Senior Software Engineer Resume Chicago, IL - Hire IT People

SUMMARY:

Software Engineer

TECHNICAL SKILLS:

Program Languages: C/C++/, Python, C#, SQL, UNIX shell script

Operating Systems: UNIX/Linux, Windows.

RDBMS: Sybase (Open Client, Open Server, RPC, BCP), Oracle, SQL Server.

Financial Derivatives: Option, Future, CDS, CDO, and more fixed income products.

Other Background: Strong numerical and analytic experiences.

WORKING EXPERIENCE:

Senior Software Engineer

Confidential, Chicago, IL

Responsibilities:

worked on the Trading Framework Confidential with python; Focused on the Confidential Cash Trading UI app BAM ; improved existing code and made the new features such as post trades process including amendment, allocation, forward rate composition and other process.
Production support: supported sales persons and traders to resolve the production issues.

Software Engineer

Confidential, Chicago, IL

Responsibilities:

Improved and implemented the high frequency trading (HFT) system simulation framework which supported both the live simulation and the back testing.
Developed and maintained the test scripts to test all kinds of gateways(stock, future, bond, currency, and option) and other infrastructure apps such as risk server, drop gateway and real time reconciliation service;
Focused on the option trading application test using my strong option pricing theory to test all brand new option trading applications such as E&A, SOD loader, Risk Edge Bridge.

Senior Developer

Confidential, Chicago, IL

Responsibilities:

Designed and implemented the Window’s ( Confidential )Services in C# to replace the existing Matlab version; The Services subscribed and listened to the market data, user specified topics, database notification and dynamically calculated the Confidential and publish/sent back the results to the clients for all relevant contracts on the events/requests.
Created ftp and grep utilities in Visual C++ for the daily Log analysis for the operation team;

Quantitative Analyst and Developer

Confidential, Milwaukee, WI

Responsibilities:

Designed and implemented pricing models for CDS (credit default swap), CDS options, and CDO (collateralized debt obligation) for a full life cycle.
Built the models for option market implied stock price distribution (lognormal, dual - lognormal and more), future dividends, and event move.
Significantly improved the option pricing model accuracy and performance especially for the Monte Carlo method.
Interfaced some GSL (GNU scientific) libraries to a C++ classes.
Provided model server production release and support; used CVS and SVN for source file version control.

Quantitative Analyst and Developer

Confidential, Chicago, IL

Responsibilities:

Designed and implemented the intraday price monitor and analyzer on the market dada from CME, Bloomberg, and Dow Jones; Used the Fix/Fast protocol;
Designed and implemented the real time multi-thread high frequency index arbitrage trading systems using extensively C/C++, Perl and socket programming skills; improved the trading system performance for futures (ES/SP, NQ/ND, etc) and other products.

Consultant

Confidential, Charlotte, NC

Responsibilities:

Developed C++ APIs wrapping Sybase Open Client Libraries to make the interface the same as that of JDBC.

Quantitative Analyst and Developer

Confidential, Chicago, IL

Responsibilities:

Improved and built Confidential, a multi-thread server on both Windows and UNIX platforms using C++/STL, Sybase (11 & 12), Confidential and TIBCO/Rendezvous; applied Black Scholes model for European options and trinomial tree model for American options and control variate techniques to improve pricing accuracy; provided Confidential, Gamma, Theta and more Greeks for traders to conduct hedging strategies; set and implemented unit tests and system integration tests; supported and communicated effectively with traders for daily production tasks.
Designed and developed C++ libraries of numerical algorithms (including linear algebraic systems) for Kalman filter to automatically adjust skew surface from real-time trading data.