Resume

Current Contact

Objective

To lead an engaging software development team to develop scalable and flexible solutions with emphasis in application development and financial engineering.

Summary of Qualification

Experienced in managing, processing, and analyzing large-scale financial data.
Experienced in object-oriented enterprise software design, including asynchronous software architectures, micro-services, and web-based micro-frontend strategies.
Experienced in planning and leading developers to implement software solutions among portfolio managers, data analysts, and quantitative researchers.

Technology

Programming Languages

15+ years Python
5+ years C++
2+ years React/Typescript
4+ years C#
5+ years Javascript/CSS
5+ years Java Numerical, Web, Networking, and Database

Numerical, Web, Networking, and Database

Dask, Pandas, Polars, NumPy, SciPy
Node.js, React, Typescript
Redis, MongoDB, MSSQL, HDF5, and PostgreSQL
GraphQL, GRPC, ZMQ, TIBCO

GUI

Experienced in building cross-platform GUI applications using Python and Java.

Work Experience

(January 2021 - now) Global Credit Quantitative Engineering, Citadel LLC, Chicago, IL

Senior Software Developer/Tech Lead

Redesigned and replaced a C++ pricing application with a web-based framework using React, Typescript, and GraphQL. Worked on both front-end and back-end elements that allowed analysts and portfolio managers to perform various risk scenarios on convertible bonds. Interfaced with data analysts, QR team, and portfolio managers to continuously streamline their workflows. Helped QR deliver their model changes more quickly to the front office teams.
Worked with Equity Volatility Desk’s QD/portfolio managers and developed various front ends applications for real-time volatility and dividend assumptions. This allows each user who held different views can affect the vol pricing in their own way. The overridden parameters would feed into the backend pricing engine in real time.
Using a micro-UI strategy, developed both the frontend and backend of an engine that allowed Credit traders to get notifications based on their custom criteria. Combining real-time metrics from different markets with various composable expressions, PMs could effectively express their views and had the ability to quickly take advantage of certain market dislocation opportunities.
Coordinated and completed the effort to migrate 300+ mission-critical ETL/Modeling workflows to use Dask in Kubernetes. This work spans across 6 QR/QD teams where some jobs could utilize hundreds of cores. Developed best practices, helped resolved various of stability issues, and assisted various stakeholders to rewrite their workflow more efficiently.

(July 2007 - 2021) Convertible Bond Desk, Citadel Investment Group, Chicago, IL

Senior Software Developer/Financial Engineer/Tech Lead

Developed a standardized framework for running production tasks and versioning data for the Convertible Bond Desk.
Developed a general library for storing, indexing, and retrieving large historical data sets in HDF5.
Developed an easy-to-use asynchronous framework designed to make writing large-scale workflow easier for Quantitative Research team. More than 300+ critical ETL/pricing/risk jobs were moved to run on this framework. Various tasks reduced their runtime by more than 10-fold.
Created a cross-platform visualization application to analyze time series data for the QR team and portfolio managers. Other members of the Converts team have used this framework to develop views for managing and explaining risk of the portfolio, aggregating large cross-sectional data sets, backtesting CDS trading strategies, and visualizing historical volatility surfaces.
Developed an in-memory data grid viewer that allowed QR and QD teams to sort and auto-filter vary large data tables with more than a million rows interactively. Both the IT and QR team uses this grid to quickly inspect and filter large financial data sets.
Converted the 1 million+ lines of python code from version 2 to be compatible with version 3.
Using models developed by the QR team, developed a scalable implied volatility and variance swap pricing engine that feeds real-time volatility data to the trading desk.
Developed a real-time volatility visualization application for displaying intraday volatility data.
Managed and processed intraday CDS quotes from various brokers. Created view for the trading desk to compare real-time model and market prices.
Mentored and managed junior members of the team who were in the Financial Technology Associate Program.

(July 2005 - July 2007) Financial Technology Associate Program, Citadel Investment Group, Chicago, IL

Financial Technology Associate

Worked with the statistical arbitrage team to analyze alpha signal from publicly available data. Simulated performance of hypothetical portfolios.
Created a pricing client and a web-based risk report for the mortgage-backed security group.
Created a framework in Python to extracted modeling data for the convertible bond desk.
Designed and implemented a web application to display pricing results and volatility data.

(July 2000 - July 2003) Server Management Team, Sendmail Inc., Emeryville, CA

Software Engineer / Project Lead

Maintained, supported, documented, and ported a web-based management application that could manage multiple Mail Transfer Agents and Mail Stores securely on heterogeneous platforms (Windows, RedHat Linux, IBM S/390 Linux, AIX, and Solaris).
Implemented a GUI framework that supports internationalization, easy skinning and rebranding using XML/XSL template transformation for style change, generated navigation, LDAP, Java Servlet and Apache Turbine architecture.
Leaded a team that created an application that enables administrators to manage mail user accounts through LDAP provisioning.
Created an application that enables email user to manipulate their server-side mail filters in the Sieve filtering language through an easy-to-use web-based GUI.

Teaching Experience

(Aug. 2003 - May 2004) University of Illinois at Urbana-Champaign, IL

Teaching Assistant/Head TA for CS 105 (Introduction to Computing)

Responsible for teaching two lab sections with around 30 students each week on the subject of SQL, Excel, and Visual Basic for Application.
Received an Outstanding Teaching Assistant Award in the Computer Science Department

Education

(2003 - 2005) University of Illinois at Urbana-Champaign, Urbana/Champaign, IL

M.S. in Computer Science. (GPA 3.86 / 4.0)
Thesis: Intelligent Access To Public Email Conversations

(1996 - 2000) University of California at Berkeley, Berkeley, CA

B.A. in Computer Science. Graduated with High Honors (GPA 3.80 / 4.0)

Other Skills, Awards, and Interests

Fluent in Mandarin and Cantonese dialect
Member of the UPE (UC Berkeley’s Computer Science Honor Society), honor standing since Freshman year, member of the Golden Key Society
Certificate of Achievement from the Group for User Interface Research (University of California at Berkeley)

Work Status

U.S. Citizen

References

Will be provided upon request.