Kirill Lapshin

E-mail:kir@lapshin.net
Phone:+852-9274-5797

Skills

Programming languages and technologies:
  • C++, C++17 (over 20 years of day to day experience)
  • STL, Boost, ANTLR, ATLAS, LAPACK, NAG, and other libraries
  • Google protobuf
  • Multithreaded and distributed computing
  • Python, SQL, shell scripts, Matlab
  • Excel addins
  • Tibco, IBM MQ, SOAP, XML-RPC
  • make, CMake, gcc, clang, Microsoft Visual Studio, Team City, BuildBot
  • git, svn, perforce
  • MySQL, Microsoft SQL server, Oracle, PostgreSQL, SQLite
  • Windows, Linux, Solaris, and other UNIX flavors
Development methodologies:
  • Unit and functional testing, continuous integration, test driven development
  • Design patterns, refactoring
  • Agile programming
General skills and background:
  • Over 20 years of experience in financial industry (equity derivatives, commodities).
  • Strong computer science and mathematical background
  • Strong problem solving skills and deep knowledge of algorithms

Experience

Saccade Capital, Hong Kong (04/2017—present)

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, extensiability, 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 (09/200502/2009)

See above.

Client: Hibrium Limited, London, UK (04/200508/2005)

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.

Education

1994-99: Moscow State University. M.Sc. with honours in Mathematics.