Aistis Baltrus

Aistis Baltrus

London, United Kingdom
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Aistis Baltrus

Aistis Baltrus

London, United Kingdom
Member since December 3, 2015
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.
Aistis is now available for hire
  • C++, 17 years
  • MATLAB, 15 years
  • Algorithmic Trading, 10 years
  • Neural Networks, 5 years
  • FIX Protocol, 5 years
  • Bloomberg API, 2 years
  • Tradestation, 8 years
London, United Kingdom
Preferred Environment
C#, C++, MATLAB, SQL, Windows
The most amazing...
...thing I do is that I build automated trading systems.
  • Quantitative Analyst (Quant) | Developer
    Asset Management
    2009 - PRESENT
    • Built an automated trading system.
    • Optimized hundreds of automated trading systems.
    • Created automated trading system portfolios.
    Technologies: C#, MATLAB, SQL, ZeroMQ (Algorithmic Trading, Trading Strategies)
  • Quant Developer
    BNP Paribas Corporate & Investment Banking, London, UK
    2008 - 2009
    • 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: C#, C++, SQL, SQL Server, Oracle, TIBCO Rendezvous, XML (Latency Monitoring)
  • Researcher | Developer
    Société Générale Asset Management - Alternative Investments – Hedge Fund
    2006 - 2008
    • 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: C#, C++, SQL, Oracle, MATLAB, XML, FIX, WinForms, Full Project Life Cycle, Agile, GRID Computing (Algorithmic Trading, Real-Time Data Processing, Real-Time Risk, Technical Analysis, Futures, Risk, VAR, Market Data)
  • Analyst Programmer
    Deutsche Asset Management (Deutsche Bank Group) - Portfolio Engineering Group, London, UK
    2004 - 2006
    • 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: MATLAB, C#, C++, SQL, SQL Server, Oracle (Portfolio Engineering, Optimization, Markowitz, Transaction Costs/Slippage, Risk, VAR, Returns)
  • Analyst Programmer
    IntelliQ, London, UK
    2002 - 2004
    • 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: C++, C#, SQL (Retail Fraud Analysis and Detection, Data Warehousing, Data Mining)
  • Developed a Multi-Core Algorithmic Trading Model to Trade Strategies in C# (Development)

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

  • Developed Trading Models using MATLAB and TradeStation (Development)

    Mainly trend following and mean reversion.

  • Personal Coding History (Other amazing things)

    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) (Other amazing things)

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

  • Languages
    MATLAB, C#, C++, JavaScript, Python, XML, Java
  • Tools
    Excel, NetMQ
  • Storage
    Data Warehousing, Oracle, MySQL, SQL Server, SQLite
  • Misc
    Futures, Finance, Data Mining, Algorithmic Trading, Genetic algorithms, Neural Networks, Decision Trees, FIX Protocol, Multithreading, GRID
  • Libraries/APIs
    ZeroMQ, WinForms, TIBCO, Bloomberg API
  • Platforms
    Windows, Tradestation, Joomla 3
  • Paradigms
    Concurrent Programming
  • Ph.D. in Artificial Intelligence and Neural Networks
    Vilnius University - Vilnius, Lithuania
    1999 - 2003
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