Quantitative Developer, Python

Job Location

On Site

Published By

Anthony Singh

Type of Job

Full Time

Published Date

September 10, 2020

About the job

Seeking a quantitative developer to assist in the implementation, maintenance, and continuing enhancement of a global macro strategy that employs a variety of market and fundamental data, trading futures and FX at various horizons (intraday and longer). Key projects/responsibilities will include: interfacing with WQ/MLP systems for execution and data (historical and live); internal management/organization of datasets and signals; design and implementation of a consolidated signal generation & portfolio construction workflow.

Requirements

Desired:
- Python: experience writing production-quality applications and smaller scripts/utilities

- Scientific programming (numpy, scipy, pandas, numba) - Event loops / asyncio

- C++: experience with larger-scale applications, ideally in asynchronous/multi-threaded environment; writing wrappers (e.g., Cython, MEX)
- Message bus/queue: experience with something like Kafka, RabbitMQ, Redis
- Scripting of some sort (e.g., Shell, Perl, Tcl)


- Data management:
- Experience working with structured/unstructured data, cleaning/processing thereof - Relational databases: ability to write/tune SQL, experience with schema design

- Distributed computed: experience with schedulers (e.g., HTCondor), DAG-based workflows
- DevOps: knowledge of SDLC best practices and related tools (version control, deployment, etc.)


Nice to have: experience with Matlab, Java, Web design, APL variants


Quantitative skillset:

Desired:

- Undergrad/masters-level linear algebra, statistics, econometrics
- Academic & practitioner understanding of various data structures, algorithms
- Experience working with optimization libraries (e.g., MOSEK, CPLEX, SciPy) and underlying concepts

Nice to have: experience with multi-period optimization / dynamic programming, timeseries analysis / signal processing


Domain-specific:
Desired: Experience with intraday data (TAQ, barring), execution algo configuration / TCA


Nice to have: experience with macro products & relevant trading conventions, macroeconomic data, yield curve modeling / fixed income analytics, options pricing, analyst forecasts (macro and equity), Bloomberg, Reuters Tick History

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New York or Connecticut, US

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