Projects

Below is a selection of representative projects completed

Trading and Backtesting Engine

Implemented a trading and back testing engine. Supports, Futures, Stocks, Options and Forex. Can simulate complex order strategies such as trailing stops and bracket orders. Is able to execute trading rules written in Python. Handles futures expiration and rollover date logic.

Datafeed

Streams real-time tick data to feed trading systems and analytics (via channels—other threads can, in turn, read from the channels and respond to a gRPC request, publish to Kafka, etc…) and also downloads historical contract data to a database for back testing purposes and to seed history at the beginning of a trading session. Handles pacing limits and is able to figure out the current front-month futures contract based on contract rollover rules.

Potential Peak Exposure

A Monte Carlo simulation that estimates worst case monthly counter-party credit exposure. Runs nightly, and is deployed to a Data Synapse grid which allowed us to distribute the calculation across both CPU’s and machines (parallel processing). GigaSpaces was used for cached data.

Exposure Detail

A Counterparty credit risk analysis application that allows credit analysts to view detailed Counterparty risk broken out by commodities and instruments, set risk limits, view collateral, guarantees, margin, and position information

Esco System

An application to support our Esco business (Energy Services Companies). Keeps track of various credit facilities that we provide on behalf of small energy marketers such as working capital, guarantees, credit sleeves, letters of credit and calculates interest on these instruments.

Trade Store

A server side application that consumes trade information from various trading systems, calculates positions, transforms the data into a common format, and publishes the transformed data to subscribers. Run as a Windows service. Clients subscribe to data from this service via an in-house messaging system.

PnL Calculator

A server side application that consumes Trade Store and Pricing data, calculates PnL and publishes the data to subscribers. Run as a Windows service. Clients subscribe to data from this service via an in-house messaging system

Archer Data Feed

A night cycle service that polls directories for updated xml data from our in-house legacy Archer system, parses the xml (JAXB) and populates flat staging tables in an Oracle database. Stored procedures are called which then populate normalized tables from the staged data.

Business Continuity Services

Created a normalized database schema for Business Continuity operational risk applications. Created the OBIEE repository and catalog for producing reports, as well as stored procedures for preprocessing summary level data.

IT Resiliency

Created a normalized database schema for IT Resiliency operational risk applications. Created the OBIEE repository and catalog for producing reports, as well as stored procedures for preprocessing summary level data.

CIS Connectivity

RESTful Micro services for managing credentials. Services and APIs for managing SSH Keys, Passwords, JWT’s, and SSL Certificates. Technologies were Python, Flask, SqlAlchemy, and PostgreSQL

Created normalized database schemas for the above microservices

Used Kafka to communicate with external systems and services. Updates posted via the RESTful services would be published to a Kafka topic to notify external systems of changes.

Used a Redis cache to speed up access to credentials. Updates to the database and cache were transactional

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