Equity Algorithmic Trading Developer2015 - PRESENTRoyal Bank of Canada
- Led the development of a real-time front-end for our trading platform; featuring streaming position updates, consumer-grade UX, and order management. This can all be accessed via a browser.
- Created a configurable pre-trade risk system for our algorithmic trading framework. Through this system, traders can edit risk parameters and load them intraday without restarting the system.
- Developed a market data ticker plant with a simple API for use by trading algorithms.
Senior Software Developer2013 - 2015Citi
Technologies: Hadoop, Java, Clojure
- Designed and built a large-scale data processing pipeline to meet critical regulatory analysis requirements. In addition to prompting the trading desk to offload billions in the old risk system, my work contributed to Citi having the cleanest Fed-Test pass on Wall Street in 2015.
- Helped build a real-time credit risk pricing system. Rather than waiting at the end-of-day for risk results, this system received trade updates in real-time and priced risk immediately for trader consumption.
- Trained developers in Clojure to help build out data processing capabilities within the Global Credit Technologies group.
Product Director2011 - 2013Quote MTF
Technologies: Ruby on Rails (RoR), Ruby, Java, Clojure
- Designed and built Spectre, a Clojure-based real-time market surveillance system, saving the firm the substantial cost (six-figures per year) of using a third-party vendor to meet regulatory requirements.
- Designed and built Minerva, a data warehousing service. Minerva automated the generation of key reports and enabled the business to get clear views on performance and operations through the ad-hoc analysis tool.
- Designed and provided the specifications for the Quote Liquidity-On-Demand eXchange (QLX), Europe’s first equities exchange with a hybrid auction and continuous matching model.
Software Developer2009 - 2011Eidolon Systems
- Designed and implemented a suite of algorithmic order types, enabling the on-time delivery of a market maker program which was previously expected to be delayed, saving over half a million in cost overrun.
- Created a market maker system for liquidity provision on our parent company’s trading venues, catalyzing the initial activity, and attracting enough liquidity to become self-sustaining.
- Designed and implemented a market microstructure training program for new hires, reducing training time from months of fragmented, periodic sessions to less than two weeks.