Yi-Heng Sun

• Built a team with 10 members from scratch.
• Developed a pair-trading strategy and traded in CME, NYMEX, COMEX, EUREX, EURONEXT, HKEX, OSE, and ICE.
• Built a company-wide distributed trading system from scratch, including trading servers, market data servers, paper trading servers, backend servers (P&L accounting system and routers for frontends), databases, AWS networking, VPN, and frontend UI.
• Connected to brokers: Edelweiss, Interactive Brokers, Cowen, Marex, with FIX protocol, binary gateway, and FlexTrader.

Trading:

• Created and implemented high-frequency and mid-frequency trading strategies, and alpha signals.
• Developed machine learning algorithms to fit trading models (markout selection, feature selection, etc.).
• Designed simulation algorithms and reconciled production and simulation results (market data, strategy behavior, alpha values, etc.).

Infrastructure:

• Developed websocket and HTTP (RESTful) connectivity with exchanges (boost).
• Developed shared memory/TCP publisher/reader framework.
• Developed lock-free SPMC shared memory queue.
• Developed multi-threading order routing/data routing system.
• Configured the operating system to optimize the system performance (LLC, NUMA, etc.).
• GitLab CI unit test pipelines and docker image management.

• Implemented trading strategies.
• Conducted alpha signals research.
• Reconciled production and simulation results.
• Implemented workflows of model training and model selection algorithms.
• Developed company-wise profit and loss system.

• Developed trading signals of Taiwan Index for TXO.
• Developed trading strategies for TXO.
• Obtained trading license from SECURITIES & FUTURES INSTITUTION, Taiwan.

• Implemented and designed statistical linear dimension reduction algorithms(LDA, NDA, ...etc)
• Implemented and designed tensor data dimension reduction algorithms
• Designed face recognition algorithm(master degree thesis)
• Convolutional neural network
• Reinforcement Learning.