Here is a list of my professional work experience.
Software Engineer
Clover Light, LLC
July 2015 – Present
- Designing and developing proprietary trading infrastructure and systems in modern C++ (C++11 and C++14) for futures trading on CME, CFE, and Eurex exchanges.
- Implemented Eurex interfaces for market data (EOBI) and order entry (ETI) for direct market access, replacing prior SR Labs implementation to both reduce per-message latency by 55 microseconds in the median and save on licensing costs.
- Implemented direct market data handlers for CME MDP 3.0 and CFE PITCH and order entry for CFE BOE.
- Developed analysis and support scripts in Python 3, such as for order book latency comparisons and message schema generation.
Assistant Vice President
Automated Trading Desk, a Citi company
April 2010 – July 2015 (5 years 4 months)
Assistant Vice President (March 2013 – July 2015)
- Upgraded and monitored Redline-based market data readers for US equities to reduce latency and improve reliability.
- Migrated and developed order routing infrastructure for BATS and Chi-X venues in EMEA to low latency, direct market access, yielding a reduction in order latency from milliseconds to microseconds.
- Configured, developed, and monitored SR Labs-based market data readers for Canadian equity markets.
Sr. Engineer Analyst (April 2010 – March 2013)
- Worked with international team of traders and engineers across EMEA, Japan, and Australia developing, deploying, operating, and maintaining trading systems written in a combination of C++, Python, Perl, and Bash.
- Improved market data readers in C++ to improve speed and to provide features such as full order book depth, indicative price and volume information during auctions, and migration to ITCH-based feed for SBI Japannext venue data, the latter of which yielded yearly data center cost savings due to retirement of former Reuters Data Feed Direct service.
- Assisted migration of trading models to new, low latency trading platform in C++, including development of order router emulator used by StatArb models.
- Added features to predictive engine in C++ such as adding auction-specific data and interfacing with market data readers.
- Developed Python, Bash, and JavaScript utility scripts to perform tasks including analyzing market data, maintaining operational environment, generating order placement statistics, and graphing P&L.
Consultant/Sr. Software Engineer
MEDai
August 2009 – March 2010 (8 months)
- Improved predictive modeling engine by adding features and fixing bugs in proprietary analysis tool in .NET (C# and C++).
- Worked with team of researchers developing predictive modeling algorithms for medical analysis.
- Assisted scientists’ team in data acquisition, processing, and analysis.
- Instituted procedures and documentation for deployment and maintenance of analysis tool.
Software Engineer
Forterra Systems
October 2008 – June 2009 (9 months)
- Delivered prototype Iraq and USA virtual world in C++ on Linux and Windows to facilitate communication between soldiers and their families.
- Added features, such as improved audio capabilities, to core C++ software product, OLIVE.
- Built server-side account registration and avatar customization web application with Java, JSP, and MySQL.
- Developed and maintained Bash, Perl, and Python scripts to support the Linux cluster environment.
Software Engineer
Automated Trading Desk
May 2007 – October 2008 (1 year 6 months)
- Worked with team of statisticians and engineers developing predictive modeling algorithms for stock trading.
- Improved reliability, accuracy, and speed of predictive engine in C++ on Linux for NYSE and NASDAQ listed equities.
- Implemented predictive engine in Java and trading interface in Python and Qt for European market-making.
- Developed and analyzed simulations of trading strategies using Python and PostgreSQL, requiring parallel processing of large datasets.
- Developed Bash, Python, and Perl scripts to support the Linux operational environment and measurements, including the deployment and testing of software systems at co-located sites in New York.
