John Thomas is a senior developer and architect specializing in C#, SQL Server, and business intelligence technologies. He has extensive experience developing trading and surveillance systems for financial institutions. At the International Securities Exchange, he developed alerts and reports for monitoring daily trading. Previously at Abel/Noser, he helped design and implement the first trade cost analysis system on Wall Street that provided next-day electronic reports.

1. John Thomas<br />Professional Profile

2. Senior Developer/Architect specializing in C#/SQL Server/BI technologies with hands-on IT development experience (including Project Management) spanning buy-side, sell-side and the derivatives exchange. To highlight, the Fidelity Trade-Cost Analytics OLAP Engine I helped architect/team-implement was credited for saving Fidelity "more than $1 billion in transaction costs, over 8 years".

4. Core Competencies

5. Business:

6. Modeling/Pricing of Credit-Derivatives, Equity-Derivatives. Convertible-Bonds, and Exchange Traded Options. Market Microstructure for Trade Cost Analytics and Surveillance. Project Management Professional (PMP), Agile-Scrum

7. Technologies:

8. Microsoft .Net (C#, VB), C++, SQL-BI, OLAP/MDX, Excel/VBA/VSTO. Real-Time Front Office & Server-Side Trading Apps. Professional Experience<br />ISE, (International Securities Exchange), New York, NYAugust 2009 - Present<br />Senior Developer/ ISE Surveillance Group<br />Currently working in the Surveillance Group in defining/implementing alerts/reports for monitoring daily trading at the largest US options exchange. These include Marking-The-Close, PIM (Price Improvement Mechanism) Alert, Anticipatory Hedging etc. <br />Successful migration of existing Alerts/Reports to comply with the Option Symbol Initiative (OSI).<br />Defining/implementation of new alerts (AH: Anticipatory Hedging) & reports (Stopped Cross Orders) with extensive use of C# and SQL. AH, for example, involved designing & implementing a novel algorithm that calculates relevant Greeks for the purpose of tracking Anticipatory Hedging activity across markets of over 250K American Options and their Underlyings.<br />C# based Server-Side Loader for filtering, mapping, summarizing and loading of the Daily ISG (Intermarket Surveillance Group) Feed (size ~15GB) comprising totality of the Underlying Trades using Multi-Threading/Asynchronous Delegates<br />C# based Server-Side Loader for loading (with CheckSum) the daily COATS (Consolidated Options Audit Trail System) Feed (size ~0.5 GB) comprising the totality of options traded across all the exchanges for cross-market surveillance. <br />Design and Implementation of the Data Migration Engine for the migration of the underlying highly de-normalized terabyte size database to work with the new trading platform with normalized schemas. <br />Evaluated & Presented Data Mining/OLAP technologies for total Market Surveillance to the Surveillance Management. <br />Technologies involved include C#, ASP.net, WinForms, SSAS, SSIS, Erwin, Subversion.<br />Cognitive Tools Limited LLC, DE December 1997- Present<br />Owner/Developer<br />Co-founded firm developing Decision Tools/providing consultancy to aid Complex Decisions under Information Overload.<br />Consulting Services to Abel/Noser Corp (see below) during part of the tenure with Abel/Noser (Jan 2000-Aug 2001).<br />Developed C#/ ADO.NET/SQL/VSTO/Excel based prototype for total historical market data (global stocks, mutual funds, ETFs) upload, statistical analysis and Excel presentation. This prototype was instrumental in the launch of FundReveal.com<br />Developed C#/VSTO/Mathematica based libraries for derivative pricing & hedging (internal).

9. Ported the JP Morgan CDS Model using MVP Pattern via WPF/C#.Net (internal)

10. Developed engineering stochastic libraries on Excel/VSTO/Mathematica via .NetLink (internal).

11. Consulting Services to Korgi Inc. (korgi.com) in the context of on-line education partnership with Kajima Corp.

12. Consulting Services to Medscape UK for evaluating Document Management Systems for their web-portal.

13. Consulting Services to Fidelity FMR in the context of Trade Cost AnalyticsAbel/Noser Corp., New York NY Aug 1998 – Dec 1999 & May 2001-Aug 2001<br />Senior Vice President<br />Market Research <br />Abel/Noser specializes in VWAP/market-microstructure based trade-cost measurement to various buy-side firms. As Manager-Quantitative Research, architected and team-implemented the first Business Intelligence trade-cost analysis product on the street that moved industry best-practice from month-end paper reports to T+1 electronic & actionable drill-down OLAP reports. As Senior VP, trained the Sales group and team-presented before demanding bulge bracket clients, including: Fidelity, Batterymarch, State Street, Dresdner, etc. The Fidelity system that was put in place was credited for saving Fidelity \"
more than $1 billion in transaction costs, over 8 years\"
. <br />Conducted market research for new product development.

