Arturas H Vaitaitis
(Current status: passive interest)
North Bergen NJ,
Senior technologist with experience in building and managing front office,
trading and market data systems and groups, expertise in algorithmic and
high frequency trading, statistical data analysis and system programming;
Ph.D. in particle physics; Extensive leadership and problem solving skills.
| Management ||Software||Finance/Math
Building trading and market data group from
grounds up, heading front office development, overseeing IT enterprise architecture, managing performance improvements in electronic trading systems; project and development management
- Java ( Core 6 yrs )
- C++ ( 7 yrs )
- python ( 9 yrs )
- perl (9 yrs experience)
- C (10 yrs )
- R ( 3 yr )
- kdb+/q ( 2 yr )
- FORTRAN ( 8 yrs )
- SAS/matlab/R ( hypothesis testing/regression )
- MySQL ( 5 yrs )
- Sybase ( 2 yrs )
- Unix tools (10 yrs)
- Linux, Solaris, Windows, embedded devices
- Posix threads, unix IPC
- TCP/IP, RPC, tcpdump, traceroute...
- Experience in quantitative data analysis. Applied mathematics background
- working with trading and brokerage desks in areas of interest rate products, equities and futures
- Understanding of stochastic calculus,
and finance. Ph.D.
- BGC Partners, New York City
Managing Director, head of market analytics group
kdb+/q, R, Python, Java
- Designed and develop centralized tick-data storage for the whole company and subsidiaries
- Designed architecture for Data Complex, spanning event tape storage (HDFS) and stream processing (Apache Spark, Kafka), operational health and DevOps dashboard. Developed event tape and stream processing components
- kdb+ ticker plant, RDB/HDB framework hands on development
- Develop bond analytics, loss ratio, fill ratio reports for broker desks
- Designed permission access control system based on Delta Control product
- Designed and developed trading system benchmarking and reporting based on kdb+
- Designed and develop benchmarking and performance measuring tool for internal trading systems
- Developed research framework based on kdb+/R/python, visualization in shiny
- Integrated with ELK (Elastic-Logstash-Kibana) as visualization dashboard/search tool
- Day to day management of data group, administration, documentation, hiring and operational support
- Aqua Equities, Cantor / BGC startup, New York City
Managing Director, CTO of dark pool, block equity startup
- Introduced processes and procedures for setting priorities, managing projects, best practices and support (Jira, agile process)
- Conducted trading data collection and trade performance analysis (java, python)
- Designed the entire trading system from un-scalable to horizontally scalable in trading volume and number of clients. Developed high level architectural design and low level component design. Oversaw implementation and execution. (java, LMAX disruptor).
- Designed and developed UI desktop installation and watchdog framework that controls trading UI remotely (C# and java)
- Develop and support connectivity to various client OMS systems (McGregor, Newport, etc.), (java)
- Designed, develop and test an interface and connectivity to Triton EMS (ITG) (C# and java)
- Day to day management of development group, administration, hiring and operations support
- CCA investment advisor, Cantor Fitzgerald, New York City
Managing Director, Cantor investment advisor, startup CTO
Head of technology at Cantor equity trading startup
- Design and development of market engine, a critical component to hedge market exposure in real time and to manage risk (python and Java)
- Develop order routing and execution services interface (c++/c), migrated to Quickfix/Java implementation
- Conducted trading performance analysis and strategy research, modeled adverse selection premiums (excel, python and R)
- Day to day management of IT group, project management, technology purchases, vendor and client communications, hiring, administration and trade support duties
- BGC Partners (Cantor Fitzgerald), New York City
Global enterprise architect
Mission: Overview of firm-wide technology architectures, provision of guidance and recommendations, implementation and execution of key recommendations, "fire-fighting" the problem areas
Excel (Bloomberg DDE), .Net, C#, VBA, IronPython, C++, eSpeed API
Report directly to CIO
- Oversight of Static Data for BGC middle and back offices. Worked in a capacity of a data governance head.
- Oversight of front office technologies and operations for BGC brokerage;
Worked in a capacity of product and project manager and, for 2 months as a development manager; Was involved in project prioritization and day to day management of the front office development group;
My recommendations included personnel relocation closer to desks, technology and network architecture changes;
As a result, number of serious production incidents become negligible
- Conducted data analysis to verify curve tracking algorithms deployed on trading desks.
Drafted a proposal for a rapid application development environment and oversaw it's implementation
- Managing a program of projects to modify BGC IT to comply with Dodd-Frank regulatory legislation
(aka Wall Street reform).
- Sun Trading, Chicago
Head of Market Data
postgresql, kdb+/q, C++, python, perl, R
- Establishment of a market data group, from the ground up. Managing all data aspects, including architecture and data
base design, research and development, hiring and vendor relationships
- Supervised establishing exchange connectivity to a wide variety of exchanges; Created a prototype for FAST
parser, designed architecture for capture and processing of exchange feed data and loading into a time series
- Design and creation of time series database (kdb+) to store market tick data, schema design and optimization
- Establishment of tick capture with precise timestamps, using low level Unix utilities, Kernel hacks
- Creation of data quality management system, data cleaning procedures, user notification framework
- Measure and report data integrity and latency
- Monitor time precision of feed capture processes by measuring realtime
clock offsets of colocated servers, using
distributed framework of time servers to multicast and record timestamps and roundtrip
time. Clock offset
calculation have been done offline
during data analysis
- Design, architecture and implementation of Security Master database that keeps track of corporate actions, symbol
changes, futures rollover
and contract expirations.
