
Mark Best
Verified Expert in Engineering
Econometrics Developer
Frome, United Kingdom
Toptal member since October 25, 2017
Mark is truly engrossed in his work of studying people and their behaviors. For the past decade, he's worked on automated trading and time series forecasting—gaining hands-on experience in searching for patterns and opportunities in large datasets. His background in statistics enables him to work in machine learning, building NLP models for various applications. Mark enjoys working with different data sets and extracting unusual insights from them.
Portfolio
Experience
- Linux - 10 years
- Git - 10 years
- Econometrics - 10 years
- Forecasting - 10 years
- Python - 10 years
- Machine Learning - 10 years
- Data Science - 10 years
- SQL - 10 years
Preferred Environment
Git, Eclipse, Windows, Linux
The most amazing...
...thing I've built is a high-frequency trading platform written in Rust. The high performance was achieved by careful design and attention to detail.
Work Experience
Consultant
Toptal Client
- Built an HFT cryptocurrency trading platform for multiple different exchanges. The strategies managed risk and orders with low latency even in challenging market conditions.
- Implemented Black Litterman research papers for portfolio optimization.
- Built a crypto backtesting framework on top of Backtrader to test strategies on Poloniex.
Chief Research Officer (CRO)
Tradestream Technology Gmbh
- Built a high-frequency trading platform in Rust for cross-exchange market making and statistical arbitrage.
- Developed a market-making algorithm for a new startup exchange for liquidity provision and providing depth to the order books.
- Researched new alphas and strategies. This work also included the development of the backtesting infrastructure to validate and roll out new strategies.
Head of Creator Experience and Tooling
Trality
- Wrote articles and documentation for building trading strategies with the Trality product. I also managed feedback from the community and built out tooling to help people onboard and learn.
- Integrated AI with the product to allow it to take example code and build out trading strategies from prompts.
- Managed the rollout and testing of the margin trading product to allow long and short positions on the platform.
Execution Quantitative Researcher
Deep Grey Research
- Built HFT execution models for Eurodollar pro-rata books.
- Implemented C++ versions of Python research code for production deployment.
- Built a data framework for backtesting strategies on the Eurodollar market in CME.
Quantitive Researcher | Trader
Private Trading Company
- Researched and traded black and grey box crypto and forex trading strategies.
- Built an algorithmic trading framework for evaluating and productizing strategies; the strategies use a range of statistical and machine learning techniques to find and exploit price inefficiencies.
- Designed API libraries for data collection, cleaning, and processing of market data.
Quantitaive Programmer | Researcher
Lightstone
- Built a framework for connecting and storing tick data from CME and Eurex in a custom high-performance database.
- Programmed a high-performance multi-threaded trading simulator in C++ capable of processing up to 5 million messages per second on a single thread.
- Designed and integrated Python research tools with the C++ simulator to test trading strategies.
- Traded the finalized algorithms into a third-party trading platform for the live execution of the algorithm in Eurex.
Quantitative Analyst
Credit Suisse
- Built a toolset for the analysis of client trading performance (trading analytics).
- Delivered the results via a Tableau framework, allowing for the easy distribution, modification, and extension of the analysis.
- Created automated reporting from Bloomberg for senior management.
Associate Director
Eladian Partners
- Traded and researched an aggressive cross-asset, high-frequency strategy designed for global futures markets (cross-asset futures trading). The strategy used genetic programming to combine and calibrate various alphas.
- Traded and researched a statistical arbitrage and market-making strategy for government bond futures on CME and Eurex.
- Managed the operations and risk of the strategy as well as built and calibrated a fully functional passive simulator to test improvements to the strategy.
Quantitative Researcher
Citigroup
- Developed a pricing model for the European government bond business. The model worked by risk factor decomposition, forecasting, and recomposition to generate far better prices than models used pre-2008.
- Designed and implemented a probabilistic market making spread model to optimize the P&L, market risk, and balance sheet usage of a government request for a quote (RFQ) bond business. The model allows the probability of trading to be implied from the market given a set of attributes.
- Researched and traded a high-frequency market making strategy for bond futures on Eurex (German bond future market making). The research included the development and calibration of a backtesting environment as well as deriving and testing trading signals.
- Built the internal matching engine for the City Velocity IRS business. This is more complex than a futures matching engine since the consistency of spread and butterfly books also needed to be ensured.
Master of Science Candidate in Quantitative Finance
Cass Business School
- Studied econometrics; built studies of statistical modeling, prediction, and forecasting.
- Studied computational statistics: the application of computer option pricing models, Monte Carlo simulations, and other numerical methods.
Quantitative Programmer
Deutsche Bank
- Implemented components within EMMA (electronic market making algorithm) to analyze recent client positions to forecast market movements and build positions passively via market making.
- Designed and built trading components for vanilla IRS, curve spreads and butterflies on LiquidityHub, TradeWeb, and ReutersSwap electronic platforms.
- Refactored and improved the programming frameworks for distribution of bond prices to third-party platforms such as Bloomberg and Reuters.
Performance Analyst
Deutsche Bank
- Managed a team of consultants to improve usability and performance of the Paragon Credit Risk system.
Experience
NLP Processor
The code extracts keywords from project descriptions and determines which keywords appear disproportionately more frequently in either the "funded" or "not funded" category. The probability of such disproportional occurrence, evaluated using a Bernoulli distribution, serves as the information ratio for each keyword. A higher information ratio indicates the keyword's greater usefulness in predicting funding success.
Low Latency Messaging Platform for Cryptocurrency Trading
https://markrbest.github.io/hft-and-rust/Algorithmic Trading platform
Education
Master of Science Degree in Quantitative Finance
Cass Business School - London, UK
Bachelor of Science Degree in Computer Science
Warwick University - Warwick, UK
Skills
Libraries/APIs
Binance API, CCXT, TensorFlow, Pandas
Tools
PyCharm, Eclipse IDE, Git, Subversion (SVN), Excel 2007, Jupyter, MATLAB, LaTeX, Tableau
Industry Expertise
High-frequency Trading (HFT)
Storage
PostgreSQL, MySQL, Kdb+, MongoDB
Languages
Python, Rust, SQL, Python 3, Java, C++, R
Paradigms
Test-driven Development (TDD), Agile Software Development, Quantitative Research, REST
Platforms
Linux, Eclipse, Windows, Oracle
Frameworks
Flask, Spring
Other
Machine Learning, Trading, Forecasting, Simulation Engines, Data Science, Algorithmic Trading, Finance, Predictive Modeling, Quantitative Finance, Backtesting, Low Latency, Time Series, Time Series Forecasting, Crypto, Data Analysis, Performance Optimization, Econometrics, Communication, Statistics, Capital Markets, Prediction Markets, Boost.Python, Computer Science, CME, Cryptocurrency, Cryptocurrency APIs, Portfolio Analytics, Backtesting Trading Strategies, Natural Language Processing (NLP), Data Scraping, Automated Trading Software
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