The primary quant on Sun's FX market making desk, responsible for developing & evaluating trading signals using various machine learning techniques, along with profiling flow, and optimizing execution parameters for the core market making model
Created and operated a number of profitable suites of automated trading models on the FX Cash and CME Metals Futures markets. These included high frequency single instrument market making (thousands of trades per day), as well as medium frequency portfolio trades (tens of trades per day). Achieved Sharpe Ratios in the mid 20s. I left Tydall at the end of 2013 to pursue my own startup ideas, and founded InPhaseBlue LLC
I was the first registered employee of Celeritas Markets LLP, a high frequency FX proprietary trading startup, originally based in London, then relocated to the Chicago office in late 2009. While there I worked on all aspects of the system, including market connectivity components (EBS, Reuters, CME, Cnx, FIX), core engine enhancements & optimizations, network latency reduction, indicator & strategy implementation, and order manager enhancements.
From 2011, I was primarily focused on developing my own FX and CME Futures trading strategies. I built a C++ backtest framework, and derived, developed, and backtested a number of high frequency trading strategies, however had limited opportunity for full production runs before the company folded.
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