A toolkit for quant traders wanting full control of their own trading platform. Open, modular and built for ultra-low latency market making. Interfaced from C++ or using the FIX protocol.

■ Feb 2018 - 2019 | HFT framework designed for early-stage investment funds. Partnering with established Chinese fund to develop the tools and migrate existing strategies. Continued ■ Jul 2018 | UK based start-up fund | Analysis of existing and proposed future algorithmic trading solutions. Advice and participate with the choice of vendor solutions.■ Feb 2016 - Feb 2018 | UBS London | Quant team | Design and build graph framework to support (very) large scale distributed risk… Show more ■ Feb 2018 - 2019 | HFT framework designed for early-stage investment funds. Partnering with established Chinese fund to develop the tools and migrate existing strategies. Continued ■ Jul 2018 | UK based start-up fund | Analysis of existing and proposed future algorithmic trading solutions. Advice and participate with the choice of vendor solutions.■ Feb 2016 - Feb 2018 | UBS London | Quant team | Design and build graph framework to support (very) large scale distributed risk processing. Support strategic risk project. Demonstrate use-cases and integration points with existing/new quant and IT solutions. Show less

■ Algorithmic Trader/ FX: Pricing and risk management of G10 currency pairs. Java based trading infrastructure. Work with IT teams to implement changes and new APIs.■ Algorithmic Trader/ Rates: Pricing and risk management of Treasuries and swaps. Java based trading infrastructure. C/C++ based tick-capture/database engine (>4 years without any outage, >300bn messages, >100 data sources). Improved risk-management for illiquid bonds. Management and mentoring. Driving… Show more ■ Algorithmic Trader/ FX: Pricing and risk management of G10 currency pairs. Java based trading infrastructure. Work with IT teams to implement changes and new APIs.■ Algorithmic Trader/ Rates: Pricing and risk management of Treasuries and swaps. Java based trading infrastructure. C/C++ based tick-capture/database engine (>4 years without any outage, >300bn messages, >100 data sources). Improved risk-management for illiquid bonds. Management and mentoring. Driving research efforts.■ Quant/ Data Analytics: Analyse transactional data. Statistical modelling (using Python/Pandas). Objective: to predict client behaviour. Work closely with PIN-FI traders and e-sales teams.■ General: Participation in steering committees. Provide input to strategic decision making. Show less

■ Objective: Create a set of algorithmic trading tools. Support low latency trading.■ Achievements: C++ based simulation tools, trading infrastructure, messaging system, and tick-data capture & database. Windows and Linux. APIs available for C, C++, Java, Python, and Lua.■ Results: The prototype was completed. But the project had to be stopped due to lack of funding and a proper marketing plan.

■ Quant Developer/ Rates: Trading strategies to support block trades (risk-dispersion using mean-reverting curve models). Second generation PCA-based swap curve model required by electronic market-making. Work closely with traders, quants and IT teams. Manage desk development team.■ General: Strategic committees (electronic market making, client offerings, and the Matrix project).

■ Proprietary Trader/ Rates: Mandate to trade fully automated CTA-style long/short trading strategies. Bond-futures on Eurex. Daily VaR limit of $1m. Implement, test, and trade own strategies (mostly using time-distortion as a function of market activity). Develop C++ based trading system (feed handlers, tick-database, back-testing, order execution, and risk management). Implement access to Eurex (CEF-alpha), CME (MDP), ION (MKV), and Reuters (SFC). Management.■ General:… Show more ■ Proprietary Trader/ Rates: Mandate to trade fully automated CTA-style long/short trading strategies. Bond-futures on Eurex. Daily VaR limit of $1m. Implement, test, and trade own strategies (mostly using time-distortion as a function of market activity). Develop C++ based trading system (feed handlers, tick-database, back-testing, order execution, and risk management). Implement access to Eurex (CEF-alpha), CME (MDP), ION (MKV), and Reuters (SFC). Management.■ General: Assist traders and research. C++ bond/swap analytics. Provide access to historical data. Work closely with bond traders to design and implement new pricing system. Show less

■ Quant Developer/ Rates: C++ based analytics library. Replace existing A+ based pricing functionality. Bond/swap analytics. Curve fitting. Work closely with traders. Provide library foundation for rest of quant team. PCA based market making model for swaps. FX portfolio optimization model. Assist traders and research with specialised analytics solutions.■ Market Maker: European Government Bonds. Scandinavian Bonds & Swaps. Pricing. Risk management. Proprietary trading.… Show more ■ Quant Developer/ Rates: C++ based analytics library. Replace existing A+ based pricing functionality. Bond/swap analytics. Curve fitting. Work closely with traders. Provide library foundation for rest of quant team. PCA based market making model for swaps. FX portfolio optimization model. Assist traders and research with specialised analytics solutions.■ Market Maker: European Government Bonds. Scandinavian Bonds & Swaps. Pricing. Risk management. Proprietary trading. Own and shared books. Show less

■ Quant Developer/ Rates Derivatives: Extend VAX/VMS based risk system with new risk methods.■ Quant Developer/ Credit Flow: C++ library to support new credit flow trading system. Support for bond, CDS, and CDO analytics. Risk reporting framework. Tools to assist growing the flow business.■ Desk Quant/ Credit Derivatives: Support traders and structurers with analytics solutions. Distributed risk calculations for CDOs and CDO2s. Optimization tools for portfolio credit… Show more ■ Quant Developer/ Rates Derivatives: Extend VAX/VMS based risk system with new risk methods.■ Quant Developer/ Credit Flow: C++ library to support new credit flow trading system. Support for bond, CDS, and CDO analytics. Risk reporting framework. Tools to assist growing the flow business.■ Desk Quant/ Credit Derivatives: Support traders and structurers with analytics solutions. Distributed risk calculations for CDOs and CDO2s. Optimization tools for portfolio credit ratings. Web tools for portfolio pricing. Show less

■ Risk Manager/ Rates Derivatives: Set limits and monitor desk exposure. Validate new business proposals. Work closely with traders, quants, model validation, IT functions, and risk reporting.■ Quantitative Developer/ Rates: Bond and swap analytics. Curve fitting. Real-time bond pricing engine. C++, Excel, Java, Tibco, Reuters, and ION APIs.

■ Risk Manager/ Rates & FX: Monitor and report risk exposure against set limits. Develop C++ based risk engine supporting risk reporting and Value at Risk. Research new risk methodologies. Review procedures and compliance. Work closely with Amsterdam risk management group.■ General: Assist traders, sales, and IT functions with data, tools and analytics.

■ Quant Developer: Replace existing analytical reporting with new APL based reporting framework. Interface with existing C based analytics library (SCEcon). Pure functional programming. Risk reporting. Financial performance reporting. Support for JP Morgan's RiskMetrics.■ Quant/ Research: Research, implement, test, and document new models. Interest rates derivatives/ exotics. Implementation in C with support for many platforms, including mainframe. Offer training and courses.

■ Contract: Processing of loan applications.