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resume.md

Luiz Siqueira

Skills and Experience

  • Programming Languages and Frameworks: C++20, CMake, Qt, Python, C#.
  • Trading Algorithms: Designing and writing automated algorithms for trading arbitrage strategies across global markets, High Frequency Market Making, smart routing algorithms.
  • Financial Markets: Experience trading equities and futures in multiple global markets (notably Brazil, US, Spain, Switzerland).
  • Low Latency Programming: Writing low latency data structures for order book management, latency sensitive trading strategies, kernel bypass, lockfree, complex multithreaded applications.
  • Full Stack Programming: Designing protocols, writing feed handlers, ticker plants, order management systems, risk management systems, back office and accounting systems, instrumentation and telemetry, UIs.
  • Monitoring Tools: Prometheus, Grafana.
  • Databases: PostgreSQL.
  • Networking and Infrastructure: Arista, Solarflare, BGP, multicast.

Relevant Experience

E2M Investimentos

Partner and CTO
Mar 2015 - Present

  • Responsible for managing a fully automated fund ($15mm AUM, Sharpe > 1) with a focus on arbitrage strategies.

Strategies

  • ADRs vs underlyings in B3
  • BDRs in B3 vs underlyings in the US
  • CME futures vs B3 futures
  • EWZ vs Index Futures
  • High Frequency Market Making

Responsibilities

  • Identifying new strategy opportunities, implementing them and trading.
  • Managing and maintaining the infrastructure: hardware procurement, vendor agreements, colocation, connectivity across PoPs.
  • Writing software across the whole stack necessary for running the automated strategies.
  • Post-trade, NAV reconcilation, accounting.
  • Contract Management.
  • Regulatory compliance.
  • Maintaining offshore fund structures for trading global markets.

Projects

  • Feed handlers for several venues and normalized data vendors across Brazil, US and Europe.
  • Normalized ticker plant that allows for easily changing or adding feed handlers in a way that is transparent to the trading algorithms.
  • Order Routing system and smart routers that abstract order routing details from the strategies.
  • Data Structure for maintaining Market by Order books that can process the book for B3's WIN (one of the worlds most traded contracts) in under 350ns (90 percentile) and 130ns(50 percentile).
  • Smart routers for doing FX hedge using B3's USDBRL futures, as well as components for distributing orders across brokers, and a realtime gateway monitoring system that allows routing orders to the fastest exchange gateways based on latency quantiles.
  • Pre-trade risk system that checks rules like order size, position limits, buying power, etc.
  • Designing and implementing the database and the application for the backoffice team. Including position management across multiple books, settlement projections, stock lend/borrow management, asset transfers across clearings, reconciliation, end of day automated processes, etc.
  • Designing and writing the trading algorithms for all the strategies we trade.
  • Simulated matching engine using live production market data in order to test strategies before running in production.
  • Smart router for US Equities that can route to each individual venue (16 lit venues, displayed and midpoint, and almost all dark venues) based on the rebate/fee structure for each venue/liquidity pair (e.g. post-only, repricing, routed/non-routed, midpoint) so that the strategy can price the orders net of cost.
  • Auxiliary systems for telemetry and monitoring.
  • Ultra Low latency infrastructure for trading latency arbitrages (e.g. CME ES mini vs B3 ISP), stiching together the lowest latency network paths from Chicago to B3, including wireless segments and A/B/C feed arbitration for reliability.

Banif/CGD (Caixa Geral de Depósitos)

Algo Trading Developer
Sep 2010 - Feb 2015

  • Interfacing with the trading desks and the clients directly in order to design and implement bespoke trading algorithms.
  • Progress Apama, C#, C++

Progress Software

Consultant
Sep 2009 - Oct 2010

  • Implementation of trading algorithms for clients using the company's Apama plaftorm.
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