Quantitative Research Engineer

Job Description
Responsibilities

• Collaborate closely with quantitative researchers to translate mathematical models into production-grade, ultra-low latency implementations
• Maintain and improve trading algorithms by looking for both quantitative and performance-based opportunities
• Apply advanced mathematical and computational techniques to market microstructure problems
• Develop and optimize high performance C++ for real-time trading systems

Profile, measure, and reason rigorously about system behavior under extreme performance constraints
Required Skills
Research Engineers at Citadel Securities are responsible for designing, building and optimizing our electronic trading platform. Research Engineers will work closely with our researchers, simulation and live traders to perform various functions, including the development of our core-trading infrastructure and high-throughput trading systems and working with the research team to identify and optimize critical bottlenecks in research and production trading.
We require a strong knowledge of low-level optimization, interest in algorithmic trading, data analysis/design, risk management and application development. Research Engineers will gain exposure to quantitative trading while working in our fast-paced, dynamic environment. Our Research Engineers work on projects from inception through to deployment and are expected to take real ownership of the assets they are building.
Required Qualifications

• Strong mathematical and quantitative foundation
• Strong background in systems programming and performance engineering
• Expert-level proficiency in C++ with a demonstrated history of writing high performance, low latency code
• Understanding of modern CPU architectures: including pipelines, caches, memory models, and parallel execution
• Proven ability to optimize software across abstraction layers, from algorithms to hardware

Preferred Experience

• Prior experience in high frequency trading, market making, or electronic trading infrastructure
• Experience with parallel programming models and heterogeneous computing
• Track record of delivering production systems where performance was the primary constraint
• HPC programming, include accelerators such as GPUs, TPUs, etc.

Specialties

• Financial technology and electronic trading systems
• Low level CPU and GPU performance optimization

Research-driven engineering in production environments
About Citadel
Citadel is one of the world's leading alternative investment managers. We manage capital on behalf of many of the world's preeminent private, public and nonprofit institutions. We seek the highest and best use of investor capital in order to deliver market leading results and contribute to broader economic growth. For over 30 years, Citadel has cultivated a culture of learning and collaboration among some of the most talented and accomplished investment professionals, researchers and engineers in the world. Our colleagues are empowered to test their ideas and develop commercial solutions that accelerate their growth and drive real impact.