Andrew W. Cheong
Contact
acheong87@gmail.com
Education
Rensselaer Polytechnic Institute, Troy, New York
B.Sc. Mathematics, Economics, GPA: 3.87/4.00
Aug 2005 to May 2008
• National Mathematics Honor Society, ΠME.
• National Physics Honor Society, ΣΠΣ.
• Sample courses in mathematics:
X Undergraduate Research in Applied and Computational Math
X Introduction to Financial Math and Engineering
X Mathematical Models of Operations Research
X Numerical Methods to Differential Equations
• Sample courses in economics:
X Undergraduate Research in Economics
X Econometrics
X Public Finance
X Intermediate Macroeconomics
• Sample courses in information technology, computer science, and physics:
X Politics and Economics of Information Technology
X Usability and Interface Design
X Hamiltonian/Lagrangian Mechanics
X Introduction to Theoretical Physics
Technical
Overview
C, C++, C], Tcl, Perl/regex, Java, HTML/CSS, JS/jQuery, PHP, MySQL, Solaris, Slackware, Ubuntu, Arch, Apache, Nginx, Mathematica, MATLAB, Maple, Stata, Excel,
Visio, Perforce, {c,tc,ba}sh, vim
Professional
Experience
System Specialist at Fidessa, New York, New York
Canadian Market Access
Oct 2008 to present
Role: C++ developer for CAMA, an exchange interface that provides order-execution
services and market-data feeds for the Canadian exchanges, including the Toronto
Stock Exchange, the Canadian National Stock Exchange, Pure, Alpha, Chi-X, and
Omega, as well as several dark pools.
• Periodically reviewed release notes and interface specifications for each of the
exchanges; updated order-execution and market-data handlers to process new or
modified messages; added support for new exchange capabilities such as bypass
orders, Chi-X native hidden orders, and the Alpha IntraSpread Facility.
• Communicated with support teams at the exchanges to clarify specifications,
report inconsistent behavior, and inquire about upcoming changes.
• Implemented brand new features such as user/instrument-routing preferences,
and improved existing features such as auto-rebalancing multi-post sweep orders,
sweep-and-cross orders, and multi-day smart-order auditing.
• Implemented a script to process daily transaction journals and provide HTML
reports of usage and performance statistics.
• Responsible for comprehensive regression testing prior to each release, covering order types and attributes, advanced order types and routing, amendments
and cancellations, price-time priorities, short-selling rules, trade-through rules,
exchange-specific restrictions and capabilities, etc.
• Coordinated with QA and operations teams to identify and resolve issues.
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• Performed various other tasks as needed, from adding handlers to support frontend additions, to writing utilities to aid development, testing, and debugging.
Futures and Options Algorithms
Oct 2012 to Dec 2012
Role: Extra hand in Java development and testing of F&O algorithms.
Multi-Entity Trade Forwarding System
Sep 2011 to Nov 2011
Background: Client(s) contracted Fidessa to build a product that consolidates execution reports from all Canadian exchanges and publishes only the executions filled
by a configured set of brokers.
Role: Design, implement, test, and support said product from start to finish (alone).
• Designed and implemented three systems:
– tfsInF to process incoming FIX Drop Copy trades (Alpha, Chi-X, Omega),
– tfsInS to process incoming STAMP trades (TSX/V, Select, Pure, TriAct),
– tfsOut to consolidate tfsIn trades, provide an outgoing FIXDC stream.
• Coded outgoing gap/replay functionality into existing FIX gateway product.
• Resolved specifications disagreements amongst client(s) and exchanges.
• Helped implementation teams set up QA/production environments.
• Documented components and wrote operations guide, including illustration of
final production setup (6 hot-cold, 7 hot-hot system pairs):
ATS BBO Calculator
Oct 2010 to Jan 2011
Background: Client(s) contracted Fidessa to build a product that provides TCPbased feeds of best-bid and best-offer quotes for each stock across Canadian ATSes
(alternative trading systems).
• Implemented central component that subscribes to exchange-specific quotes, calculates national quotes (considerating market, stock, and connection states), and
publishes results over a custom FIX-based protocol specified by the client.
• Improved existing FIX gateway product with bug fixes, cleaner state-transitions,
and a “double-headed” queue buffer to eliminate inefficient memcpy operations.
• First product to implement new Fidessa multicast infrastructure component; kept
close correspondence with infrastructure developers in U.K., staying up to date
with beta releases and reporting issues; implemented stats collection to prove
product meets latency specifications: 99.5% of quotes processed and delivered in
under 500 microseconds, end-to-end.
• Zero production issues to date; ease-of-use was demonstrated when new exchange
needed to be included: only required a few settings changes overnight.
• Documented component breakdowns, state transitions, FIX message flows, etc.
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Intern at Morgan Stanley, New York, New York
Equity Trading Systems
Jun 2007 to Aug 2007
Background: The ETS Study Engine (ESE) was a real-time order-analysis engine
driven by XML configuration files, which defined relationships between orders, portfolios, states, and results from other running analyses. These configuration files often
exceed tens of thousands of lines, yet were edited by hand, making them difficult to
understand and error-prone.
