Experience
Macquarie, Singapore (02/2022—present)
- Reworked integration of quant libraries with risk management system
- Converted adhoc desk workflow into production grade system
Saccade Capital, Hong Kong (04/2017—09-2021)
Provided technical leadership for ambitious proprietary algo trading team to bring
fully in-house developed software stack to modern standards in terms of performance,
low latency, maintainability, extensibility, testability.
- Design and implementation of low latency fast path algo.
- Developed fast and space efficient market data file format, significantly speeding up back testing.
- Implemented exchange simulator.
- Added long dated order support.
- General overhaul of the algo trading codebase to modern C++.
- Changed development methodology to accommodate growing team.
- Running weekly C++ lectures, mentoring juniors.
Barclays, Hong Kong (01/2016—01/2017)
- Improved performance of Monte-Carlo legacy emulation mode by two orders of magnitude.
- Developed regression testing framework.
Macquarie, Hong Kong (03/2011—01/2016)
Played key role in design and implementation from scratch of equity derivatives pricing library. Developed following parts of the library:
- Payoff scripting language used for flexible definition of complex financial
products, compiled to custom byte code and executed on virtual machine.
- Multithreaded and vectorized Monte Carlo engine.
- American Monte Carlo.
- Accurate cashflow report, used as a feed to settlement system, as well as cashflow forecast.
- Product template framework to standardise common product types
and generate scripted product from simple term sheet like
definition.
- Bidirectional Python bridge to allow writing ad hoc scripts using
library functionality, as well as developing parts of the
library in Python.
- Integration with Reuters, booking systems, etc.
Nomura International PLC, London, UK (09/2005—02/2011)
Played major role in design and implementation from scratch of in
house equity derivatives pricing library. Developed following
parts of the library:
- Payoff scripting language
- Multithreaded and vectorized Monte Carlo engine. PDE engine.
- Efficient pricing of complex risk scenarios on multiple
underlying products by reusing equivalent simulations across
different scenarios.
- American Monte Carlo.
- Cashflow report.
- Product template framework.
- Integration with Reuters, Bloomberg, booking systems, etc.
- Basic grid computing.
Independent consultant (04/2005—02/2009)
Client: Nomura International PLC, London, UK (09/2005—02/2009)
See above.
Client: Hibrium Limited, London, UK (04/2005—08/2005)
Extended pricing library developed by client to support basic payoff
scripting language. Provided general technical leadership, conducting
code audit, suggesting and implementing numerous refactorings of
existing code base.
PointMass L.L.C., Columbia, MD, USA (06/2004—09/2004)
Designed and developed full range of IT infrastructure for the
hedge fund, from hardware and software selection, to system
administration, to software development and integration, to risk
management system selection.
Constellation Power Source, Baltimore, USA (12/2001—06/2004)
Served as a technical lead, designer and C++ developer of innovative
option pricing library. Investigated feasibility of in-house
development of next generation risk management and trading
system. Successfully pushed this project through initial requirement
gathering and design to Python prototyping in very short time.
Marketswitch, Dulles, VA, USA (07/2000—12/2001)
Design, C++ implementation, and testing of CORBA objects and core
modules of complex real-time client-server application. Learnt
cross-platform development for Windows, Solaris, AIX, and other UNIX
flavors.
SoftDev MSK, Moscow, Russia (11/1997—07/2000)
Started as part-time software engineer. Got quickly promoted to
full-time position and Senior Software Engineer position. Designed
and developed in C++ one of the flagship product's core subsystems.