light blue denim jacket, her hair was casually tied back with a black hair tie, and she was carrying an inconspicuous backpack. She stopped in front of the office door at the end of the corridor.
There were no special signs on the door, only the words "Shen Lan" on it.
Su Wei raised her hand, bent her fingers and knocked twice on the door. Before there was any response from inside, she pressed the doorknob.
The moment I pushed open the door, a gust of cold wind rushed in.
The central air conditioning in the room was set very low, with the temperature only around 20 degrees Celsius.
The warmth of spring outside was completely shut out by this heavy door.
This is a place Su Wei has been visiting every day for the past three months, and she is very familiar with its smells and temperature.
There was no smell of chalk dust or the musty odor of old books in the air. Instead, there was a faint, pure feeling, carrying the cool aroma of some expensive coffee beans.
In the center of the room stood a large, dark-colored solid wood desk. There were no lesson plans or piles of academic journals on the desk. The most eye-catching feature was the six professional monitors mounted in an arc on the desk.
The screen's background was pure black, covered with a dense array of red and green candlestick charts, high-frequency trading data, and constantly updated international indices.
The numbers are changing so fast that an average person would be dizzy just by looking at them.
Shen Lan sat in the black Herman Miller ergonomic chair behind the screen.
She wore a very well-tailored dark gray silk shirt with the cuffs slightly rolled up, and held a white bone china coffee cup in her hand.
Hearing the door open, Shen Lan didn't even look up.
Her gaze remained fixed on the two screens in the middle, her right hand holding the mouse, her index finger occasionally clicking the left button with a crisp click.
Su Wei closed the door, walked to the desk, unzipped her backpack, took out a black USB drive, and gently placed it on the table.
"Professor Shen, I have completely removed the outliers from the publicly available financial reports of fifty heavy industry companies in China over the past three years. The data is in there."
Su Wei's voice was very calm.
Shen Lan finally looked away from the screen, glanced at the USB drive, reached out her left hand, unplugged the old USB drive from the computer, and plugged in the new USB drive that Su Wei had brought.
A folder pops up on the screen, containing neatly arranged EceI tables. Each table's filename is marked with the modification time accurate to the second, and the size is within a reasonable error range of tens of KB.
Shen Lan clicked on one of them and quickly scrolled down.
The data was clean and perfectly aligned, without even a single extra blank line. The financial loopholes that were originally hidden in hundreds of pages of complicated financial reports and used to cover up the truth were listed separately in red by Su Wei, making them clear at a glance.
This has been Su Wei's normal work routine for the past three months.
She's like a human high-precision scanner; as long as Shen Lan gives the request, she can turn those dizzying public data into the most intuitive tables.
"Well done."
Shen Lan casually said something, then closed the folder. She pulled open the drawer on her right, took out a thick stack of printed materials, all in English, and pushed them across the smooth desktop in front of Su Wei.
"Next week's task is to compile cutting-edge research reports on dozens of tech stocks on Nasdaq, extract the core financial forecast indicators, and use them for my thesis proposal next month at the business school."
After Shen Lan finished speaking, her hand was already back on the mouse, ready to continue watching the market.
In the past three months, Su Wei would pick up the documents at this time, say "okay," and then turn around and leave, or go to her workstation in the corner to start working.
But today, Su Wei didn't move.
She stood in front of the large desk, her gaze not falling on the thick stack of English research reports.
"Professor Shen."
Su Wei spoke up.
"I don't plan to take this stack of documents."
Shen Lan paused for a moment while holding the mouse.
In the corner, Xu Qian, a second-year graduate student who had been huddled in front of her computer typing away, also stopped what she was doing.
Xu Qian turned her head and looked at the junior classmate who was usually quiet and only knew how to work silently, with some surprise.
The office fell silent.
Only a slight hissing sound from the central air conditioning vents remained.
Shen Lan slowly turned her head and leaned back in her chair, looking at the girl in front of her who looked only fourteen or fifteen years old and was carrying an old schoolbag.
