- London, GB
- £15 /hr
- Available now
* Hedge fund industry experience - Trading Strategy implementation, front desk, middle office, back office development experience, Risk development (sector exposures reporting,more...* Hedge fund industry experience - Trading Strategy implementation, front desk, middle office, back office development experience, Risk development (sector exposures reporting, thematic risk) , P/L, Correlation calculator, Simulation and backtesting, Bloomberg API, NAV calculations, Day to Day Reconciliation, Month End Reconciliation, good experience dealing with multiple brokers, EOD reports.
* Financial Markets Software Engineer with Client and Server development experience.
* Good application design skills -- OO/OOP/UML
* Full product life cycle experience - design, development, testing, deployment and customer support post delivery.
Area Covered: London
Work Experience Summary: Trafelet Delta Funds, London, UK.
October 2007 • December 2008
Trafelet is a Long / Short Equity hedge fund, based in London and New York.
Portfolio Management System (PMS): work focused on going development and support of PMS: Exposure calculations, P/L calculation, end of day report generation.
Risk Tools: Developed Security Categorisation tool, which is used to associate bespoke category (Trafelet specific) to securities and produce exposure reports, Correlation calculator for basket of stocks. CDS graphs generation for list of stocks.
Trading round a position is a .NET / Bloomberg signal generation application which produces buy/sell signals based on historical and real time last prices, 90 Day Volatility, bet size of position. The buy/sell signals can be overridden with trading prices also calculate real time P/L.
Quantiva Capital Limited, London, UK.
November 2006 • October 2007
Quantiva Capital is a quantitative start-up hedge fund that uses pattern recognition algorithms to generate trading signals on equities.
Front desk development focused on continual development of Quantiva Paris application that provides trading signals (e.g. long/short/confirm/wait for reconfirm) based on historical prices, volumes, trend, local maxima/minima of prices and momentum rules. I have also evolved the signal generator to a shorter term overlay strategy, which works in parallel with the initial strategy; re-engineered the structure of the database. I have also extended the Quantiva Price application and database schema to cater for adding and tracking prices/volumes for options and futures using the Bloomberg .NET API; tracked dividend adjusted returns on a particular stock in the position tool and extended black box simulation with rules of existing trades.
Back office/Operations development focused on developing code base for position/activity reconciliation and cash settlement for equities/options; adding flexible tax rates on dividends; adjusting NAV calculation to cater for options; doing month end reconciliation; dealing with redemptions of shares, management and performance fees, and accrued payments.
QuantMetrics Capital Management, London, UK.
March 2005 • September 2006
QuantMetrics was a start-up hedge fund specialising in short-term high frequency trading in futures and equities, where I played lead role in software development. During my time, the AUM went from 23m USD in two accounts to 150m USD in 7 different managed accounts, trading through two execution brokers. I was critical for managing operations.
Back office development focused on developing a system for reconciling position and activity of futures and equities across a number of different managed accounts residing with a number of different clearing brokers. I built the system in C#/ADO.NET and SQL Server 2000 and developed a trade-allocation system that took a blotter of trades from the trading systems (Trading Technology and Smart Connect), sent trade files to the execution brokers and booked the trades.
Front desk development was concerned with developing a position tool for monitoring positions on multiple accounts and booking of trades. I also developed a database system for storing tick data that the traders could query for analysis and to do transformations. The system was developed using ADO.NET, SQL Server 2000 and C#.
Seventh Wave Systems, Ltd, London, UK.
March 2003 • November 2004.
Seventh Wave Systems was an IT start-up company that develops an Equity Research distribution and management platform called ReachIS.
Client Design and Development
Worked within tech team in designing and developing network level code based on XMPP in C#.NET; GUI design and implementation using Winforms, event mechanism, MVC Pattern, Win32 programming; developing a parser for RIXML data and transforming it at run-time using XSL style sheets; worked with Scalable Vector Graphics; Prototyped ReachIS help in .NET HTML Help. I also developed the client’s cache manger.
Server Side Design and Development
I played an active role in architectural design of the server and, under the guidance of the CTO, I was in a team of two who carried out design and implementation of the server in C#, involving multithreading, database design, ADO.NET, SQL (Oracle 9i). I also co-developed algorithms to fix broken RIXML documents, implemented SASL Digest MD5 for user authentication and implemented tunnelling of the XMPP protocol through HTTP 1.0.
Education Summary: MSc in Operational Research, London School of Economics, London, UK.
October 2001 • September 2002
Core Courses: Statistics, Stochastic Processes, Simulation, Mathematical Programming, Combinatorial Optimisation, Dynamic Processes & Game Theory.
MSc in Computing, University of Leeds, Leeds, UK
September 2000 • September 2001
Core Courses: Correctness & Verification, Image Processing & Computer Vision, Data Visualisation, Computing & Multimedia Networks.
BEng (Hons) in Computing (2.1).
Imperial College of Science, Technology and Medicine, London, UK.
October 1997 • June 2000
Core Courses: Databases, Distributed Systems, Concurrent Programming, Parallel Programming, Object Oriented Programming, Software Engineering (Object Oriented Design, UML and Formal Specification).
Software Engineer, C#.NET, Sql Server, Hedge Funds