Citi's Algorithmic Trading Quant team is responsible for the research, design, implementation, and maintenance of Equities Execution Algorithms and related Trading Products for institutional clients and internal trading desks, with a focus on North America and LATAM markets. The role aims to foster innovation and improve execution performance through cutting-edge algorithmic trading strategies.
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 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.
Responsibilities
- 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.
Other
- 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.
