C

PgMex (2014-present)

PgMex is a high-performance PostgreSQL client library for Matlab that enables a Matlab-based application to communicate with PostgreSQL database in the Matlab native way by passing data in a form of matrices, multi-dimensional arrays and structures. The library is written in pure C which gives a significant performance boost for both small and data-heavy database requests. Both Windows and Linux platforms are supported.

Algorithmic Trading Development Environment: BEST Studio (2010–present)

Simulation platform for trading finance. It can simulate exchange functionality, exchange behavior, smart order routers, client behavior, market data sources and all interactions between them with a high degree of realism and consistency. A high-frequency exchange simulator uses a set of ML-based models to replicate a realistic behavior of the market. An integrated order-matching engine allows for tested trading strategies be surrounded by a realistic trading environment which can simulate various stress-testing scenarios (including exotic ones) while still keeping things realistic.

Tick Data Storage & Analysis project (2007–2009)

Infrastructure built for US proprietary trading firm for storing and analyzing tick data and order entry data in backtesting and real-time modes, providing an environment for defining and operating value-added metrics calculations in real-time and on historical time spans.

Tick data comparison tool (2004)

The tool developed for major European investment bank program trading desk provides means for comparing tick data recorded from multiple sources thus allowing estimating a tick data relative quality.