Quantitative Research Engineer

Responsibilities

* Collaborate closely with quantitative researchers to translate mathematical models into production-grade, ultra-low latency implementations

* Maintain and improve trading algorithms by looking for both quantitative and performance-based opportunities

* Apply advanced mathematical and computational techniques to market microstructure problems

* Develop and optimize high performance C++ for real-time trading systems

Profile, measure, and reason rigorously about system behavior under extreme performance constraints

Required Skills

Research Engineers at Citadel Securities are responsible for designing, building and optimizing our electronic trading platform. Research Engineers will work closely with our researchers, simulation and live traders to perform various functions, including the development of our core-trading infrastructure and high-throughput trading systems and working with the research team to identify and optimize critical bottlenecks in research and production trading.

We require a strong knowledge of low-level optimization, interest in algorithmic trading, data analysis/design, risk management and application development. Research Engineers will gain exposure to quantitative trading while working in our fast-paced, dynamic environment. Our Research Engineers work on projects from inception through to deployment and are expected to take real ownership of the assets they are building.

Required Qualifications

* Strong mathematical and quantitative foundation

* Strong background in systems programming and performance engineering

* Expert-level proficiency in C++ with a demonstrated history of writing high performance, low latency code

* Understanding of modern CPU architectures: including pipelines, caches, memory models, and parallel execution

* Proven ability to optimize software across abstr