Algorithmic Trader - Delta One

Simplex Trading•Chicago, IL

10d•Onsite

About The Position

Simplex is hiring an Algorithmic Trader focused on CME equity index futures. The role involves building and running short-horizon strategies at microsecond-to-second timescales, converting full-depth order book data into predictive signals, designing passive market-making logic for ES, and working with C++ and FPGA developers to put strategies into production. It is suited to someone with experience trading or researching ES/NQ in a low-latency environment who can take ideas from raw market data through live trading. The position is in-office and emphasizes collaboration. The trader will own the signal pipeline from packet-capture data and feature design through model fitting, simulation, pruning, and deployment. The role also includes tuning a passive ES market-making strategy, modeling matching-engine behavior, measuring latency, and validating developer work and production pipelines.

Requirements

At least 2 years of trading or researching CME equity index futures (ES/NQ) at a proprietary trading firm with sub-millisecond systems.
Hands-on experience with CME MDP 3.0 order-by-order market data, including book building, queue-position tracking, iceberg and self-match-prevention inference, and matching-engine latency behavior.
Experience building microprice or alpha models that ran live at microsecond horizons.
Fluency in lead/lag analysis, half-lives, markouts, and adverse selection.
Passive quoting experience on FIFO futures markets, including queue value, join and cancel logic, messaging-efficiency constraints, and mass-quote protections.
Experience with a Python research stack, including polars or pandas, numpy, gradient-boosted trees, and SQL.
Ability to read C++.
Experience working alongside FPGA or low-latency engineers.

Nice To Haves

Experience with index basis and roll (cash, futures, BTIC), SPX options, or microwave network latency.

Responsibilities

Research and build short-horizon price-prediction signals for CME equity index futures using full-depth order book and trade data.
Own the signal pipeline end to end, including packet-capture data, feature design, sampling, linear and tree-based model fitting, pruning, out-of-sample simulation, and deployment with C++ and FPGA developers.
Design and tune a passive ES market-making strategy, including level joining, queue-priority value, order spacing, cancel/replace timing, exchange messaging limits, and protective pulls when latency or connectivity degrades.
Model the matching engine and use fill latency and book state to estimate traded levels and future price changes, then use that information to adjust quotes, purge orders, and take liquidity in futures, index options, and equities.
Measure and improve latency by profiling order paths, reconciling wireless and fiber timestamps across data centers, comparing vendor signal feeds, and quantifying misses against exchange reports.
Write specifications for developers, verify their output against personal calculations, and identify bugs in production data and pricing pipelines.

Benefits

Annual discretionary bonus, potentially a significant portion of total compensation.
Health, dental, and vision insurance, including free employee coverage.
401(k) contributions and matching.
Generous parental leave.
Daily breakfast and lunch stipends; kitchen stocked with snacks and beverages.
Tuition reimbursement and educational assistance for professional development.
Employee discounts to gyms, national brands, and more.
Access to a building gym and full cafeteria.
Charity donation match up to $2,000 per year.
In-person happy hours, celebrations, game nights, and other events.