Senior Market Microstructure Researcher; Remote

The Chicago, IL opening for a Senior Quantitative Researcher — Market Microstructure is fully remote and restricted to applicants in that area. Its mandate is to research intraday price formation, liquidity, and execution behavior across U.S. equities while providing Central Time coordination across cash equities, listed derivatives, and both coastal schedules.

Base salary: $210,000–$285,000 USD, based on experience
Work arrangement: Fully remote; applicants must be based in the Chicago, IL area
Experience: 7+ years
Additional compensation: Performance-bonus and equity eligibility based on role and level

The central responsibility of the Chicago, IL opening is the full evidence path from event-time data design through production review of market-microstructure measures. The assigned window includes Central Time coordination across cash equities, listed derivatives, and both coastal schedules. Success requires reproducible work, prompt escalation, and clear ownership through review and production use.

The Chicago opening emphasizes derivatives-aware review, pre-open preparation, and controlled live-market escalation. The Central Time window connects overnight futures behavior, the equity open, listed-derivative activity, and the afternoon cash close in one working day. The role must separate information that transfers across instruments from relationships that only appear during a short regime. Any production response needs an owner, a limit, and a review time.

For this role, that means direct ownership of event-time data quality, liquidity diagnostics, and intraday research review during Central Time coordination across cash equities, listed derivatives, and both coastal schedules.

In Chicago, IL, the first formal review will assess event-time data quality, liquidity diagnostics, and intraday research review under the normal controls used for Central Time coordination across cash equities, listed derivatives, and both coastal schedules. Any proposed response must remain within an approved limit. Two assigned tasks anchor the evidence:
Document assumptions, failure modes, and regime sensitivity; and Design studies of spreads, depth, impact, auction behavior, and short-horizon price response. The Chicago opening emphasizes derivatives-aware review, pre-open preparation, and controlled live-market escalation. The record must show how each result affected the review. Before the review closes, you will state what changed, what did not change, and what needs more evidence.

A peer must be able to follow the result back to the full evidence path from event-time data design through production review of market-microstructure measures.

• Design studies of spreads, depth, impact, auction behavior, and short-horizon price response
• Build event-time datasets without look-ahead or survivorship bias
• Partner with engineering to product ionize validated measures
• Document assumptions, failure modes, and regime sensitivity
• Own event-time data quality, liquidity diagnostics, and intraday research review during Central Time coordination across cash equities, listed derivatives, and both coastal schedules.

• Advanced degree in a quantitative field or an equivalent research record
• Strong Python, SQL, statistics, and market-data experience
• Evidence of rigorous empirical research in electronic markets

• Experience with order-book data, auctions, or transaction-cost models
• A record of explaining noisy microstructure evidence without overstating conclusions
• Experience collaborating across time zones while maintaining the operating coverage assigned to the Chicago, IL opening.

• Medical,…