"You think the money isn't enough?"
Shen Lan's tone was unreadable.
Su Wei shook her head.
"I am very grateful that you initially paid me by the hour, which was much higher than the market rate for part-time jobs."
Su Wei stood relaxed, looking into Shen Lan's eyes, and continued speaking with a polite yet incredibly clear logic.
"But after these three months, I've found that continuing to process this outdated public data has become less effective for me personally, and for your actual trading operations, with marginal benefits reduced to zero."
Shen Lan narrowed her eyes slightly.
"Zero marginal benefit?"
Shen Lan repeated the word.
"Yes."
Su Wei nodded.
She pointed to the stack of English research reports on the table.
"You asked me to compile this information just to meet the business school's faculty evaluation and paper publication requirements. Although this data is tedious, it is all publicly available information that has already been digested by the market. No matter how quickly and thoroughly I process it, it cannot generate a single penny of profit for you on tomorrow's trading day."
Su Wei's gaze shifted slightly, landing on the third screen to Shen Lan's left.
There was a window that wasn't maximized, with black background and green text, displaying a stream of high-frequency backtesting data that was jumping wildly.
Su Wei looked away and gazed at Shen Lan.
"The Markov chain model you use to deal with business school always has parameters that are six months behind. The algorithm you actually use to profit from discounts and do high-frequency arbitrage runs on your offshore account. You are using the shell of a business school to run your own private quantitative fund."
After he finished speaking, the office fell into a brief silence.
In the corner, the previously dense and hurried sound of keyboard typing abruptly stopped.
Xu Qian sat stiffly at her workstation, her hands hovering above the keyboard. Red error messages flashed on the screen, but her gaze wasn't focused on a single character.
She didn't dare turn her head, and even deliberately kept her breathing soft.
Her Adam's apple bobbed slightly, she swallowed hard, forced herself to lower her dangling fingers back onto the keyboard, and aimlessly typed a meaningless space, trying to disguise herself as a wisp of air in the office.
Behind her desk, Shen Lan did not get angry even though her secret was exposed.
She was used to seeing people fight each other for profit on Wall Street.
Compared to those timid students who didn't even dare to say what they wanted, she actually admired the person in front of her more.
"so what?"
Shen Lan picked up the bone china cup on the table and took a sip of water.
"Are you trying to blackmail me with this to secure a place in my graduate program, or do you want to be listed as a second author on my thesis?"
"I have no interest in academia."
Su Wei answered very decisively.
She simply looked quietly into Shen Lan's eyes.
"I need to earn more money. A fixed hourly wage has a cap, and I don't want that cap."
"I would like to have access to your core live trading database."
Su Wei laid out her demands frankly.
"I know your live trading model runs very fast, but the speed of regular data cleaning can't keep up with your frequency of opening positions."
Su Wei didn't look at Xu Qian, but the meaning behind her words was clear.
"If I can directly access your underlying database to help you with live trading data preprocessing and outlier detection, I can save you a lot of trial and error time. In exchange, I hope to receive a percentage of the revenue from live trading backtesting projects."
Shen Lan put down her water glass.
The bottom of the cup collided with the table, making a crisp sound.
"Su Wei, you are very smart."
Shen Lan's voice turned cold, taking on a genuine scrutinizing tone.
"But real-time trading data is like a knife with real money at stake. A single decimal point error can mean tens or hundreds of thousands in profit or loss. What makes you think you can handle these things?"
Su Wei did not answer immediately.
She turned around and walked towards Xu Qian, who was standing in the corner, looking completely dazed.
At Xu Qian's workstation, two monitors were on. On the monitor on the right was a red-hot backtesting curve chart.
The curve had been steadily climbing for the first nine months, forming a very nice 45-degree angle.
But at a certain point in October, this originally perfect curve suddenly plummeted like a kite with a broken string, crashing straight down to the horizontal axis, and the net asset value instantly dropped to zero.
This is what has brought Xu Qian to the brink of collapse these past few days.