14. Co-marketed T+1 Trade-Cost Analytics to other bulge-bracket clients.

15. Was the lead on Abel/Noser-Fidelity FMR Corporate Relationship

16. Drafted patent (US Patent # 7739170) that underlies the above trade-cost measurement technology

17. Technologies involved include ADO/MD, MDX, SQL, VBJ.P. Morgan Equity Derivatives Group, New York NY Oct 1996 - Aug 1998 <br />Associate, Equity Derivatives Models Group & Tactical Group<br />Worked in various roles in the Equity Derivatives Front Office Desk, including:<br />Developed Risk Arbitrage Options Pricing Model.

18. Regressed 2-factor Convertible Bond Model against 1-factor model

19. Responsible for all Tactical /RAD Projects for Convertible Bond Trading, Sales-Research and Trading-Research Groups.

20. Created Convertible Bonds Pricer on Excel/Applix for Market Making Converts Desk. Used spreadsheet objects to reduce calculation time (from 12 sec to 1 sec) allowing large-volume scale-up. Laptop version used for on-the-road Sales/Marketing.

21. Created globally-distributed Generic Equity Derivatives/Exotics Pricer using Excel spreadsheet-objects and an early version of the MVC pattern, capable of parsing model parameters to self-write and configure a common look & feel front-end for 26 equity derivatives/exotics, thus reducing front-end development time from months to nil.

22. Reduced processing time for Middle-Office Single-Stock Options P&L application from 8 hrs to 1 hr. Provided Excel/Sybase tools for P&L Drill-Down, enabling quick reconciliations.

23. Taught Introductory Stochastic Calculus to Tactical Team Members. Citibank/Tech Hackers Inc, NY Sep 1995 - Oct 1996<br />Management Consultant <br />Credit Derivatives<br />Supported/developed Credit Derivatives Front-Office/Back-Office systems at Citibank’s Credit Derivatives Desk for Trade-Entry, Pricing, Limit-Calculations, Risk-Management feeds, P&L, Difference, Reset and Activity reporting. Internal audit generated a score of 4/5 enabling the Credit Derivatives desk to expand its operations.

24. Developed Perl script tools for detecting Year 2000 date format problem in large code bases.

25. Researched and presented to management, opportunities in developing J.P. Morgan sponsored VaR/Risk-Metrics based product family for integrated, firm-wide Risk-Management. Tiger Management, NY Feb 1995 - Sep 1995<br />Market Systems Quantitative Analyst<br />Real-Time/Historical Market Data<br />In charge of real-time/historical market data capture/analysis. Built 20K+ line C++ system (on AIX/SP2) for capturing corrected market data using Reuters SSL; populated ORACLE databases using embedded-SQL/alerts.

26. Built real-time P&L applications using Builder/elf on Applix; Quality Assurance of 300K+ line codeMassachusetts Institute of Technology Sep 1989 - Jan 1995<br />Research & Teaching Assistant<br />Developed interactive robotic systems to test feasibility of automated construction of Self-Articulating Form-Work for Concrete Construction.

27. Team-Implemented COSMOS, a C++ OPS5-style Expert Sys. Shell for forward/backward chaining.

28. Designed and jointly taught graduate level course: Large Scale Systems. Awarded Best Teaching Award/1994 for this course; Jointly taught graduate level course on Cognitive Engineering.

29. Graduate Teaching Assistant: Numerical Algorithms in C++; Knowledge Based Expert Sys. for EngEducation<br />Massachusetts Institute of Technology <br />Ph.D. in Engineering/Management focused on Design for Innovation. GPA: 4.7/5<br />University of California, Irvine<br />M.S in Structural Engineering with emphasis on Earthquake Engineering and Modal Analysis. GPA: 4/4<br />IIT-Bombay <br />B.Tech in Civil Engineering. GPA: 8.64/10<br />Citizenship: US<br />