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Alex Cassini

Rates Algo trading @ Citi

Quantitative Strategist, Capital Markets

New York, New York

Ranked #507 out of 10,146 for Rates Algo trading in New York

Section title

Alex Cassini's Email Addresses & Phone Numbers

Alex Cassini's Work Experience

Citi

Rates Algo trading

2011 to 2013

Greater New York City Area

FXCM

Algo developer - FX market making

2010 to 2011

Greater New York City Area

First Derivatives

Consultant

2009 to 2011

Greater New York City Area

Alex Cassini's Education

McGill University

Bachelor of Engineering Electrical Engineering

2004 to 2008

Alex Cassini's Professional Skills Radar Chart

Based on our findings, Alex Cassini is ...

Leader
Perceptive
Analytical

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56% Left Brained
44% Right Brained

Alex Cassini's Estimated Salary Range

About Alex Cassini's Current Company

Citi

Designed/implemented algo for Citi’s electronic UST business, encompassing rfq and order flow from internal rates desks, external broker-dealer platforms and exchanges; multi-billion notional daily volume. Built relationships with senior managers and fostered collaborative attitude, resulting in highly successful team (13 added headcount since joining). • Market making: designed and implemented risk-based price skewing, leading to 65% risk-reducing...

Frequently Asked Questions about Alex Cassini

What company does Alex Cassini work for?

Alex Cassini works for Citi


What is Alex Cassini's role at Citi?

Alex Cassini is Rates Algo trading


What is Alex Cassini's personal email address?

Alex Cassini's personal email addresses are a****[email protected], and a****[email protected]


What is Alex Cassini's business email address?

Alex Cassini's business email addresses are not available


What is Alex Cassini's Phone Number?

Alex Cassini's phone (212) ***-*130


What industry does Alex Cassini work in?

Alex Cassini works in the Capital Markets industry.


Who are Alex Cassini's colleagues?

Alex Cassini's colleagues are Wesley Meyer, Kevin Ng, Victoria Amson, Mark Strabo, Sherry Xu, Vincent Viveros, Boris Serebrinskiy, Jared Ziment, Alex Steckel, and Ramon Carpenter


About Alex Cassini

📖 Summary

Rates Algo trading @ Designed/implemented algo for Citi’s electronic UST business, encompassing rfq and order flow from internal rates desks, external broker-dealer platforms and exchanges; multi-billion notional daily volume. Built relationships with senior managers and fostered collaborative attitude, resulting in highly successful team (13 added headcount since joining). • Market making: designed and implemented risk-based price skewing, leading to 65% risk-reducing volume, compared with 45% previously; improved ranking on bloomberg/tradeweb due to more won RFQs; improved pnl on more positively selected trade flow and less hedging • PCA-based risk management and hedging to aggregate inventory across securities, aiming to hold risk and net offsetting flow, enabling per-component hedging and pnl attribution; significantly improved pnl compared to previous iteration • Developed execution strategy for hedging in external markets, leveraging many factors including estimated queue position and order book imbalance, leading to significantly improved fill rate and hedging costs • Developed general hedging program, featuring tiered risk targets triggering increasingly aggressive hedges: maintains risk within set range over 95% of time; no significant losses during volatility, compared with previous large losses during volatility • Developed high performance backtest, running 100% same code as run in production; ability to run 1 day in less than 30s • Designed/implemented high-profile automated reports using jasper freeware, sent daily to global head of Rates • Proposed, designed, and implemented highly robust and performant algo kdb data capture, with 0 production outages since release (over 1 year and counting) From 2011 to 2013 (2 years) Greater New York City AreaAlgo developer - FX market making @ As a consultant via First Derivatives, developed a sophisticated FX market-making system in kdb+. Coordinated with a team of software engineers; reported directly to executive management. • Highly configurable FX market-making algo; dynamic streaming size and risk-skewed pricing • Member of initial team: from 0 volume/pnl to $5B+ daily volume; +200k daily pnl in under 1 yr • Algo never experienced a down pnl day • Developed numerous system components, all in kdb: • Real-time market depth and order book from ECN order messages • Order management system: confirms/rejects orders based on pnl and risk criteria • Pricing: algo aggregates various providers, applies logic, publishes quote (100us latency) • Pnl calculation engine and pnl/risk alerts engine • Feedhandlers (C to kdb+): developed both C and q components for numerous data feeds (FIX, ITCH protocols) • GUIs for monitoring trades, pnl, processes up/down, latency, cpu load, reconciliation • System capable of 100K msgs/sec with 200us latency from execution request in to confirm/reject out From 2010 to 2011 (1 year) Greater New York City AreaConsultant @ Design and develop low-latency, event-based systematic trading systems and market data feeds in q/kdb+ and C/C++ for FX, equity & fixed income focused clients. • Algos for various clients currently trading billions in daily volume From 2009 to 2011 (2 years) Greater New York City AreaSoftware Design Engineer @ • Developed firmware in C++/C# for high-volume testing of smartphone power circuits • Worked closely with colleagues, often coordinating tasks despite being junior member • Branched out across various business groups to develop functionality and requirements • Presented to senior management/CEO: project status, schedule, and implementation details • Authored high and low-level design documents: reviewed with managers & colleagues • Personally contributed 30k lines of production code in under 8 months (C++) • Praised by major customer for accelerating tool’s run-time performance by 15%, reducing customer’s cost-of-test by over $100k • Testing: used an user-based approach to author test cases document and implement automated tests; uncovered several bugs that would otherwise have escaped to QA or the customer From January 2007 to September 2009 (2 years 9 months) Bachelor of Engineering, Electrical Engineering @ McGill University From 2004 to 2008 Alex Cassini is skilled in: Algo Trading, Market Making, KDB+, Java, C++, US Treasuries, FX


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In a nutshell

Alex Cassini's Personality Type

Introversion (I), Intuition (N), Thinking (T), Judging (J)

Average Tenure

1 year(s), 11 month(s)

Alex Cassini's Willingness to Change Jobs

Unlikely

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