Algorithmic Trading Quantitative Analyst - VP

Citi-posted 4 months ago
$175,000 - $250,000/Yr
Full-time • Mid Level
New York, NY
5,001-10,000 employees
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The Algorithmic Trading Quant team is part of the Citi ICG Markets and is responsible for the research, design, implementation and maintenance of Equities Execution Algorithms and related Trading Products offered to Citi’s institutional clients and internal trading desks. The team collaborates with global teams and works with specific focus on North America and LATAM markets. Development Value: As an opportunity to work in a fast-paced environment and as a member of a quant group that is responsible for research and development of cutting-edge algorithmic trading strategies, this position offers the opportunity to combine strong quantitative, technical, and soft skills to foster innovation in a collaborative team culture. It is an opportunity to be involved in challenging new initiatives, learn the latest developments in the Electronic Trading domain and be part of Citi’s growing Equity Trading franchise.

  • Improve Algorithmic Trading Algorithms by being able to perform both research and some implementation work with the objective of providing best in class execution performance.
  • Research and analyze ideas for enhancing existing and developing new algorithms (such as VWAP, liquidity seeking), models (such as optimal schedule, market impact model) and short-term predictive signals (such as fair value).
  • Perform analysis of large data sets comprising of market data, orders, executions and derived analytics.
  • Conduct flow analysis & tuning performance for various clients flows.
  • Provide data and analysis supporting initial model validation and ongoing performance analysis.
  • Implement algorithm enhancements and customizations with production quality code.
  • Apply best practices towards development and testing modular, reusable, robust trading components and strategy code.
  • Work in close partnership with Sales team, Product, Technology teams, Risk & Control team, Legal, Compliance & Audit in order to ensure appropriate governance and compliance with industry regulations.
  • Build a culture of responsible finance, good governance and supervision, expense discipline and ethics.
  • Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same.
  • Adhere to all policies and procedures as defined by your role which will be communicated to you.
  • Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe.
  • Appropriately assess risk when business decisions are made, demonstrating consideration for the firm's reputation and safeguarding Citigroup, its clients, and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.
  • Good understanding of US Equity Algorithmic Trading and Market Microstructure. Knowledge of ETF trading is a plus.
  • Minimum 5 years of experience in trading environment of which minimum 3 years should be in research of agency execution algorithms, smart order routing strategy, liquidity seeking strategies, market making strategies or high frequency trading strategies.
  • Experience applying statistical modelling and machine learning towards analysis of large data sets.
  • Experience with Predictive signal, Market Impact and Optimal Trading schedule models are desirable.
  • Strong analytical and quantitative skills and experience using with statistical programming languages such as Python or R.
  • Strong programming and software design skills in Java is a plus.
  • Experience with Q/KDB or time series databases is desirable.
  • Good communication skills, both verbal and written.
  • Ability to juggle multiple tasks and projects in a fast-paced work environment.
  • medical, dental & vision coverage
  • 401(k)
  • life, accident, and disability insurance
  • wellness programs
  • paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays
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