- Setup data access layer to research frameworks, including R, python and C/C++ applications used by researchers,
financial engineers and traders
- Design and develop kdb scripts library and repository, implement build and release procedures
- Establish a prototype for near real time data processing and loading used in live trading
- Morgan Stanley, New York City
Vice President, Equity Trading Lab (ETL), Market Data Group
Sybase, perl, SAS, R, C++, kdb+/q, python
- Researched, designed, developed and turned-over to production
News Feed processing modular system (written in perl and SAS)
to parse, extract and analyze earning announcements and company issued guidance
from Dow Jones News, Internet and other sources for Market News.
The processing infrastructure consists of three logically separate perl processes
(parsing, extracting referential information and merging different sources),
with intermittent data transparently mapped on directory tree
- Research arbitrage value of data contained in financial news:
blogs, message boards and internet news feeds.
Developed back-test system (written in python) to convert sentiments into
simulated trading list and analyze overall performance and P&L.
Conducted statistical analysis (time distribution, regression, correlation with returns etc.)
using R and SAS
- Designed and developed data correction system capable
of repopulating market data in production databases from different pricing sources.
System does 4-way comparison of data sources to detect errors and
discrepancies, capable of rollback and insertion of new records.
Correction is applied to production database (Sybase) and to flat files.
It is written in perl
- Design and implement alerting system for market data quality monitoring,
crucial to development of algorithmic trading strategies.
Alerts dispatched by a perl-based daemon
(monitored further by autosys) via email and Netcool and are linked
to appropriate web-based (wiki) documentation.
System monitors over 1000 production jobs, highly customizable and reliable
- Conducted firm-wide third-level on-call support of market data
- Bloomberg Financial Markets LP, New York City
Technical Lead/Senior Software Developer —
(3 direct reports)
C++, perl, MySQL, Java, C
- Research the concepts and Designed unique system
to monitor latency and integrity of market data.
Created the prototype that worked on a generic market data format.
The prototype method finds a time-series match between
the data stream from the source of market data and from the client,
by maximizing the cross-correlation value concurrently calculating
integrity and latency (Patent application pending).
- Conducted Vendor/Product research of Search Technologies
as a part of participation in a working panel of company wide experts.
- Assumed the project manager role to lead implementation efforts
by other groups, integration,
testing and rollout of beta version of the market data monitor
based on the prototype design described above.
Productized the monitor via integrated
Enterprise Management System (EMS) framework on the basis
of the third party product, HP Openview.
EMS is a framework to manage Bloomberg applications.
- Research concept of generic correlation of disparate
EMS alarms coming from different applications
to automate problem finding system.
Implemented mechanism to route all EMS events to HP Openview system.
The mechanism provides enhanced event categorization as well
as filtering and rate suppression capabilities to the console room
Operations. The legacy system used to rely
on many operators noticing a reoccurring alarm in
a scrolling stream of alarms in a window.
The new system supplies a ‘manage-by-exception’ capability
to an operator thus drastically improving problem detection ability.
- Created an application for automatic scheduling and handling
of batch system commands, for network troubleshooting
(backend written in C++, front end HTML).
The library is used by other developers in R&D
to troubleshoot network problems replacing the direct
access granted to Tech.
Support, thus closing a potential security hole.
- Designed and developed multithreaded (consumer/producer)
real-time high-performance (500 Kbytes/sec)
CORBA based middleware (written in C++).
It served as a backend metrics collection system for automated outage detection system described below.
- Conducted research, collected statistics and analyzed the patterns of network outages.
Researched, designed and developed the prototype for
correlation analysis of network outages.
The automated outage detection system determines the most
likely point of failure in the network before customers
could take a notice.
This analysis provided vast capabilities for real-time
troubleshooting network failures.
Researched and developed the model of background noise levels
present in measurements of network outages.
Used the model to implement noise from signal subtraction.
Transferred the prototype design to other group members
for the implementation. Participate in implementation process.
- Created a tool for handling and scheduling automated batch commands
(ping, trace route)
- Designed and developed an allocation algorithm for load balancing
of Bloomberg clients amongst backend machines and gateway servers.
Implemented (perl cgi) and turned over to Operations an application
based on the algorithm. It is widely used by operations
and monitored as a critical.
application for troubleshooting and monitoring voice-over-IP communications over Intranet
- Development of a data collection system (C++)
that probes Bloomberg Internet and Intranet for network metrics
(IP, retransmition rates, network delays).
- Optimized and normalized the proprietary database based
on UNIX indexed hash tables (C++) used for storing metrics
for near-real time troubleshooting.
