Work & Experience

Focusing on owning and enhancing execution algorithms for global clients across more than 100 global venues.

• Implemented advanced machine learning techniques to optimize global execution trading algorithms (VWAP, POV, Liquidity Seeking), enhancing trading efficiency for $1 billion in daily trading volume.
• Conducted innovative research on order book resiliency using large limit order book events data, employing Python and q/kdb+ to improve trading system slippage by 50%.
• Developed the first spread capture algorithm, overcoming challenges to balance passive and aggressive trading strategies, resulting in performance exceeding benchmarks by more than half of the bid-ask spread on average.
• Improved smart order routing (SOR) analytics to identify pitfalls and improve order routing mechanism of platform across US and Europe trading venues.
• Streamlined technology and development processes, eliminating redundancies and enhancing efficiency, while consistently improving trading systems through comprehensive TCA reports.

High-frequency options market making in Indian Capital Markets.

• Monitored real-time market data and executed trades on an HFT options market-making platform, managing over 500 option instruments with deployed capital exceeding USD 500,000.
• Led the exploration of the Brazilian options market, mentoring a junior trader and developing a competitive Transaction Cost Analysis (TCA) framework.
• Redesigned the order routing mechanism for the Brazilian market, transforming trading operations from a loss-making position to generating small but consistent daily profits.
• Conducted regular analysis of tick-by-tick data using Python to study volatility surface dynamics, enhancing trading system performance.

Focus on risk management and trading solutions for Fixed Income.

• Supported a global team of over 20 traders and salespeople as the sole quantitative analyst, leading a team with one graduate quant for fixed income trading strategies.
• Researched and backtested price action-based mid-frequency trading strategies on short-term interest rate futures.
• Boosted trading desk efficiency by automating leverage calculations, reducing processing time from 5 minutes per trade to seconds, using Python and Tableau.
• Developed innovative trading tools and analytics that enhanced decision-making capabilities and strategic planning for the trading team.

Developing high/mid-frequency execution strategies for Indian Cash Equities.

• Collaborated with traders and tech teams to develop execution strategies, leading to the creation and enhancement of VWAP, POV, IS, and Rollover algorithms processing $100M in daily notional value.
• Developed and implemented a post-trade Transaction Cost Analysis (TCA) system, enabling the identification and rectification of algorithmic performance issues.
• Leveraged principal component analysis to enhance VWAP algorithm performance by 5 basis points, significantly boosting trading efficiency.