Siddhanta Banerjee

About

I like problems where mathematics touches metal: signals in noisy data, systems that must not flinch, and markets that refuse to sit still. By day, I work on payment systems; by night, I test hypotheses until they either run or repent.

Currently: Jr Software Engineer at RS Software. Building distributed services for payment rails; cultivating the habits that good quants need: precision, auditability, and an allergy to unmeasured risk.

Notes

2025‑08‑15 — Microprice is not a price: with asymmetric depth and equal NBBO, microprice can be biased; counterexample in microprice-notes.
2025‑08‑12 — 1‑day 95% VaR (normal) ≈ σ × 1.65. Beautifully blunt, dangerously simple.
2025‑08‑09 — UDP multicast still rules for market data fan‑out; loss matters less than head‑of‑line blocking.

Work

RS Software — Jr Software Engineer (2024–present)

Helped shape idempotent, replayable workflows for multi-rail payments (UPI · card networks · bank transfers) so that “exactly once” is a property we can test, not a wish.
Co-authored a small event-schema library to version message formats; old messages keep working while new ones evolve.
Prototyped a latency & jitter ledger across services (ingress → risk → settlement) to find slow hops before customers do.
Designed a tidy reconciliation job (hashes + metadata) so disputes can be traced to a single line in a single log.
Occasional architecture gardening: backpressure rules, circuit breakers, and failure modes written down before they happen.

Tech that shows up a lot: Python, Go, Java; Kafka/queues; Postgres; gRPC/HTTP; Linux things.

Projects

I keep many things in eternal alpha. Grouped so you can find the rabbit hole you like.

Almost-Finished (usable today)

pay-latency-ledger — tiny service that records percentile latencies per hop; outputs a single plaintext report. (fintech)
portfolio-notebook — reproducible equity factor tests with explicit lookahead guards; results are hashable. (quant)
recon-hash — file + row level hashing for reconciliation jobs; pairs with a diffable audit trail. (infra)
opt-greeks-lite — binomial/MC greeks in pure Python for teaching; slow on purpose so you can see it. (math)

Half‑Baked — Market Microstructure orderflow LOB

signal-snippets — one‑file experiments for ideas that shouldn’t get a repo yet. status: rotating
half-life-portfolio — backtester with entries implemented; exits under philosophical debate. status: 60%
matching-engine-weekend — toy exchange engine; excels at toy volumes. status: demo‑ready
microprice-notes — proofs, counterexamples, and code for queue/imbalance lore. status: expanding

Half‑Baked — Risk & Sim VaR MC

risk-cxx — VaR/ES in C++; detoured by a custom allocator rabbit hole. status: paused
pay-sim — discrete‑event simulator of payment pipelines; rehearses failure days. status: useful
alpha-lab — spec‑first research harness; every experiment has a fingerprint. status: scaffolding

Half‑Baked — Speed & Systems latency infra

latency-lottery — language shootout for simulated order placement; current winner: “depends”. status: benchmarking
csv-chaos — tick data parser that became a visualizer that became a TODO list. status: refactor
price-whisperer — model that predicts my sleep schedule better than price. status: honest
market-haikus — generates haikus from time‑series. Useless. Keeps me sane. status: therapeutic

If any of this sounds interesting, send a failing test and a short note. Slides optional; logs preferred.

Date	Change
2025‑08‑15	Added Notes and grouped Half‑Baked projects; tightened layout; hoverable pills; collapsible lists.
2025‑08‑15	First public posting of this plain HTML. Removed CSS that tried to be fancy. Added Bug Bounty.
2025‑08‑12	Queue/imbalance replication notes; microprice helps when depth ≤ 3 levels.
2025‑08‑05	Added turnover penalty grid to portfolio construction.

Bug Bounty (for this site only)

Find a typo, broken link, or factual error? I’ll send you ₹257 or $2.56 (your pick), digitally. One bounty per unique bug. Email with subject: [bug].

Inspired by D. E. Knuth’s checks, sadly without his penmanship.