Quantitative developer specializing in derivatives trading logic, risk engines, margining, and exchange workflows. 14+ years building mission-critical trading systems in FX, fixed income, crypto and AMM/CLOB exchanges.
CapitaLab is a quantitative financial technology group within BGC Partners, responsible for optimising portfolios of financial derivatives for large investment banks and buy-side clients.
As part of the quant team I was responsible for the architecture, performance and scalability of the portfolio optimisation engine.
Delivered exponential performance gains in the portfolio compression engine: from 2h30 to 3 mins through algorithmic complexity reduction and better use of data structures.
Halved the memory used by the risk calculation engine by fixing memory leaks and improving the multi-processing implementation.
Improved the test framework: 3x test cases for 25% of run time through better parallelisation.
Optimisation of SQL queries joining tables with billions of lines through indexing.
Main technologies: Python, SQL Server, F#, multi-processing.
