Quantitative Research Engineer

Job DescriptionResponsibilitiesCollaborate closely with quantitative researchers to translate mathematical models into production-grade, ultra-low latency implementationsMaintain and improve trading algorithms by looking for both quantitative and performance-based opportunitiesApply advanced mathematical and computational techniques to market microstructure problemsDevelop and optimize high performance C++ for real-time trading systemsProfile, measure, and reason rigorously about system behavior under extreme performance constraintsRequired SkillsResearch 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 QualificationsStrong mathematical and quantitative foundationStrong background in systems programming and performance engineeringExpert-level proficiency in C++ with a demonstrated history of writing high performance, low latency codeUnderstanding of modern CPU architectures: including pipelines, caches, memory models, and parallel executionProven ability to optimize software across abstr