Our client is looking for an experienced Quantitative Developer to work in their New York office. The successful candidate will lead the system wide design and build out of a quantitative futures and currencies portfolio focused on high and mid frequency signals and strategies.
Responsibilities:
- Building high-performance/low-latency components for both live trading and simulation
- Refining, and increasing automation and robustness of the research infrastructure including alpha estimation, risk modeling, and backtesting components
- Efficient storage and access scheme for data and reference data across all frequencies, including microstructure data
- Researching and implementing performance analytics, including signal performance and post-trade analytics (e.g. slippage, fill-rate, and market impact reports)
- Achieving trading system robustness through automated reconciliation and system-wide alerts and fuses
Requirements:
- A Masters in Computer Science or a quantitative discipline, and at least 3 years of industry experience in a quantitative business is required (must include working on high-frequency/low-latency technology)
- Experience with performance tradeoffs for common hardware and technology decisions
- Strong C++ skills, and some experience in Python.
- Knowledge of R is preferred.
- Experience in futures and currencies would be preferred.
