Marina del Rey, California, United States
Data (especially in large quantities) is what will move the modern world forward-- let's talk about the hard problems ahead of us that will push the limits of hardware to process data as quickly as possible today so that we may enable the business needs of tomorrow
My second rotation started in January with the Equities Quantitative Research organization, and has lasted until my completion of the program in May, when I was placed on the team permanently. This role has forced me to wear multiple hats, with responsibilities ranging from onboarding new datasets for use by researchers, to working on core database infrastructure, to working on providing convenient distributed computing solutions to researchers to speed up research output. • Refactored core segments of an ETL framework used by quantitative researchers to make onboarding new datasets for research far quicker • Design and implement framework to quickly run large, distributed research projects with minimal boilerplate for researchers • Optimized market data libraries to provide 5x speedups on large ticker-data queries used in ETL transformation scripts • Rearchitecting existing systems to be testable and productionizing home-grown quantitative scripts to be more scalable and reliable The technologies I have primarily used in this role are Python, protobuf, grpc, sql, and Q.
I rotated within the Low Latency Options Market Making team within Citadel Securities for the first 15 weeks following training. Within this team, I worked to implement systems to fully integration test complex trading systems within our low latency order gateway. This role saw me performing work ranging from implementing binary exchange protocols (sqf, ugw, sail, box, etc.), to writing frameworks to rapidly test a wide matrix of test configurations, to writing libraries for orchestrating complex qa testing environments for FPGAs, to implementing full blown asynchronous, multithreaded exchange simulator to supplement our manual and error prone QA process for testing using exchange UAT servers. While on this team, I helped to start enforcing a culture of code reviews, and installed better software engineering practices such as the use of linters, autoformatters, and pushing to use more modern open source solutions. The technologies used in this role were primarily python, openssh, behave, pybind11, and pyro4.
I have completed the first year new grad FTAP program. In this program, I completed a rigorous 2 month academic training consisting of graduate classes in capital markets, statistics, investments, and financial derivatives.