Algorithmic Trader - Delta One

Simplex Trading•Chicago, IL

11d•$150,000 - $200,000•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 collaborating with C++ and FPGA developers to bring strategies into production. It is suited to someone who has traded or researched ES/NQ in a low-latency environment and can take ideas from raw market data through live trading. The trader will develop prediction signals, own the signal pipeline, tune passive market-making strategies, model matching-engine behavior, measure and improve latency, and specify and verify developer work. Simplex describes itself as an in-office organization that emphasizes collaboration and communication.

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 microsecond-to-second price-prediction signals for CME equity index futures using full-depth order book and trade data, including order aggressiveness, queue position, cancels, icebergs, and leads from related futures and cash equities.
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 by using fill latency and book state to estimate traded levels and future price changes, then use that information to adjust quotes, purge, and take liquidity in futures, index options, and equities.
Measure and improve latency by profiling order paths in microseconds, reconciling wireless and fiber timestamps across data centers, comparing vendor signal feeds, and quantifying misses against exchange reports.
Write developer specifications, verify developer output against independent calculations, and identify bugs in production data and pricing pipelines.

Benefits

Health, dental, and vision insurance, including free employee coverage.
401(k) contributions and a 401(k) match.
Annual discretionary bonus, potentially a significant portion of total compensation.
Generous parental leave.
Daily breakfast and lunch stipends.
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 matching up to $2,000 per year.
In-person events, including happy hours, celebrations, and game nights.