Su Wei stood behind Xu Qian, glanced at the chart, and then spoke to Shen Lan.
"Xu Xuejie's volatility strategy for soybean futures had no gaps in data sources and no logical errors in your mathematical model, but by October, the entire fund was wiped out."
Su Wei turned her head and looked at Shen Lan.
"If you allow me, I can find out the poison that caused the margin call within ten minutes. After you see the results, you can decide whether you want to hand over the live trading data to me."
Shen Lan looked at Su Wei's calm face.
In this fourteen or fifteen-year-old girl, Shen Lan saw a certain confidence that was extremely inconsistent with her age.
That certainty is not blind confidence, but a composure built on reason and calculation.
Shen Lan raised her chin slightly.
"Xu Qian, step aside and let her see."
Xu Qian felt as if she had been granted a pardon and quickly stood up from her chair. In her haste, she bumped her thigh on the corner of the table, which made her gasp in pain, but she still quickly moved aside.
Su Wei pulled up a chair and sat down.
She didn't look at the complex strategy code Xu Qian wrote, nor did she check the system's operating environment.
She held the mouse in her right hand and rested her left hand on the keyboard.
"Where is the basic price list?" Su Wei asked.
Xu Qian quickly pointed to an EceI file on the desktop named "October Main Contract Tick".
"This...this contains every minute of trading data for October: opening price, closing price, highest and lowest prices, trading volume, and open interest. There are hundreds of thousands of lines."
Xu Qian's voice was still a little weak.
She had been looking through these tens of thousands of lines of data over and over for several days in her search for the problem, and her eyes were almost blinded, but she couldn't find any gaps or gibberish.
Su Wei double-clicked to open the huge table.
The computer froze for two seconds due to the large amount of data, and then a dense array of numbers spread across the screen.
Su Wei didn't write any screening formulas or use pivot tables.
She simply placed her right index finger on the mouse wheel.
Slide down.
The numbers on the screen began to scroll upwards rapidly. At first, the speed was not fast, but soon, Su Wei scrolled the wheel more and more frequently.
The rows and columns on the screen completely turned into a blurry afterimage.
Xu Qian stood to the side, her brows furrowing as she watched this way of looking at the data.
This isn't about finding the problem at all.
At this scrolling speed, no one can make out the opening price and trading volume in several digits. It's like trying to find a character with a misprinted radical in a rapidly flipping dictionary.
A minute passed.
Two minutes passed.
Su Wei's eyes were fixed on the area in the center of the screen, her pupils trembling slightly as the data fluctuated.
Her breathing became very even, and she was like a processor running at full speed, blocking out all external interference.
Shen Lan sat behind her large desk, picked up the glass of water, and didn't urge her.
The only sound in the office was the constant clicking of the mouse wheel.
When the time reached the seventh minute...
Su Wei's sliding index finger suddenly stopped.
The rapidly scrolling screen suddenly stopped. Due to inertia, the table swayed up and down for a moment before finally settling on a particular row.
Su Wei released the mouse.
She leaned back in her chair, raised her hand and rubbed her temples. It seemed that maintaining such intense visual processing for a long time had made her feel a little tired.
"Found it."
Su Wei's voice was still not loud, but it could be heard clearly in the quiet office.
Xu Qian quickly moved closer to the screen.
The screen displays market data from around 10:15 AM on October 12th.
The opening price was 2850, the closing price was 2848, and the trading volume was 500 lots.
Xu Qian stared at it for a long time, her face full of confusion.
"What... what's wrong with this data? The prices are consistent, there are no gaps, and the trading volume is normal. What's the problem?"
Su Wei did not answer Xu Qian; instead, she turned her chair to face Shen Lan.
"Professor Shen, does your strategy model have very strict control over leverage? Does it trigger a forced liquidation logic once the daily margin usage rate exceeds 80% of the total account funds?"
Shen Lan nodded.
"This is the bottom line for risk control. Is there a problem?"
"The data itself is not wrong, and the model is not wrong either."
