from quarks to bonds: one physicist’s journey to the ... · the bloomberg evaluated pricing...

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From Quarks to Bonds: One Physicist’s Journey to the Global Marketplace

David WinterAGS Users Meeting13 June 2018

© 2018 Bloomberg Finance L.P. All rights reserved.

Outline

• Who am I?• What did I do in physics?• What do I do now?• Perspectives on career changes

© 2018 Bloomberg Finance L.P. All rights reserved.

Brief Background

• 47 year-old father of 2• Interest in Physics from early age

— Dreams of flying -> Mission specialist• Grew up in DE / New Yorker for 25 years• S.B. in Physics from MIT in 1993• Ph.D. in Physics from Columbia in 2001• U.S. Air Force active duty 1999-2003• Postdoc @ Columbia 2003-2006• Research scientist @ Columbia 2006-2011• Senior C++ Developer @ Bloomberg LP 2011+

© 2018 Bloomberg Finance L.P. All rights reserved.

Physics @ Columbia: Part 1

• Summer student with experimental Heavy-Ion Group

• Same summer – migrated Muon Lifetime undergrad lab

• Joined group at end of second year of grad school

• E910 at the AGS— pA collisions (Fixed target at 6, 12, and 18 GeV)— Large acceptance— Wide variety of detector techniques (Scint Fiber, TPC, DC,

Cherenkov, TOF….)— ∆++ resonance production

Physics @ Columbia: Part 2

• V2 / Azimuthal correlations• PHENIX Event Builder

— High data volume— High data rates (5kHz for AuAu RHIC collisions)— Migration from Windows NT to Linux— DCM2 integration

• Forward Vertex Detector (FVTX)— Hardware design— Organization of module construction and testing— Offline analysis code

What is Bloomberg?Building the world’s most trusted information network for financial professionals

• Tech! Tech! Tech!• Founded in 1981 by Mike Bloomberg. His goal from the outset was

to use the power of technology to bring transparency to our global financial markets

• Bloomberg Terminal: an independent and unbiased source of information

• 5,000+ engineers, developers and data scientists • Bloomberg employs more than 19,000 people worldwide

Bloomberg Terminal – circa 1981

Bloomberg Terminal – today

What is BVAL?

The Bloomberg EVALuated Pricing Service provides accurate and defensible pricing of fixed income and derivatives instruments for mutual funds, money managers, hedge funds, internal pricing groups, auditors, and regulators.

• Data-driven• Proprietary algorithms where data is unavailable• End-of-day “snapshot” of the market 9 times per day (eg. Tokyo

4PM, London 4PM, New York 4PM)• 2.5 million securities

PRICEBONDS

BVAL Architecture• IBM POWER7 AIX platform: “Big Iron”• Circa 2011:

— 4 monolithic (64 processors/700GB RAM each) machines serving alpha/beta/prod environments

— About $1M per machine! • 2018:

— Large machines -> 14 “smaller” (32 processors/500GB RAM) machines housing data and driving the pricing

— 20 “smaller” machines serving as stateless calculational cluster— 6+ Linux-based servers for auxillary tasks— “smaller” machines -> $100k each— Linux machines -> more than a factor of 10 lower cost

SE1

Aggr

SE2 Intermediate data

SE3 Aggr

BVAL is an Enterprise Product, but…

BVAL is an Enterprise Product, but…

BVAL is an Enterprise Product, but…

BVAL Monitoring: ML meets pricing

BVAL Monitoring: ML meets pricing

BVAL Quality: Next-day Trade Error

Blue line - delta of BVAL to the next day’s trades

Gray line - market movement of bonds that trade consecutive days

Natural problem for solution in Hadoop/Spark

Where do I fit in?“Why fit in when you were born to stand out?” – Dr. Seuss

“Develop and implement infrastructure, algorithms, quality control, and disaster recovery for pricing software in the Fixed Income domain. Price 250k+ bonds in the governmental, supranational, agency, and corporate sectors several times throughout the market day.” – Linkedin

• Technical expert• Interviewer / mentor for senior hiring• Intern mentor• Business Projects include:

— Money Market Securities (original and expansion)— Sinkable Funds— Private Placement pricing— Bid-Ask spread model

• Infrastructure — Internal modernization of architecture (configuration system)— LINUX MIGRATION

— 270 “Screens” to be migrated— ~millions of lines of code, most of which needs to migrate

Perspectives on Career Change

• Scary! But in the end, no reason to be!• More or less seamless

— Commute— Schedule

• Sometimes the career finds you• The “right fit”• Other Physicists @ Bloomberg (past and present)

— Felix Matathias— Joe Seele— Aaron Key— Brian Tice— Valerie Fine— These are just the ones I know of …

PHENIX Reunion!!

Additional Resources

Many thanks for allowing me to be here. Feel free to reach out to me should you have any questions!

• My email: winter@alum.mit.edu• Working at Bloomberg on YouTube:

https://youtu.be/ERpSFtDhdhs• Careers at Bloomberg: https://www.bloomberg.com/careers/ • Bloomberg Tech Blog: https://www.techatbloomberg.com/blog/

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