Swapnil Sonawane

• Design and implemented algorithm trading in directional, non directional trading strategies in MFT environments in Indian Market in Index options.

. Option Ratio Trading
• Build Intraday momentum and mean reverting Time Series and Cross Sectional Strategies for equity for Indian Market.
• Expiry Day Buying Strategy
.Oversee trade execution systems in First Stock API.

Skills:
Alpha Research using statistics, ML
Backtesting Options and Equity strategies using Python, Trade Execution System:
First Stock API

• Devising medium frequency Quant strategies for Forex market.
• Worked on directional and mean reverting strategies using Regression, Statistical and other technical indicators.
• Use of Regression, Kalman filters, HP filters for directional trading.
• Development of backtesting Systems for users.

Gamma Scalping (US Market):
Backtesting Option Gamma scalping strategy (Quant) for US market. American Option Valuation using Binomial model
Created Bot systems for auto entry into live trade.
Wrote execution in Interactive Broker.
Indian Market:
Executing stock IV based strategy in Indian market based through XTS connect in python.
Option Valuation using Black Scholes and Heston model and IV estimation using Regression analysis.

Developed C++/Python packages to price volatility surface and option greeks (incldes 1/2nd order greek).

-Build options pricing engine based on Black Scholes Merton and Heston model using newton raphson and Fast Fourier Transform methods..
-Use the pricing engine to generate volatility surface and respected options greeks including - Delta, Theta, Vega, Gamma, Vanna, Volga, Speed.
Build the pricing engine into microservice and optimized it's performance using vectorization and multithreading.

Butterfly ( 3 and 6 Legs) and Ratio Combo Buying direction neutral Strategy :
-Conceptualize, Backtest and traded Butterfly 3 legs (Directional) and 6 legs (Direction Neutral) long gamma strategy for Indian
Market. Edge is in selecting right combination of ATM and Hedge gaps at right time.
These are very low risk strategies which sharpe > 3%, 2-3% ROI and draw down of of 1%. ROI will increase as per higher draw down limits.

Utrade Strategy Execution:
Utrade is low latency platform which gives C++ API for trade execution. Did low latency C++ coding and to deploy Butterfly (RatioCombinations), Jelly in Utrade on snapshot data.
Use Multi threading in C++ to get the optimum price for butterfly (3 legs).

Bank Nifty Short Straddle /Strangle:
Back tested group of 10 intraday models to enter and exit short straddle / strangle based on the combination of entry time, exit time and day.
Data: 5 years BankNifty 1 min time frame Option and Future data.
Built the low resolution charting for OI and Change in OI for multiple strikes around ATM, which gives early signal where winding and unwinding of strikes become clearly visible. It effectively take advantage of the Theta decay.

Data Science / ML experience:
- Develop Vendor recommendation system for Honda Motors using Decision Tree Classifier.
- Predict whether the delivery will be delayed using procurement transaction data using Logistic Regression.
-Demand forecasting using xgboost Regression algorithm.
-These project involves substantial data preprocessing with application of filtering and wrapper methods.
IT Service experience
-Finance and Supply Chain Management Oracle ERPs