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Jazz & Modernist Books Aficionado
Jazz & Modernist Books Aficionado
David Don
Head of Quantitative, Execution, & Risk Products
Lime Brokerage

When did you first become interested in working in finance?
One of my grandfathers was an enthusiastic investing hobbyist, who eagerly read the annual and quarterly reports for all stocks in his portfolio, and also actively traded options and dabbled in convertible bonds. He drew my attention towards finance at a young age.


In 3 sentences, tell me about your role at the firm.
I help manage technology products for professional systematic traders and risk managers. This includes Lime Strategy Studio, a software platform which helps develop a trading strategy from backtesting through production, and Lime Watchdog, a post trade risk management application which delivers real time VaR and scenario analysis calculations. It also includes Lime’s execution algorithms, including LSR, our smart order router, and a next generation version of our benchmark algorithms (for example VWAP, TWAP, POV) which leverage both Strategy Studio and LSR.


What do you like to do in your spare time?
I enjoy playing piano, listening to jazz/classical/indie music, burning through Ebert’s list of great movies, and reading modernist literature. I’ve been known to unwind to perhaps a few too many television shows.


What famous person would you like to meet and why?
I can be shy with people at first, so I prefer to admire celebrities from a distance. I imagine though it would be easy to fall into an engaging conversation with say Joss Whedon or Paul Krugman.


If you could visit any place in the world, where would it be and why?
Rome is next on my list -- I love Europe in general and I’m looking forward to seeing the Sistine Chapel and the Pantheon. I recently read Midnight’s Children, which has also piqued my interest in travelling to India.


What is one thing that most people would be surprised to learn about you?
That would be telling.