Directory of Product Development and Cloud Computing2006 - 2015Rosenblatt Securities
- Implemented a real-time market data feed handler for storage and retrieval.
- Wrote a custom storage engine for MySQL to store tick data in a columnar in a highly compressed and indexed fashion.
- Stored real-time tick data using a C++ API and exposed a simple SQL interface. It stored 300 billion ticks up until 2015. This was written in C++ and Boost.
- Developed a portfolio trading algorithm that modeled and coded a portfolio trading strategy for Rosenblatt’s biggest trading customer which resulted in minimizing market risk by computing NxN co-variances in real-time (on GPU).
- Used genetic algorithms to find the best execution given several constraints like buy/sell dollar imbalance, liquidity, and so on. This distributed multithreaded code was written entirely in C++, CUDA and ZeroMQ sockets for communication.
- Envisioned, designed, and developed the architecture of Rosenblatt Data Backbone (RSIGrid): a service bus that brings together a large number of services and makes them available to users in a platform and location-independent manner. More information can be found in my portfolio.
- Designed and developed from scratch, Data Manager: a unified interface to all kinds (reference, ticks, buckets, derived statistics, and so on) of market data for equities. More information can be found in my portfolio.