Quantitative Analyst (Rates Electronic Market Making), VP

Citigroup Inc.; Greater London; On-site; GBP 80,000 - 130,000; Full time

Job summary

Citigroup Inc. is seeking a Quantitative Analyst to design, build and extend backtesting infrastructure for automated market-making in the rates domain.

You will develop data-driven trading tools and models, and collaborate with Traders, technology professionals and data specialists to advance pricing, hedging and trading capabilities. The role requires extensive programming experience (Rust, Python, C++, Java) and a strong grasp of market data, latency optimization and risk governance.

Qualifications

• Extensive experience in algorithmic trading.
• Advanced programming experience across multiple languages.
• Proficiency in Rust; C++/Java considered.
• Experience with data serialization, market data, latency optimization.
• Ability to own and migrate technologies.
• Knowledge of rates instruments and quantitative tools.
• Strong written and verbal communication skills.
• Master’s degree preferred.

Responsibilities

• Design, build and extend backtesting infrastructure for automated market-making.
• Develop automated market-making models and data-driven trading tools.
• Improve and transform the existing technology stack for pricing, hedging and trading.
• Collaborate with Traders, technology professionals and data specialists.
• Ensure governance with Legal, Compliance and control functions.
• Adhere to Citi’s Code of Conduct and supervision policies.

Skills

Algorithmic trading

Programming

Rust/C++/Java

Messaging systems

Data handling

Technology ownership

Rates instruments knowledge

Written and verbal communication

Education

Master’s degree

Tools

Rust

C++

Java

KDB

Python

SQL

Job description

The Quantitative Analyst is a strategic professional who closely follows latest trends in own field and adapts them for application within own job and the business. Strong commercial awareness is a necessity. Excellent communication skills required in order to negotiate internally, often at a senior level. Provides advanced judgment and conducts in-depth quantitative or qualitative analysis to solve problems and develop new, innovative solutions. Required to think beyond existing solutions, assumptions or current knowledge of sophisticated areas. Significant impact on a function and/or the business through making decisions that determine technical approaches and strategies for the area.

Position Objective:

• Design, build and extend backtesting infrastructure that drive production code paths with historical data. This is in the context of automated market-making models for the rates business
• Develop and implement automated market-making models and data-driven trading tools for the rates business.
• Improve and transform existing infrastructure for automated market-making models and data-driven trading tools.

Responsibilities:

• Implement automated market-making backtesting infrastructure including orchestration, using a wide variety of programming languages, including, Rust, python, KDB, Java
• Implement automated market-making models (hedging algorithms, bid-offer models, price predictors, automated pricing models)
• Implement data-driven trading tools
• Optimize and streamline existing technology stack used for pricing, hedging and trading analysis, including live pricing and backtesting.
• Define and develop strategic improvements to the existing technology stack. Keep abreast of technological innovations to facilitate their adoption within the team and coordinate migrations from legacy systems
• Keep abreast of technological innovations to facilitate their adoption within the team and coordinate migrations from legacy systems
• Collaborate closely with Traders, technology professionals and data specialists
• Work in close partnership with control functions such as Legal, Compliance, Electronic Trading Risk
• Management, Model Risk Management and Market Data Team in order to ensure appropriate governance and control infrastructure
• Build a culture of responsible finance, good governance and supervision, expense discipline and ethics.
• Define and disseminate technological best practices within the team.
• Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.
• 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.

Qualifications:

• Extensive experience in the algorithmic trading space
• Extensive programming experience.
• Technology/programming skills in preferably Rust although C++ and Java would be considered. KDB, Python, SQL
• Extensive experience in messaging and data serialization technologies, market data processing, API design, latency optimization, code testing, build and deployment tools
• Experience handling large volumes of disparate data sources, including integration and normalization
• Experience in taking ownership of existing technologies, building new ones, and performing technology migrations.
• Working knowledge of rates financial instruments and mathematical tools used in algo trading
• Consistently demonstrates clear and concise written and verbal communication skills

Education:

• Master’s degree preferred.

Job Family Group:

Institutional Trading

Job Family:

Quantitative Analysis

Time Type:

Full time

Most Relevant Skills

Please see the requirements listed above.

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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