Oussama Salhi

Responsibilities:

- Application migration from VBA to Python.

- Gather requirements: Work closely with end users to identify improvements to be made in the python migrated solution.

- Develop python based REST APIs.

- Conception and deployment of serverless functions in a private cloud.

- Creation of front-end interfaces linked to serverless functions using an internal front-end conception and deployment solution.

- End users training.

IT environment: Python (Pandas, numpy, asyncio, aiohttp), Pycharm, GitHub, internal APIs.

Context: OpenPrediction project aims to provide a machine learning API which could be used to help on quotation prices prediction. This project is still under development (https://github.com/salhioussama/OpenPrediction)

- Implement the communication with Huobi REST API to get crypto currencies quotations.

- Set up a quotation repository in Azure cosmos db (Mongo db API).

- Publish NuGet package CryptoQuoteAPI which is a utility API helping on getting prices from Huobi and used on Azure C# function to automatically fill in the quotation repository: https://github.com/salhioussama/CryptoQuoteAPI

- Deploy an Azure timer function to automatically and periodically populate cosmos db quotation repository: https://github.com/salhioussama/CryptoAzureFunctions

- Compute technical indicators on gathered historical quotations.

- Organize and process data.

- Normalize and apply dimensionality reduction to final input data.

- Try and fine-tune different NN models (LSTM, MLP, 1D-CNN).

- Implement the rest API with Flask.

Financial environment: Crypto currencies.

IT environment: C#, Python (Pandas, scikit-learn, keras, numpy, Flask, SQLAlchemy, marshmallow, asyncio, aiohttp, plotly), Pycharm, Jupyter notebook.

Context: Developer within ORCA application which is providing a pricing environment for complex products to worldwide structuring and trading teams (New York, London, Singapore, Hong Kong, Lisbon and Paris).

ORCA team manages production issues, handles projects and implements users’ requests.

I have participated to new implementation tasks, change management requests, code optimization and new regulatory workflow integration.

Team tasks management:

- Manage Jira requests: assign development tasks to team members after discussion, follow up and solution validation

- Gather requirements: Work closely with users to define business use cases and identify points of improvement

- Develop new features in VBA, C++ and C#: Prioritization, requirement analysis, conception, implementation, tests, deployment

- Change management: reviews, code integration and software releases

- Colleagues training and support in apprehending internal libraries

Interfacing new payoffs and adding new features:

- Gathering requirements from users

- Liaise with R&D team to get the technical specification of the payoffs and UAT servers for testing purpose

- Liaise with the booking application team to validate the booking model

- Proposition and validation of the interface with the users

- Implementation and testing

- Demonstration, training and validation with the users

New payoffs interfaced: Bond repack, multi vanilla strategy

Payoff updated: Variance swap, Autocallable, contract spread

New tools: CPS backtesting, CPS backpricing, Regulatory tool

Enhancement of user experience and continuous improvement of existing components:

- Improve the application speed: accelerate market data insertion, review of the architecture

- Stabilize the custom Excel Ribbon

- Reduce excel crashes when there are multiple ActiveX objects in the workbook

- Add autosave feature

- Office 2016 migration: tests, corrections, enhancements

- Stabilize and optimize old components

- Internal libraries improvement (C++, C#)

- Rapid intervention for support requests

Regulatory workflow (MIFID2, PRIIPS, 871m, CFTC Reporting, SOTUS):

- Contribute to the conception and implementation of the new design in order to simplify the workflow (MIFID2, PRIIPS, 871m)

- Integrate new regulations to the workflow (CFTC Reporting and SOTUS): Gather technical requirements, liaise with impacted teams to define a release planning, implement the solution in VBA and conduct the workflow tests

- Code review and proposition of improvements

Results: Better user experience with ORCA due to an enhanced performance.

Financial environment: Structured products (X-asset), regulations (MIFID2, 871m, TRUST, CFTC, SOTUS)

IT environment: Excel VBA, T-SQL, C++, C#, Git, Gerrit, Jira, Jenkins, Visual Studio