Su Wei pointed to October 12th on the screen.
"The problem lies in the market rules."
Su Wei looked at Shen Lan and stated in a calm tone a fact that an ordinary person would never notice.
On October 12, the commodity exchange issued a very brief temporary notice that, due to increased market volatility after the National Day holiday, the exchange temporarily raised the trading margin ratio for the main soybean contract from 5% to 8%, and also made some minor adjustments to the contract multiplier.
Xu Qian stood there, stunned.
Su Wei looked at Xu Qian and explained.
"Your basic data table only records price changes. When you import the model, the system defaults to using your funds at a low margin of 5% for all prices after October 12th."
"In reality, in a real trading environment, after the 12th, the amount of capital required to buy the same number of contracts is almost twice as much as before."
Su Wei tapped her fingers lightly on the table.
"Your backtesting account was already fully leveraged in mid-October, which amplified the leverage. If there is even a slight pullback of one or two percent, the system will determine that your funds are no longer sufficient to cover the eight percent real margin requirement."
"So, the curve plummeted to the bottom. This wasn't because the market conditions caused your account to be liquidated. It was because your backtesting system was using static, dead parameters to run dynamic historical data, and it judged itself as liquidated."
Silence fell over the office.
Xu Qian stared blankly at Su Wei, then turned to look at the date on the screen.
How could she possibly know such a thing?
The temporary announcements issued by the exchanges are usually just a few inconspicuous lines of small print on the second or even third level pages of the official website. Often, even researchers from reputable futures companies don't pay attention to these details.
And this sophomore girl, who was only responsible for sorting out expired financial reports every day, actually remembered clearly the rule adjustments made on a specific trading day a few months ago.
And how can it accurately find this specific time point from hundreds of thousands of lines of dry, uninteresting numbers?
This is nothing short of an extremely greedy absorption of financial market information and an almost abnormal memory retrieval ability.
He was born for this job.
Shen Lan put down her water glass.
She looked at Su Wei, and the scrutinizing look in her eyes completely disappeared, replaced by an expression of approval as a fellow human being.
"Xu Qian".
Shen Lan spoke up.
"Add weight parameters to the historical capital occupancy rates after the 12th and run it again."
Xu Qian suddenly realized what was happening.
She quickly used a spare keyboard next to Su Wei to bring up the model parameter settings page, and with trembling fingers changed the margin ratio parameter after October 12th to eight percent.
Press the Enter key.
Restart the backtesting.
The progress bar is moving forward rapidly.
When the progress bar passed the originally dead end in mid-October, a miracle occurred.
The net asset value curve, which should have plummeted, only dipped slightly downwards on the screen before holding steady.
As the date continued to move forward, the curve rose again, drawing a beautiful upward trend that, although somewhat volatile, still broke through overall.
The margin call has been lifted.
Xu Qian almost burst into tears as she looked at the revitalized funding curve.
During this period, she couldn't sleep well because of this backtesting vulnerability that she couldn't figure out the cause of, and her hair was falling out in clumps. Now, the problem was solved so easily by a sophomore girl with just one sentence.
She turned her head, and in her eyes, looking at Su Wei, there was only awe as if she were looking at some kind of non-human creature.
Su Wei remained calmly seated in her chair.
She looked at the rising curve without showing any pride; she simply stood up and pushed the chair back into place.
"Ten minutes are up."
Su Wei looked at Shen Lan, awaiting the final verdict in this negotiation.
Shen Lan leaned back in the wide black chair, no longer looking at the curve, but carefully examining Su Wei.
"You had this planned out long ago."
Shen Lan's voice was soft, unlike her cold tone just now.
"In these three months, you not only cleaned up all the public data I gave you, but you also memorized my daily market-watching habits, figured out the varieties and cycles that Xu Qian backtested, and even prepared in advance the temporary adjustment announcements of soybean contracts."
Shen Lan looked into Su Wei's eyes.
"You just wait here, wait for the most opportune moment, take this bargaining chip that I need, and come talk to me about a raise and ask for authority."
