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Senior
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0
jobs
Senior C++ and Python developer
Shenchao He
,
London, United Kingdom
Experience
Skills
I'm offering
Full stack developer specialized in C++ and Python, with quantitative knowledge in derivatives pricing.
Markets
United Kingdom
Language
English
Fluently
Spanish
Good
Chinese (Mandarin)
Fluently
Ready for
Ongoing relation / part-time
Available
My experience
2017 - ?
freelance
Quantitative Developer
Royal Bank of Canada Capital Market.
Contractor
Technical stack: C++ 17 (STL) cross-platform development on Windows Visual Studio 2017 and Linux RedHat
7.6, Python 2.7, Sqlite DB, IBM MQ, Solace, FIX, MxML and FpML, Murex 3.1
Business area: FX Derivatives
• Server-side C++ developer of in-house FX Options trading platform Cockpit
• Added pricing capability for new products Target Redemption Forward and Window Barrier
• Added Murex booking capability for Target Redemption Forward as FlexTrade
• Worked with quantitative analytics team to integrate new Stochastic Local Volatility model
• Migrated static data and trade booking servers as part of Murex 3.1 migration
• Created automated regression test suite for trade pricing and booking in Python 2.7
• Created RESTful web service for Request-For-Quote (RFQ) query and hit-miss analysis in Python Flask
• Designed and implemented database for Request-For-Quote and transaction data in Sqlite3
• Designed and Implemented proprietary xml to FpML transformation service for credit monitoring system
• Automated deployment and release processes by shell scripts incorporated in Jenkins
• Migrated build and development tool from GCC 4.8 to LLVM/Clang 5.0
• Provided 3rd line support for production issues
• Planned, coordinated and supported major releases
Technical stack: C++ 17 (STL) cross-platform development on Windows Visual Studio 2017 and Linux RedHat
7.6, Python 2.7, Sqlite DB, IBM MQ, Solace, FIX, MxML and FpML, Murex 3.1
Business area: FX Derivatives
• Server-side C++ developer of in-house FX Options trading platform Cockpit
• Added pricing capability for new products Target Redemption Forward and Window Barrier
• Added Murex booking capability for Target Redemption Forward as FlexTrade
• Worked with quantitative analytics team to integrate new Stochastic Local Volatility model
• Migrated static data and trade booking servers as part of Murex 3.1 migration
• Created automated regression test suite for trade pricing and booking in Python 2.7
• Created RESTful web service for Request-For-Quote (RFQ) query and hit-miss analysis in Python Flask
• Designed and implemented database for Request-For-Quote and transaction data in Sqlite3
• Designed and Implemented proprietary xml to FpML transformation service for credit monitoring system
• Automated deployment and release processes by shell scripts incorporated in Jenkins
• Migrated build and development tool from GCC 4.8 to LLVM/Clang 5.0
• Provided 3rd line support for production issues
• Planned, coordinated and supported major releases
Support, IBM MQ, Processes, GCC, Stl, Production, Booking, Monitoring, Web, Server, Development, Restful, Transformation, Sqlite, Python, Flask, Developer, Service, Deployment, Windows, Analytics, Test, Visual Studio, Jenkins, C, Database, XML, Linux
2015 - 2017
job
Quantitative Developer - Assistant Vice President
Barclays Capital.
Technical stack: C++ 11 (STL and Boost) cross-platform development on Windows Visual Studio 2017 and Linux RedHat 7, Java 8, Oracle DB 11g, XML & XSLT, Solace
Business area: FX Derivatives
• Server-side C++ developer of BARX FX Options trading platform
• Added pricing and trading capability for new product Variance and Volatility Swap
• Worked with quantitative analytics team to add new risk metrics Vonna and Volga
• Upgraded quantitative analytic model to provide better pricing and smoother volatility surface for Barrier and Touch options
• Implemented MIFID II pre-trade transparency requirements of Request-For-Quote systems
• Implemented real-time trading exposure monitoring tool
• Improved unit test coverage with target coverage of 95%
• Participated in the architecture design and technical meetings as technical lead
• Provided 3rd line support for production issues
• Planned, coordinated and supported major releases
Business area: FX Derivatives
• Server-side C++ developer of BARX FX Options trading platform
• Added pricing and trading capability for new product Variance and Volatility Swap
• Worked with quantitative analytics team to add new risk metrics Vonna and Volga
• Upgraded quantitative analytic model to provide better pricing and smoother volatility surface for Barrier and Touch options
• Implemented MIFID II pre-trade transparency requirements of Request-For-Quote systems
• Implemented real-time trading exposure monitoring tool
• Improved unit test coverage with target coverage of 95%
• Participated in the architecture design and technical meetings as technical lead
• Provided 3rd line support for production issues
• Planned, coordinated and supported major releases
Architecture, President, MiFID, Tech lead, Stl, Production, Monitoring, Server, Development, XSLT, Support, Developer, Design, Windows, Unit test, Analytics, Test, Visual Studio, C, XML, Oracle, Linux, Java
2014 - 2015
job
Senior eCommerce Developer
Credit Agricole CIB.
Technical stack: C++11 (STL and Boost) on Linux, C# .NET 4.5, SQL server, KDB+, Solace, FIX
Business area: FX Spot & Derivatives
• Server-side C++ developer of in-house eCommerce trading platform Jetstream
• Designed and built core libraries with extensive C++11 features and Boost Asio library for FX spot
pricingengine with strong emphasis on low-latency and high-throughput
• Built market access gateway to FX ECNs and Single-dealer platforms for market data and trading
• Maintained and enhanced existing Jetstream components in C# .NET 4.5
• Worked together with different development team leads on the wholesale review of existing software
development lifecycle and design of cross-asset eTrading toolkit to boost performance, quality and scalability
Business area: FX Spot & Derivatives
• Server-side C++ developer of in-house eCommerce trading platform Jetstream
• Designed and built core libraries with extensive C++11 features and Boost Asio library for FX spot
pricingengine with strong emphasis on low-latency and high-throughput
• Built market access gateway to FX ECNs and Single-dealer platforms for market data and trading
• Maintained and enhanced existing Jetstream components in C# .NET 4.5
• Worked together with different development team leads on the wholesale review of existing software
development lifecycle and design of cross-asset eTrading toolkit to boost performance, quality and scalability
Design, Sql, Linux, SQL Server, C++, Ecommerce, C, Net, Developer, Development, Software, Server, Scalability, Stl, Wholesale, Just 4.5
My education
Imperial College London
Masters, Information Systems Engineering
Masters, Information Systems Engineering
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