Director Engineering Lead - Equities

PUBLIC

AADITYA MOGRE

*********@*****.*** • +**-*3515583 • Singapore PR

PROFILE

- Business outcome focused product technologist with over 18 years of experience in designing and developing trading and risk management platforms for retail business

- Started career with 8 years foundational stint with National Stock Exchange of India - largest derivatives exchange in the world by volume - developing multi-market trading front end of the exchange NEAT+ for Equity (CM) and Equity derivatives (F&O) segments

- Currently at Standard Chartered Bank Singapore spearheading design and delivery of Cash Equity product for retail wealth and private banking segments for global SCB entities (Retail: HK, SG, AE, MY, PvB: HK, SG, JE, SW)

- Holder of Certificate in Quantitative Finance 2024 with specialization in building systematic algo trading BOT, time series analysis, real-time market data processing and machine learning implementations in python EXPERIENCE

CERTIFICATE in QUANTITATIVE FINANCE (CQF) 2024

Algo Trading BOT – Medium frequency mean reversion and trend following in python

• Consumed tick level data from Binance and utilized OMS APIs for order and position management for Bitcoin denominated in USD - BTCUSDT

• Instantiated containerized TimeScaleDB on Docker desktop to generate K-lines of desired timeframes from tick data

• Detected time series mean reversion using Augmented Dickey Fuller stationarity test for 1 min bars

• Developed custom packages to compute technical indicators and combined them to generate buy-sell-hold signals

• Employed backtesting.py for event driven back-testing to assess performance & to finalize strategy parameters Equities timeseries up/down trend classification using Support Vector Machine in python

• Completed feature engineering with generation of features from timeseries, detected and addressed multicollinearity across features, performed feature scaling

• Implemented forward chaining cross validation for timeseries while maintaining causality

• Utilized Optuna package to rotate SVM kernel and to achieve hyperparameter tuning for margin width and tolerance

• Measured model performance viz. train vs test accuracy, confusion matrix, AUC-ROC etc. STANDARD CHARTERED BANK - Singapore 2016 - Present Director – Business Solution Engineering - Group Wealth Equities Private Banking DIY Trading platform – HK, SG, JE 2022 - Present

• Beta launch - notional USD $700+ million trading across 13 global exchanges in 4 months by chosen beta clients

• Chalked out a detailed MVP based rollout plan to prioritize mandatory features and functions considering cross-team dependencies

• Designed first in-house standalone real-time purchasing power engine to maintain and validate cash balance, available lending limit and unsettled sell benefit components for each order against core banking, back office and trading platform

• Designed real-time pre-trade compliance module to assess client X security suitability with a central suitability engine

• Introduced mid-day settlement process for platforms in APAC time zone to adhere to US T+1 settlement regime

• Defined mandate-based account structures to facilitate multi-portfolio setup allowing DIY trading in PvB On-cloud multi-entity trading platform– SG, AE, MY 2020 - 2022

• Defined ‘platform 2 product’ strategy by functionally designing (vendor OMS-RMS-EMS- + SCB UI + gateway API layer) as a bundle to be offered to different SCB entities with gateway layer communicating with in-country back-office and core banking – this allows SCB to launch Equities as a product in new countries with significantly lower cost and time to market and greater flexibility

• Designed the end to end purchasing power solution with enhanced fund blocking on core banking for vendor risk management

• Designed and executed big bang migration of SG clients while catering to security master migration to new provider impacting 21.5 million records in a span of 6 hours with total reconciliation and 0 unexpected breaks

• Managed vendor and in-house deliveries and devised dependency-based MVP milestones across various entities for the entire project duration

Hong Kong Online Equities 2.0 platform 2018 - 2019 PUBLIC

• Conceptualized phased migration of 750k+ clients with back office and core banking platforms supporting entire trade life cycle on legacy and new trading platforms simultaneously for more than 1 year

• Led the onboarding of LSEG Refinitiv as a market data vendor for reference and market data with DSE and DSS products

• Designed corporate action processes to automate urgent US split and reverse split events Singapore and UAE Cash Equities platform November 2016 - 2017

• Designed information flows with back-office settlement system to ensure timely settlement and updates of booked transactions and holdings to the trading platform

• Onboarded brokers on FIX 4.1 for 2 SCB entities and 15 global exchanges

• Performed analysis and drafted security master requirements for market data and OMS vendors

• Contributed to Purchasing Power solution design for vendor RMS team CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK - Singapore 2015 – November 2016 Lead Business Analyst – Counterparty Risk Reporting Solution

• Managed Basel III – BCBS239 reporting project for Finance and Risk process re-alignment

• Designed data warehouse + BI strategy to consolidate institutional counterparties, internal risk ratings and external risk ratings data

SINGAPORE EXCHANGE (MBA intern) – Singapore 2014

• Designed operational flows to incorporate automated collateral management tool TCMS (Clearstream) into SGX Post Trade