Su Wei did not deny it.
"I just want to prove that giving me real, underlying data is more valuable to you than having me deal with business school assessments."
"very good."
Shen Lan sat up straight; she wasn't one for idle chatter.
From a business perspective, since the other party has offered irreplaceable value, she is willing to offer a reasonable price.
"Basic labor service fees have been cancelled."
Shen Lan looked at Su Wei, her speech becoming quick and decisive.
"Starting tomorrow, you will take over all of Xu Qian's work related to the preprocessing of underlying data for live trading, outlier detection, and data alignment. After the market closes each day, you must ensure that the factor library required by the live trading model for the next day is absolutely clean and compliant."
Shen Lan held up one finger.
"I'll give you 0.5% of the excess profits generated from the live trading."
Five per thousand.
That sounds like a small amount.
However, in Wall Street-level quantitative trading, this is a number that an ordinary undergraduate student wouldn't even dare to dream of. This is no longer just working; it's real equity investment based on technical expertise.
Xu Qian, sitting in the corner, swallowed hard.
She worked there for a year, earning only a fixed salary and a few thousand yuan in project bonuses, while Su Wei got commission rights in just ten minutes of negotiation.
Su Wei's heart skipped a beat, but her face remained expressionless.
Five per thousand.
Su Wei nodded.
"Okay, thank you, Professor Shen."
"Don't thank me yet."
Shen Lan pushed the stack of English research reports that Su Wei had refused to take back onto the table.
"Commissions are one thing, but the business school duties can't be neglected. These materials still need to be submitted to me by next Monday."
Su Wei glanced down at the stack of documents.
This time she didn't refuse; she reached out and took the documents, holding them in her arms.
"Okay, I'll give it to you next Monday morning."
Now that she has secured the core interests, doing these manual labor tasks is just a matter of spending a few more hours for her; it's an equal exchange, very fair.
"You can leave now. Come back at 8:30 tomorrow morning to reconnect the interface."
Shen Lan waved her hand, her gaze returning to her six flickering screens.
Su Wei, carrying her backpack and holding her documents, turned and walked towards the office door.
As she passed Xu Qian's workstation, Xu Qian subconsciously shrank back a bit, as if making way for this newly promoted big shot.
Su Wei didn't speak, but simply nodded slightly to Xu Qian as a greeting.
She walked to the door and pressed the doorknob.
As I pushed open the door, the warm air from the corridor outside rushed in, clashing against the cool air conditioning in the office.
Su Wei went out and gently closed the door behind her.
The corridor remained quiet, with sunlight streaming in from the window at the end, casting long shadows on the floor.
Su Wei walked to the window and stopped.
She glanced at the thick stack of research reports in her arms, then turned to look at the camphor tree outside the window.
She was finally no longer an outsider who could only access secondhand public information.
Starting tomorrow, she will truly get her hands on the real data, the bloody battles raging in the market.
It was a real world that was ten thousand times more brutal and ten thousand times more fascinating than the theories in books.
Su Wei let out a soft sigh of relief.
She stuffed the documents into her bag, tied her hair back up, and walked steadily and firmly towards the stairwell.
in the office.
With Su Wei gone, the room returned to its oppressive silence.
Xu Qian stared at the empty chair that Su Wei had just sat in, and remained in a daze for a long time.
"What are you looking at?"
Shen Lan's cool voice came from behind the screen.
"You think changing the parameters will solve everything? The October margin call is resolved, but what about the November contract rollover gap? Did you smooth the data?"
Xu Qian was startled and quickly looked away, staring intently at her screen.
"Now that I've become a tutor, I'll immediately add the smoothing function."
"Su Wei has paved the way for you. If your strategy still doesn't achieve the expected Sharpe ratio, you can pack your bags and leave."
Xu Qian's typing became more rapid.
In the silent battlefield of finance, there is no room for sentimentality or indifference.
The numbers were jumping wildly on the black screen, everything making the most brutal preparations for the upcoming trading day.