As a member of non-research infrastructure group, working in a simulating and academic environment to implement and support mathematically smart and complex algorithmic trading systems using Java, C/C++ and many scripting languages.

This large-scale system provides pre-trade and post-trade low-latency (50ms/trade) credit checking for large volumes (700K/day) of bilateral and CCP cleared derivatives (IRS, CDS, FX, futures and options).

• Collected business requirements by collaborating with various teams, conducted system analysis and design.

• Responsible for architecture designs: high performance and fault-tolerance partitioning and replication; low-latency calculation by pooling (thread, connection), concurrent data structures and locking, caching, writing-behind and CMS GC; high-performance calculation using Gemfire parallel computing bus and Map-Reduce query;real-time messaging with MDB on MQ and WL clustered queues.

• Coded exposure true-up with CCPs, exposure calculations of IRS initial margin and FX NOP, support of trading strategies and pre-allocations.

Environment:

Core Java6, JMS/MQ7, Gemfire7/Infinispan5, WebLogic10, FpML5, SEF, CCP, RHEL4, Spring3, Oracle11g, Agile, Jenkins

Designed,implemented and maintained server-side Java, C/C++, Perl and PL/SQL programs to process reference data time-critical to the algorithmic trading of stocks, bonds, commodities and listed derivatives.

Environment:

Java SE6,Eliclips3,Spring2,Oracle11,MySQL5,CVS/GIT,Perl5,Boost,SQL Developer,RHE Linux4

• Yield Table Analytics at Morgan Stanley

Senior Core Java Engineer/Application Tuning Lead

The system provided complex yield table scenario analysis for portfolios of ABS, RMBS, CMBS, CLO and CDS.

Environment:

Java SE6,Eliclips3,Spring2,Sybase15,JAXB,MQ7,JMS,KDB+, JMock2,SOAP server,Agile,RHE Linux4,Perforce,F5,Exceed, JVisualVM,WPF

• Power Trading System at NextEra Energy

Senior Core Java Engineer/Application Tuning Lead/Project Lead

The system includes deal capture, scheduling, settlement and accounting modules.

Environment:

Oracle9i,Eliclips3,Java SE6,Java CylicBarrier and Fork-Join,Hibernate3,Spring2.5,JUnit,Agile,Swing,ISO,nMarket, Spring Security,JAX-WS,Nodal Exchange,QuickFix/J 1.4

• Mortgage Analytics at Calyon

C# Engineer / CrystalReport and ETL Designer

The system extracted data from such sources as Loan Performance, Bloomberg, Intex, 1010Data, Ofheo, S&P/Case-Shiller and Murex, transformed data and finally loaded into a Data warehouse. It provided the distressed assets group with such analytics reports as average loan liquidation timeline, projected pipeline loss curve, rate reset and CDO positions.

Environment:

SQL Server2005,VS2008,CrystalReports Server,T-SQL,C# 3.0, WCF,ADO.Net,Linq,nUnit,Agile / Scrum,Intex API,Bloomberg Server API3,Murex,SAS

• CT Image Reconstruction at Presbyterian Hospital

C / C++ / OpenCL Engineer

Processed large CT image data on GPGPU using data parallelism.

Took advantage of all CPU cores by running low-parallelism code and using task parallelism.

Environment:

Windows7,T7500,C2050, Intel OpenCL SDK for CPU, Nvidia SDK

Built an Online Transaction and Invoice Processing System which provides account receivable functions through fast lockbox, X9.37, ACH and credit processing; account payable functions through fast online invoice processing. The system employs multi-tiered architecture to support thousands of online users.

Environment:

Core Java 5, J2EE1.4, NIO, XML, Hibernate3, Apache2, Tomcat 5, JBoss4, WebLogic6/8.1, Oracle9i, Eclipse3, CVS, JPDA, Bugzilla, MyFaces, JProbe/PerformaSure, NIST RBac, Jimi, Acme GIF encoder, Solaris8, Red Hat Linux Enterprise 3, Windows XP, Ant, Cactus, EasyMock, HttpUnit, JMX HTML adapter and JConsole, JasperReports, JFreeChart, Site Scope, JCS, Big IP, load balancer and cluster.