- FounderEvoqus2015 - PRESENT
Technologies: Clojure, Go, Python, Julia, AWS, Docker, OpenStack
- Created a cloud-based distributed computing platform from the ground up. Code can be executed with a single command across hundreds of CPUs and GPUs in the cloud.
- Developed RESTful API back-end services with a custom orchestration layer in Clojure.
- Developed a Go client for batch and fully interactive jobs. The Go client includes support for attaching console with raw terminal mode, tunneling, and large data files transfer.
- Designed the back-end services to be stateless and resilient with automatic scale-out.
- Developed end-to-end tests against AWS and a local OpenStack deployment.
- Quantitative DeveloperMarkham Rae2012 - 2016
Technologies: Python, C++, C#, MATLAB
- Developed a range of trading applications on top of a Tier 1 bank's interest rate and FX quant libraries.
- Developed tools for swaptions pricing and yield curve, vol cube, and SABR parameters scenarios testing.
- Worked as the sole developer of an exotic FX options pricing tool now used daily by the trading team.
- Did portfolio optimization research and testing with the traders on the desk.
- Developed interest rate and FX products backtesting applications.
- Transitioned all interest rate applications to a new multi-curve framework.
- Senior DeveloperTrayport2008 - 2012
Technologies: C++, C#, F#
- Worked as the senior developer on the aggregated liquidity pool platform and trading front-end.
- Worked in a leading role in multiple projects on order routing and consolidation of hybrid inter-dealer broker and exchange venues for cross-asset and cross-venue trading.
- Led the development of indirect order aggression features for implied spread trading.
- Led the development of a latency and availability platform enhancement project.
- Worked in a lead role of the architecture and development of a new exchange connectivity and a new clearing platform.
- Prototyped a distributed data storage and processing engine on top of Apache Cassandra.
- Developed a F#-based, domain-specific language and contract specification for a commodity product registry and standardization service.