NATIONAL STOCK EXCHANGE OF INDIA – Mumbai, India 2006 - 2013 Project Leader (2013) – Market risk, Equity, Equity derivatives

• Maintained SPAN-CME based market risk management system to calculate and validate portfolio level margin requirements using loss arrays method at real-time to trigger margin calls and close out states

• On-boarding lead and mentor to new joiners in risk management and trading application teams

• Led a team of Usability Experts to survey and interview 400 trading members of NSE chosen from varied demographics; chalked out a roadmap for development of trading applications and presented to the SteerCo Senior system analyst (2010 – 2013)

• Spearheaded performance optimization activity for equity and equity derivatives trading application on Windows – socket to display latency for market data reduced to 6 microseconds over 99%ile, achieved 70% reduction in CPU utilization

• Designed and developed Next-Gen trading product by segregating core business logic and UI journeys in separately deliverable DLLs

• Led technology build for ‘Charts and Technical Indicators’ for FXD daily and historical market data Trainee/System Analyst (2006 – 2010)

• Designed and developed FX Derivatives trading platform in time to market of 65 days, this segment has average daily turnover of more than US$2B

• Re-designed position P/L computation of MTM for spot, futures and options instruments SKILLS and EXPERTISE

Equities market and trade flows

• Equities and similar instruments listed on global exchanges from APAC, EU and US regions

• Order and execution management (Day/GTD/GTC/FOK/FAK, Limit/Market/Stop loss/Auto-trailing SL, VWAP/TWAP/Iceberg)

• Transaction cost computation – consideration, brokerage, commission, exchange fees, taxes etc.

• Broker and exchange communication

o FIX & NNF protocols

o Broker ROE and DOR/SOR/DSA agreements

• Corporate actions – custodian SWIFT flows and stock holdings & cash updates Market data and time series

• Reference and market data providers

o Enterprise - LSEG-TR/Refinitiv, Bloomberg

o Research and test – Yahoo Finance, Alpaca, Finnhub, OpenBB, Polygon

• Streaming vs snapshot data models, real-time vs delayed market data, day end OHLCV candles for LFT strategies PUBLIC

• Time series stationarity assessment, mean reversion, trend following

• Tick-by-tick market data to build order book, price ladders to run MFT and HFT strategies

• Technical indicators (Z-score, EWMA, Bollinger bands, RSI, ADX, MACD) for time series using first principles Risk management

• Asset holdings maintenance – settled, unsettled, corporate actions, asset transfers

• Cash/margin maintenance

• Purchasing power with cash balance and settlement date based unsettled sell benefit computation

• Portfolio margin computation using worst case predicted using implied volatility risk arrays under CME SPAN methodology

Machine learning

• Linear, Lasso, Ridge for regression, Logistic regression

• SVM classification with multiple kernels and hyperparameter tuning

• Ensemble technique to merge classification output across multiple engines

• Performance measurement using GD minimized RMS error for regression and confusion matrix & AUC-ROC for classification

Backtesting and evaluation of algo strategy

• Event based backtesting – backtesting.py

• Vectorized backtesting for end period – vectorBT

• Evaluation of systematic trading strategy max drawdown%, strategy performance against buy and hold, Equity, Exposure time, number of trades, Sharpe, Sortino, Calmar ratios, Win rate %

• Design backtesting pipeline with feedback loop to evaluate performance and refine strategies System design and application architecture

• Functional architecture – Real-time and batch-based data flows to achieve business outcomes

• Data principles - Maintain data sanctity and accuracy across data pipeline and adhere to golden source principles

• Modularized design with reusable components

• API based microservices reducing widespread impact during change management Tech stack

• Python – pandas, numpy, matplotlib and seaborne for visualization, websockets for streaming, psycopg2 for db connectivity, linalg for matrix computation

• Python ML – SKLearn with pipeline, preprocessing & metrics, Optuna for hyperparameter tuning, Ensemble classifiers

• C, C++ (11/14), STL, VC++ MFC

• Oracle SQL, TimeScaleDB using PostgreSQL

• RHEL – bash scripting

• Source control using Git, SVN, VSS

• Multithreading, Networking, Memory management, Data structures and algorithms

• Waterfall and agile methodologies

• MS Office suite

EDUCATION/CERTIFICATION

Certificate in Quantitative Finance (CQF) with final score of 81% November 2024 Courses: Algo Trading, Machine learning, Monte Carlo - Options Pricing, Time series AWS Certified Cloud Practitioner March 2023

GARP - Financial Risk Management (FRM) – Part 1 with top quartile in all sections November 2016 SINGAPORE MANAGEMENT UNIVERSITY - MBA with Magna cum Laude honor December 2014 Courses: Contemporary Banking, Investment Banking, M&A, Financial engineering etc. UNIVERSITY OF MUMBAI - Bachelor of Engineering in Computer Science with first class June 2006

Contact this candidate