Equities Algorithmic Trading Quantitative Analyst, Vice President, MQA

Citi • New York, NY

2d • Onsite

About The Position

The Algorithmic Trading Quant team is part of Citi Global 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. As an opportunity to work in a fast-paced environment and as a member of a quant group that develops 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.

Requirements

• Good understanding of US Equity Algorithmic Trading and Market Microstructure.
• Minimum 5 years of experience in trading environment of which minimum 3 years should be in research and development 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.
• Strong programming and software design skills in Java.
• Minimum of 3 year of software development experience is required.
• Strong analytical and quantitative skills and experience using with statistical programming languages such as Python or R.
• Good communication skills, both verbal and written.
• Ability to juggle multiple tasks and projects in a fast paced work environment.
• Masters or PhD in Finance, Mathematics, Engineering, Computer Science or related field
• Applicable licenses: Will be required to either already have or apply upon arrival for Series 7 and 63.

Nice To Haves

• Experience with Predictive signal, Market Impact and Optimal Trading schedule models are desirable.
• Experience with low latency and/or high performance systems are desired.
• Strong candidates with experience in other object oriented languages such as C++ will also be considered.
• Experience with Q/KDB or time series databases is desirable.

Responsibilities

• Improve existing Trading Algorithms by being able to perform both model research and 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 liquidity seeking), models (such as 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.
• Implement algorithm enhancements and client customization requests with production quality code.
• Design and implement unit test and regression test case for changes made in the strategy code.
• Enhance the trading model development and simulation frameworks.
• Apply best practices towards developing modular, reusable, robust trading components and strategy code.
• Support client algorithmic trading enquiries and assist with performance analysis & tuning.
• Work in close partnership with Coverage desk, Technology teams and control functions such as Legal, Compliance & Audit in order to ensure appropriate governance and control infrastructure
• 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 particular 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.

Benefits

• 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

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level