Head of Quant Research2018 - PRESENTFalcon Capital
- Designed the high-frequency algorithmic trading strategies from drafts to live trades.
- Implemented the complete trading system along with a high-frequency tick data stream.
- Set up the infrastructure for the entirely automated data feed, intraday trading, and risk management.
Lead Quantitative Developer2017 - 2018Partners Capital
- Designed and implemented the portfolio optimization models and algorithm to optimally allocate the $24 billion AUM.
- Delivered the designs of my initiation of a project for systematic macro research and investment opportunity detection.
- Designed the new architecture and selected the new technology stack for the complete redesign of the company’s software infrastructure, and implemented the core modules.
Software Engineer2015 - 2016Credit Suisse
Technologies: C++, Machine Learning, C#, Java, ASP.NET MVC, EF, Microsoft SQL
- Designed, as a lead developer, the complete architecture and wrote the code base of the application—which solves one of the current major challenges of the investment bank by applying machine learning where it could learn from previous outcomes.
- Delivered my own idea—a job scheduling framework which automates a whole team’s work, and structures and loads huge financial datasets to the correctly named new tables in the appropriate databases.
- Implemented a very efficient algorithm to calculate the probability of entity matches in large datasets, replacing the bank’s existing, long-used solution.
- Introduced a loose coupling between the different components of the system by building a dependency injection framework library.
Software Engineer2015 - 2015Duco
Technologies: C++, Java, Akka, Ruby on Rails, MySQL, Redis
- Increased the value of the trade data reconciliation service by enriching the aggregate calculation feature set of the high-performance C++ matching engine.
- Built new Java matching rules to allow rich data manipulation during the reconciliation process.
- Made possible for the employees of a Tier 1 investment bank to sign-in to the Duco Cube web application with their bank credentials by introducing the SAML-based single sign-on authentication.
- Maintained the complex code base of a reconciliation job scheduling and queuing system in Java, Akka, and Play.
Software Engineer2013 - 2015Citigroup
- Designed and implemented a booking sheet calculation component which completely automates the previously manual process of the booking teams.
- Increased the performance of the structured note retiring application by optimizing the Entity Framework queries in the repository layer.
- Made the code base more maintainable, readable, and reusable by applying design patterns and best practices during development. Used Singleton, Factory, Strategy, SOLID principles, DRY, KISS, and SoC.
- Enhanced the system’s stability by covering most of the new features with unit tests.
- Improved the speed and reliability of the treasury’s structured product identifier workflow system (ISIN, CUSIP, and more) by building a separate component in the ID Workflow MVC web application to replace the legacy solution.
- Created custom reports of structured note trade information by retrieving the data from a Hadoop big data warehouse via Hive and filtering/enriching it in Clojure.
Software Engineer2011 - 2013Dealogic
- Facilitated a native-like user experience of the client portal single-page web application for investment bank investors and presenters (Morgan Stanley, J.P. Morgan, Credit Suisse, UBS, Deutsche Bank, Wells Fargo, Macquarie, Nomura, and more) by implementing the client-side infrastructure for async data retrieval and visualization.
- Built an iOS app (Dealogic Connect in the App Store) which enables the investors of Tier 1 investment banks to receive push notifications of relevant changes in their conference meeting schedules and to quickly respond to them by opening the web app inside the native app.
- Ensured that the common code base of the app was shared between multiple platforms by rewriting the whole project in Xamarin.
- Implemented a solution which allows the iOS app to use the existing MVC website as a REST API.
Software Engineer2010 - 2011Alstom
Technologies: C#, Silverlight, XAML
- Enhanced the usability of the ICONIS application by creating most of the XAML user interfaces.
- Improved the performance of the ICONIS solution by rewriting multiple legacy WinForms components in Silverlight.
- Made the code base more maintainable, readable, and cleaner by performing regular peer code reviews.