Rates Quant: Backtesting & Auto Market-Making

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

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.