Financial Services
Modernizing a Live Derivatives Trading System at Citi
Citi needed faster pricing models in a live trading environment where downtime or calculation errors could halt trading. We modernized the platform incrementally, delivering real-time accuracy without disrupting active trades.
Services Provided
Web Development, Data Engineering, Application Modernization
Product Type
Technologies Used
API-based Web Platform
Kotlin, React, Typescript
Product Type
API-based Web Platform
Technologies Used
Kotlin, React, Typescript
Project Highlights
Traders always access the latest approved pricing models — no stale data risk
Platform now hosts 9 tools used by 6 teams across the organization
Zero disruption to trading operations during rollout
About
Citi's mission is to serve as a trusted partner to their clients by responsibly providing financial services that enable growth and economic progress. In derivatives trading, pricing accuracy is everything — a stale model or calculation error doesn't just cause inconvenience, it can mean significant financial losses or regulatory exposure.
Challenge
Traders faced significant challenges accessing the latest derivative pricing models. The models lived on local machines, requiring manual downloads and Python knowledge to use. This created multiple risks: traders might use outdated model versions, downloads took time during fast-moving markets, and the decentralized approach made it impossible to ensure everyone was using approved models.
The real danger wasn't just speed — it was consistency and accuracy. In derivatives, using a stale pricing model or an unapproved version could mean mispriced trades, regulatory findings, or losses that compound quickly.
Solution
Def Method built a centralized web platform that hosts the latest Quant libraries and integrates vol-swap and collateral-based pricing support. The platform is API-based, so traders access models through the web without downloading anything to their machines.
This architecture solves the consistency problem: every trader automatically gets the latest approved version. No stale data, no version conflicts, no need for Python knowledge. The team designed for minimal disruption, rolling out incrementally so trading workflows were never interrupted.
Results
The platform eliminated the stale-model risk entirely — traders now always access the latest approved pricing models instantly. No more downloads, no more version mismatches, no more Python requirement.
What started as an experiment by a small engineering team has grown into a platform hosting 9 different tools used by 6 teams across the organization. The platform is now fully supported with a team of 10 engineers working to incorporate additional tools and models.
Most importantly: zero disruption to trading operations during the entire rollout. Traders got faster, safer access without any interruption to their workflows.