Head of High-frequency Trading2020 - 2021TickUp (HFT / Hedge Fund)
Technologies: C++, Director, Machine Learning, Data Science, Big Data, Data, Leadership, Trading, Hiring, Data Engineering, ETL, TensorFlow, Kubernetes, AWS S3, Team Leadership
- Developed a low-latency C++ book builder and market feed processor for Nasdaq TotalView-ITCH. Later my engineering team added support for all other US equities exchanges and their respective data protocols.
- Hired a team of eight top-caliber algorithmic trading quants and C++ engineers.
- Designed a multi-tactic HFT strategy for US equities supporting tactics, including passive orders at the near side with signal-driven cancellation, hidden midpoint peg orders, and IOC (aggressive) orders.
- Developed a broad array of statistically powerful predictive models to inform the strategy's trading activity.
CTO (contract)2017 - 2019Zeguro (Cyber Security / Cyber Insurance)
- Architected the product stack: front end, middle tier, back end, and database.
- Carefully designed the AWS execution environment based on ECS with Fargate and implemented an infrastructure as code automated build and deployment tool using Boto 3 in Python.
- Built a generic database layer, blending the best of relational and NoSQL technology by leveraging PostgreSQL's native JSON support and GIN indexing technology.
- Hired and mentored a highly performant engineering team.
- Architected the data collection process to support the company's cyber insurance AI model.
- Researched and developed a prototype of a "real-time" AI approach for cyber insurance underwriting based on information retrieval (i.e., inverted index) techniques, which does not require a training stage other than indexing each new observation.
Quantitative Strategist, US Equities2016 - 2018KCG Holdings, Inc. | Virtu Financial, Inc. (HFT)
Technologies: Optimization, Reinforcement Learning, Pandas, Python, OCaml, C++, SQL, Machine Learning, Python 3, Deep Learning, ETL
- Developed a framework for reinforcement learning in the context of high-frequency trading.
- Built a stochastic optimization framework for the parameters of KCG's flagship algorithmic trading strategy.
- Contributed to developing a high-throughput trading simulator to support evaluating the performance of making various marketing strategies and predictors.
VP of Data Science | Chief Technology Officer2014 - 2016Lumity, Inc. (Health Insurance)
- Developed a novel machine learning algorithm and non-parametric conditional density estimation for quantitative risk management and efficient pricing of insurance products.
- Built a machine learning model to predict the out-of-pocket expenses of an individual based on the features of a health insurance plan and the individual's risk profile.
- Architected the benefits enrollment platform at the heart of Lumity's benefits brokerage platform.
- Hired and mentored a high-functioning engineering and data science team.
Research Engineer | High Frequency Trading2012 - 2014Xambala Capital (HFT)
Technologies: Matplotlib, NumPy, Python, GNU, C++, OCaml, SQL, Machine Learning, Python 3, Deep Learning
- Built an extensive library of signals derived from the raw market event feeds for machine learning applications.
- Developed low-latency market predictors using GNU R and glmnet. The resulting models were blazingly fast to evaluate, as required by high-frequency trading, and their statistical performance was competitive with far more complex non-linear models.
- Maintained and extended a stock exchange simulator, supporting feeds from all major use exchanges, including Nasdaq, NYSE, Arca, BATS, and Direct Edge, and implemented the distinct semantics of each exchange's matching engine.
- Constructed an order router translating from Xambala's native ordering protocol to the protocols of all major US equities exchanges and several dark pools.
- Built a family of two-sided liquidity providing marketing-making algorithms for tight-spread, high-volume stocks.
Lead Engineer | Pricing and Risk Management2011 - 2012The Climate Corporation (Weather Insurance)
Technologies: Hadoop, Clojure, Java, SQL, Machine Learning, Python 3, Leadership, Data, Team Leadership
- Built Climate's weather-based crop insurance pricing algorithm based on a distributed Monte Carlo simulation of predicted weather patterns over the insured farm throughout the growing season.
- Developed a Hadoop MapReduce-based algorithm to produce the quantitative risk reports on the entire crop insurance portfolio for the reinsurance partners.
- Researched the feasibility of expressing the insurance policy's payout calculation as a type of data by representing it as a first-class function in a functional programming language, namely Clojure.
Senior Engineering | Search Technology2009 - 2011Wink.com | Mylife.com (Social Media)
Technologies: Hadoop, Apache Lucene, Java, OCaml, Data, Big Data, Search, Web Search, Distributed Computing, Leadership, Team Leadership
- Built a Hadoop MapReduce indexing algorithm to process the document corpus into a set of Lucene indexes for the search engine cluster that was 100 times faster than the previous version, which was based on a static cluster of Lucene indexing servers.
- Developed a real-time Lucene read-write indexing service to immediately make newly acquired data accessible through the search engine, which complemented the main search cluster, served the static document corpus, and was updated infrequently.
- Leveraged Lucene inverted index technology to support k-nearest neighbors predictive modeling.
Freelance Software and Industrial Automation Engineer2001 - 2009Self-employed
- Organized and led the Zoonoses project at the European Food Safety Authority (EFSA), a branch of the European Commission. The Zoonoses project is the most important IT project at EFSA, handling data collection from 25-member states.
- Designed and programmed a fully automated sandblasting industrial robot as part of the assembly line of a company manufacturing concrete mixer trucks.