Software Developer C + + and Java, Linux, Unix, Windows, with a focus in the financial business¹

Supporting the development team during development of the EUREX T7 Core Trading Plattform for releases 4 and 5.

• Memory Leak Analysis of all components of the EUREX T7 trading platform
• Static source code analysis of the EUREX T7 source code using SonarQube(TM)
• Review of the EUREX T7 source code
• Preparation and test of application database migrations
• Software test, development of test tools for a smoke test suite
• Documentation

• Preparation of application rollouts
• Migration of an application database from Oracle 10 to Oracle 11
• Bringing new hardware into service
• Definition of firewall rules
• Continuous Integration with Jenkins
• Preparation of Solaris (pkg*) and RedHat Package Manager (RPM) installation packages

Within the scope of the development of a new software platform for the bank's market making business solely responsible for the design and implementation of a venue independent market data protocol as well as related client and server components.

The following objectives were defined for the project:

• Venue independent application programmimg interface (API) supporting the subscription of L1 and L2 (orderbook depth) market data, market and instrument status, for all required instrument types (equity, future, FX, Index, etc.)
• Possibility to transparently switch open subscriptions from one market data source to another without affecting applications
• Live Control (detection of slow or down market data sources)
• Facility to record and replay market data for quantitative analysis
• Connecting service providers Quanthouse, Reuters, NEONET (optional), XETRA and EUREX
• Single access point for all market data sources
• High degree of configurability

Evaluation of the Open Source APIs OpenMAMA (Open Middleware Agnostic Messaging API, an API that interfaces with a variety of message oriented middleware systems) as well as OpenMAMDA (Open Middleware Agnostic Market Data API), a framework running on top of OpenMAMA which provides a market data specific API abstracting quotes, trades, order books, etc.

Evaluation of the trading platform TBricks, in particular the usability of the platform's C++ plugin API wrt. the business requirements

Development of a C++ persistence framework enabling C++ developers to easily access SQL databases from their C++ code. Implementation of an Object Relational Mapping (ORM) including C++ code generator. Connection to SQL databases is realised via the ODBC API. Primary objective was to get the same functionality available for the teams Java development environment and thus make C++ and Java applications more compatible in terms of database access.

• Code generation of DB schema definitions
• Code generation of C++ classes for database objects
• Unified C++ and Java database access technology

Extension of an existing ETF market making application by a hedge mechanism. Goal was to even up risk introduced by ETF trades. The ETF creation redemption was postponed until market close.

Development of a bond trading platform. Responsible connecting different bond markets via iCubic's iConnect system. The project was put on hold in August, 2008, due to the upcoming financial crisis and never continued again.

Development of a low latency market making application to quote very liquid ETF products on Deutsche Börse's XETRA system. Focal point were ETF products for the stock indices (german) DAX and EuroSTOXX50. Responsible for the design an implementation of an application server for the trading GUIs and the quote engines. The application was the banks first low latency quote application and was used to invent the first ETF products of a Dekabank's subsidiary.

Development of an Algorithmic Trading Plattfrom (ATP). Within this project, i was primarily responsible for the design and implementation of a business database for Algorithmic Trading and ETF market making applications. Automatic update of reference data such as instrument universe, trading hours, tick size rules, etc. Also responsible for connecting ATP to the service provider NEONET's market data service supplying L1 and L2 market data to the ATP via a publish / subscribe mechanism.

• Automatised daily update of business reference data
• Supplied ATP with realtime market data
• Involved in the invention of the bank's first Algorithmic Trading facility

Development of an application collecting trade confirmations from different sources, such as exchange adapters or other systems allowing access to market venues, e.g. Realtime Trading Desktop (RTD). The received trade confirmations are transformed into a normalised (venue independent) format and recorded into files for later recovery. The normalised data is published via a multicast protocol. Implementation of a recovery mechanism to allow subscribing applications to fill in gaps occurring in the multicast data stream.

• Single access point for trade confirmations
• Normalisation of trade confirmations over different venues

Development of an algrithm trading platform. The new application enabled traders to deal with a huge amount of trades a day by allowing them to create arbitrary portfolio definitions. The portfolios were being traded automatically by the application using a set of different trading strategies available in the system, e.g. TWAP, VWAP, ICEBERG etc.

• Design and implementation of the application's database
• Automatic setup and daily update of reference data including instrument universe, trading hours, tick rules, exchanges, segments, etc.