Aistis Baltrus, Developer in London, United Kingdom
Aistis is available for hire
Hire Aistis

Aistis Baltrus

Verified Expert  in Engineering

Algorithmic Trading Developer

Location
London, United Kingdom
Toptal Member Since
February 1, 2016

Aistis has worked for top tier banks. He's a seasoned algorithmic trader, quantitative analyst, developer, and strategist who can implement complex and challenging algorithmic and quantitative analysis trading tasks in MATLAB, C#, C++, OpenQuant, TradeStation, SQL, ZeroMQ, and CQG.

Algorithmic TradingFuturesData MiningData Warehouse DesignData WarehousingC++MATLABC#Microsoft ExcelMultithreadingWindowsMySQLWindows Forms (WinForms)OracleData Analysis

Availability

Part-time

Preferred Environment

Windows, SQL, MATLAB, C++, C#

The most amazing...

...thing I do is that I build automated trading systems.

Work Experience

Quantitative Analyst (Quant) | Developer

2009 - PRESENT
Asset Management
  • Built an automated trading system.
  • Optimized hundreds of automated trading systems.
  • Created automated trading system portfolios.
Technologies: ZeroMQ, SQL, MATLAB, C#

Quant Developer

2008 - 2009
BNP Paribas Corporate & Investment Banking, London, UK
  • Maintained the in-house product written in C++ for capturing all types of deals.
  • Developed a latency monitoring tool to measure delays between many parts of the system.
Technologies: XML, TIBCO Rendezvous, Oracle, Microsoft SQL Server, SQL, C++, C#

Researcher | Developer

2006 - 2008
Société Générale Asset Management - Alternative Investments – Hedge Fund
  • Gained a well-rounded knowledge of algorithmic trading; was exposed to all aspects of algorithmic trading.
  • Researched and developed a dynamic trend-following model for 38 instruments (return ~20%).
  • Developed spread strategies with one trader, constructed a portfolio, and implemented it. It is live now and runs very well; 25% in 10 months.
  • Redesigned and rewrote a market data engine which adjusts futures contract data.
  • Developed a GRID computing engine to run our strategies optimization on 250 PCs.
Technologies: Futures, VaR, Financial Market Data, Technical Analysis, Risk, Data Processing, Algorithmic Trading, Grid Computing, Project Lifecycle, Agile, Windows Forms (WinForms), FIX Protocol, XML, MATLAB, Oracle, SQL, C++, C#

Analyst Programmer

2004 - 2006
Deutsche Asset Management (Deutsche Bank Group) - Portfolio Engineering Group, London, UK
  • Architected and implemented a market data engine based on DataStream and Bloomberg.
  • Introduced a change control system to the team.
  • Profiled and optimized our internal fixed risk calculation engine to work twice as fast. Most of the optimizations were made in database management and string operations.
  • Increased the speed 3 times of our quantitative asset allocation engine. Once again, most of the speed improvement I archived was by optimizing database calls and string comparison.
  • Developed a nonlinear transaction cost calculation for our system.
  • Incorporated a faster quadratic optimizer in our asset allocation engine. The new one is much faster, more stable, and has more features. It resulted in speed improvement of 2-3 times more.
Technologies: VaR, Risk, Costs, Optimization, Engineering, Oracle, Microsoft SQL Server, SQL, C++, C#, MATLAB

Analyst Programmer

2002 - 2004
IntelliQ, London, UK
  • Developed an algorithm for clustering nodes in link analysis (used in fraud detection).
  • Created a variance/quantitative analysis engine in order to detect abnormal/fraudulent cashiers.
  • Created a fast association rule engine by using advanced data structures and Intel C++ compiler.
  • Developed an automated Star schema (for Data Warehousing) creation algorithm and implemented it (very innovative).
  • Developed a number of data preparation/transformation/load tasks for major UK retailers.
Technologies: Data Mining, Data Warehousing, Data Warehouse Design, Analysis, SQL, C#, C++

Developed a Multi-Core Algorithmic Trading Model to Trade Strategies in C#

Developed a multi-core algorithmic trading model to trade strategies in C#.

Developed Trading Models using MATLAB and TradeStation

Mainly trend following and mean reversion.

Personal Coding History

In 1986, when I was 11 years old, I joined a local computer club and then I started coding in FOCAL language with old fashion Soviet computers that were connected to black and white TV. I have never stopped coding since then.

London City for Deutsche Bank Work History (2004 to Present)

I have 11 years of finance experience. From 2009, I worked on my own as a trader, developer, quant, strategist, and as a consultant.

Languages

C#, C++, SQL, Java, JavaScript, XML, Python

Tools

Microsoft Excel, MATLAB, TIBCO Rendezvous

Industry Expertise

Banking & Finance

Other

Data Warehouse Design, Data Warehousing, Futures, Data Mining, Neural Networks, Genetic Algorithms, Algorithmic Trading, Data Analysis, Decision Trees, Multithreading, FIX Protocol, Analysis, Project Lifecycle, Grid Computing, Data Processing, Risk, Technical Analysis, Financial Market Data, VaR, Engineering, Optimization, Costs, GRID, TIBCO

Libraries/APIs

Windows Forms (WinForms), NetMQ, ZeroMQ, Bloomberg API

Platforms

Oracle, Windows, Tradestation, Joomla 3

Storage

MySQL, SQLite, Microsoft SQL Server

Paradigms

Agile, Concurrent Programming

1999 - 2003

Ph.D. in Artificial Intelligence and Neural Networks

Vilnius University - Vilnius, Lithuania

Collaboration That Works

How to Work with Toptal

Toptal matches you directly with global industry experts from our network in hours—not weeks or months.

1

Share your needs

Discuss your requirements and refine your scope in a call with a Toptal domain expert.
2

Choose your talent

Get a short list of expertly matched talent within 24 hours to review, interview, and choose from.
3

Start your risk-free talent trial

Work with your chosen talent on a trial basis for up to two weeks. Pay only if you decide to hire them.

Top talent is in high demand.

Start hiring