Verified Expert in Engineering
Data Engineer and Developer
Pengrui is a data engineer with over six years of experience. He is also a full-stack software engineer working remotely with English-speaking team members. He specializes in hedge funds, builds data platforms for quantitative trading, and leads projects in different environments and languages. Pengrui joined Toptal because he enjoys freelancing and wants to work on the best projects.
R, Python, Java, SQL, RStudio, Linux, Git, IntelliJ, Docker
The most amazing...
...project I've built is a software that runs automated trading 24/7 with dozens of quantitative models, managing a multimillion-dollar asset.
Hangzhou Kunteng Technology
- Engineered a real-time ETL system processing data from several cryptocurrency exchanges. Features included failed job recovery, progress monitoring, dynamic job generation, and data sharing among jobs.
- Created a readable, expressive R-based internal DSL, which unified quantitative factor syntax, improving the productivity of researchers.
- Built a quantitative strategy management system using parallelism and caching, enabling the quantitative strategies to be studied and used for trading directly.
- Designed interfaces and protocols among sub-systems running 24/7 with dozens of quantitative models, which resulted in robust performance.
- Assembled an automated trading system and deployed it on AWS.
- Introduced algorithmic trading that optimized order execution, saving an estimated $1.5 million per year compared to placing market orders.
- Created applications for a trading platform, including web-based admin interfaces, error alerts, position deviation tracking, order execution tracking, and trading collation.
Senior Quantitative Developer
Zhejiang Yingmai Asset Management
- Developed automatic trading software based on the CTP interface of the futures exchanges. It included daily order placement, intraday account monitoring, and after-hours data analysis.
- Created a research platform to automate and standardize quantitative strategy development and production lifecycle.
- Automated PDF generation using R Markdown and ggplot2 to obtain data pipeline status, account reports, and strategy backtesting reports.
- Created an interactive web-based dashboard with plot.ly, including a real-time profit chart and market indicator chart.
- Built a real-time trading signal pushing app with GUI interface in C#.
Hangzhou Fenghe Asset Management
- Established a data pipeline consisting of data collection, data cleaning and storage, script scheduling, monitoring, and alarms.
- Developed an expression-based calculation framework and used it to search for short-term volume price indicators in the China stock market.
- Researched and traded CTA and alternative data strategies in the market in China.
Automated Trading System for Cryptocurrency Market
I led two engineers in building the trading system from scratch. As the technical lead, I oversaw designing and building key components, including a workflow schedule framework and data pipelines running on it, a strategy management system, a web-based dashboard, an algorithmic trading module, and integrations of various components by designing interfaces and protocols.
R, Python, Java, SQL, C++, Scala, C#, Bash
RStudio Shiny, Akka, Spring, Flask, Windows PowerShell
API Development, REST APIs, Pandas, NumPy
Quantitative Research, ETL, Microservices, Unit Testing, Functional Programming, Object-oriented Design (OOD)
Linux, Docker, Apache Kafka, Amazon Web Services (AWS), RStudio
PostgreSQL, Data Pipelines, SQL Server 2014, Microsoft SQL Server, Redis, MongoDB
Data Visualization, Quantitative Finance, Data Architecture, Algorithmic Trading, Algorithmic Trading Analysis, Cryptocurrency, Prometheus, Data Engineering, Data Scraping, Back-end, Data Warehousing
Grafana, Apache Airflow, PyCharm, Git, NGINX, Docker Compose, Plotly, IntelliJ
Bachelor's Degree in Physics
University of Science and Technology of China - Hefei, China