• Designed and implemented a Perl script for parsing, validating, and safely manipulating ESE configurations. Example validations include detecting circular
dependencies, detecting orders in invalid states, and checking keywords against
dictionaries (dynamically generated by parsing enums in the ESE’s C++ source).
• Extended the script into a SOAP server, exposing its functionality over HTTP.
• Redesigned the script to load validation rules modularly (as opposed to having
hardcoded validation logic), enabling users and groups to create, share, and use
custom validations with ease.
• Designed and implemented a C]/Flash front-end for generating fully graphical
visualizations and enabling interactive editing of ESE configurations.
Real-Time Collaboration
Jun 2006 to Aug 2006
Background: Intra-company video communications were routed through hardware
gatekeepers that manage connections and access policies. Gatekeepers exposed APIs
for managing calls, users, bandwidth, etc., but the APIs were not yet used.
• Designed and implemented a .NET call-management server that simultaneously
connects to all of the gatekeepers, consolidates information on calls, users, and
bandwidth usage, and enables administrators to monitor and enforce intracompany rules, e.g. SEC communications regulations and bandwidth policies.
• Enhanced the application to calculate branches using IP geolocation, and implemented sophisticated controls for specifying policies between users and branches
worldwide (North America, Europe, and Asia).
• Enhanced the application to be hardware-independent, by creating an abstraction
layer that loads “translator” plugins for specific hardware APIs, e.g. Microsoft’s
SIP-based LCS, or Radvision’s H.203-based ECS.
• Enhanced the application to run in a multithreaded context.
• Created extensive documentation for the application and on how to write plugins
for future technologies that may replace the current gatekeepers.
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Intern at United States Military Academy, West Point, New York
Electrical Engineering and Computer Science Dept. Jun 2005 to Aug 2005
• Performed general server and desktop maintenance, such as replacing RAM,
CPU, and power supplies, hot-swapping bad disks on RAID devices and clusters, testing failover units, and renewing backup tapes.
• Wrote WMI/VBScript programs for various system administration tasks.
• Migrated Windows 2000 data servers, print-servers, Symantec security servers,
simulations servers, etc. to Windows 2003; helped build several new Windows
2003 and Solaris 10 servers; re-imaged hundreds of desktops.
• Consistently updated installation procedures and configurations to ensure uniformity across server and classroom environments.
Academic
Experience
Rensselaer Polytechnic Institute, Troy, New York
Undergraduate Research
• Cheong, Andrew W., and Supriyo Sinha. “Evolutionary Computation in Economics and Finance: Models of Decision-Making Systems.” 2008.
– Abstract: We use methods of evolutionary computation to model a decision-making
system of organized complexity, namely, a simplified order-driven stock market. We
evolve agent behavior that rivals strategies of our own intelligence. We offer ways
to incorporate the more intricate aspects of a realistic market, as well as further
extensions to the model that might help us understand an entire economy bottomup, e.g. by adding one variable at a time.
• Cheong, Andrew W. “Computational Methods and Optimizations on the CoxRoss-Rubenstein Model for Options Pricing.” 2007.
– Abstract: We explore several optimizations that significantly reduce the time and
space complexity of the Cox-Ross-Rubenstein options pricing algorithm. These optimizations mainly take advantage of the recombinant nature of binomial trees for
European and certain American options, i.e. those on securities with zero or fixedrate dividends. Furthermore, we present interesting patterns and relationships that
may be exploitable for developing approximation algorithms. Finally, we discuss related implementations that can solve inverse problems such as the computation of
implied volatility.
Teaching Assistant
• Grader for ECON 2010 Managerial Economics. 2008.
• Gave a 2-hour lecture in MATH-4600 Advanced Calculus. 2007.
– Prepared and presented a rigorous derivation of the “heat kernel” in one dimension,
proving both its existence and uniqueness using Fourier transformations and the
convolution theorem, and then generalized the derivation to three dimensions.
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Other
Experience
Autodesk Inventor, AutoCAD, Pro Tools, FL Studio, LATEX, building hovercrafts
Private Lessons
Guitar Instructor
Feb 2010 to Apr 2012
• One student, age thirteen.
Violin Instructor
Sep 2001 to May 2005
• Four students, ages seven to fourteen.
• Youngest student ranked concert mistress (top violinist) of district orchestra.
• All students consistently achieved highest rating of “A” on NYSSMA evaluations.
Allegro Chamber Orchestra
1st Violinist
Sep 1999 to May 2004
• Ranked concert master (top violinist) from 2002 to 2003.
• Performed at the White House, Steinway Hall, Eisenhower Hall, and in Italy.
Influences
Abbott, E. A. Flatland.
Hofstadter, D. R. Godel Escher Bach: An Eternal Golden Braid.
Kahneman, D. Thinking, Fast and Slow.
Interests
guitar, snowboarding, high-performance driving, literature, continental philosophy
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