Optimized the database to be able to insert up to 10,000 records
per second. The resulting system was unique to the R&D department
(perhaps in the industry) in efficiency and speed
- Implementation of a front end Java client to display analysis of
network performance metrics in a form of graphs and/or tables,
It had been also used for logging the usage of financial functions
(stocks, bonds and indexes) on Bloomberg application.
- Expanded the data collection system from being solely
proprietary database to the Open Source MySQL database on Linux.
This greatly increased our flexibility for tuning and optimization of the data collection
to increase its performance up to 3,000 inserts per second.
The system probes Bloomberg Internet and Intranet for network metrics.
- Developed and maintained Unix C++/STL development libraries for network name lookups,
IP resolution, address translation and API for CORBA (omniORB 3.0)
widely used by back end server applications
- Created an cgi perl-based point and click user interface for
the 'intruder alert' web based tool.
It had been used by the security team as a trigger mechanism
to start probing our network for security breaches.
- Performed production LINUX (redhat7+, 2.4+ kernel)
system tuning and upgrades
- Nevis Laboratories, Columbia University, NY
- Upgraded and implemented a complete statistical Monte Carlo
simulation of particle interactions in the detector hardware, their
conversion to electrical signals, simulation of electrical and
electronic noise. Used Monte Carlo simulation to compute and subtract
noise from the measured signal
- Analyzed and assessed sources and levels of systematic
and statistical errors applicable to measured results
- Conducted a novel research in particle physics, results are published
in scientific journals
- Supervised the research work of 3 students
- Fermi National Laboratory, Aurora IL
- Designed and developed software (using Fortran77)
for the reconstruction and analysis of experimental data
recorded onto tapes during experimental run
- Ported analysis software from SGI platform to Linux, created new set
of configuration and makefiles, researched compiler behaiviour.
Conducted futher data analysis on Linux cluster
- Designed and develop software for the reconstraction and analysis of
the experimental data
- Structured and organized storage of data
recording during the experiment run
- Customized graphics program( event display) that allowed real
time visualmonitoring of interaction of particles in the detector
- Performed calibration and tuning of the experimental setup
- Arranged the assembly and testing of the data acquisition hardware
- Columbia University, New York, NY
- Instructed and supervised students at the physics lab;
- Developed computer simulation of particle interactions
for an existing hardware detector setup
Columbia University, New York
- Ph.D. in Experimental physics
- Master of Philosophy
- Master of Science
- Relevant Coursework
Moscow Institute of Physics and Technology, Moscow, Russia
- Software Engineering (in Java)
- Data Structures and Algorithms
- C++ programing language
- Object Oriented Programing and Design
- Master of Science with Honors
- 2nd place in national Lithuanian physics olympiad
- Columbia faculty fellowship
Areas of Interest
- Automated news comprehension
- Algorithmic trading and behavioral finance
- Physics of Time
- Knowledge and Information Management
- Study of the inclusive production of neutral pions in pp
interaction, using the reconstruction of the pi0--decay.
Workshop on Physics Programm at UNK
Serpukhov accelerator, Protvino, Moscow region, Russia
- Searches of a heavy neutrino,
New perspectives 97, Fermilab, Illinois
- A Searche for Heavy Neutral Leptons in the NuTeV (E815)
Experiment at Fermilab 1998 Joint APS/AAPT Meeting, Columbus, Ohio
SEARCH FOR NEUTRAL HEAVY LEPTONS IN A HIGH-ENERGY NEUTRINO BEAM
A Vaitaitis, RB Drucker, J Formaggio, S Koutsoliotas¿ - Physical Review Letters, 1999 - APS
TESTS OF A CALORIMETRIC TECHNIQUE
FOR MEASURING THE ENERGY OF
COSMIC RAY MUONS IN THE TEV ENERGY RANGE.
NuTeV/CCFR Collaboration (A.P. Chikkatur et al.).
- HELICITY EFFECTS IN NEUTRAL HEAVY LEPTON
By Joseph A. Formaggio, Janet Conrad, Michael Shaevitz, Artur
Vaitaitis, Robert Drucker (Columbia U.). 1998.
Published in Phys.Rev.D57:7037-7040,1998
- MEASUREMENT OF SIN**2 THETA-W FROM NEUTRINO
NUCLEON SCATTERING AT NUTEV.
By NuTeV Collaboration (K.S. McFarland et al.). Mar 1998. 12pp. Talk
given at 33rd Rencontres de Moriond: Electroweak Interactions and
Unified Theories, Les Arcs, France, 14-21 Mar 1998.
e-Print Archive: hep-ex/9806013
- SYSTEM AND METHOD OF DETERMINING DATA LATENCY OVER A COMMUNICATIONS NETWORK — <US Patent[8,681,643, 2014],(11/696,864)>
The proposed method finds a time-series match between the data stream from the source of market data and from the client,
by maximizing the cross-correlation value concurrently calculating integrity and latency.
Method and system of attachment and detection of attachment of a wearable sensor to clothing material
AH Vaitaitis - US Patent App. 14/578,904, 2014
Fluent in English, Russian, Lithuanian