• Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Citi-US
  • 2018-10-22

FXLM Algorithmic Trading Quant

FXLM Algorithmic Trading Quant

  • Primary Location: United States,New York,New York
  • Education: Bachelor's Degree
  • Job Function: Trading
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: Yes, 10 % of the Time
  • Job ID: 18058779


Description

Position Objective

We are looking to hire a candidate to advance Citi's FX Algorithmic execution platform, creating a best in class, next generation product for our clients franchise. This includes pre and post trade transaction cost analysis, optimizing execution logic, and development of new algorithms to minimize market impact and add value for our clients. The Citi FX Intelligent orders business is data driven, the candidate will work to enhance the analytical tools used to examine our executions. Leveraging these data sources is key to developing a deeper understanding of how to optimize execution in the highly fragmented foreign exchange markets. The candidate will also participate in automating tasks done by our Algo Execution Desk, with particular focus on benchmark execution and risk management.  

Key Responsibilities

Work in partnership with Algo and market making quants to develop the following:
  • Best in class preTrade analytics and TCA suite
  • Best in class algorithmic execution strategies
  • Best in class tools for the broader FX business to analyze optimal execution on exchanges
  • Automate manual and repetitive tasks done by the Algo Execution Desk
  • Incorporate objects/signals that exist in internal trading container into an execution model that is dynamic and can be deployed in a real-time environment
In order to achieve these goals, the candidate will need to work closely with business managers, technology, and sales.  This close collaboration is key as we aim to deliver these quantitative models to our global client base in a manner that is easily used and understood by our clients. 

Challenges

The business has large amounts of execution data that will require a considerable effort to organize in a manner that will scale to the growing business demands.  The candidate will need to organize, clean, identify issues with the data and create tools that facilitate easy access.   Through detailed and complex quantitative analysis of both execution data and market microstructure data, the candidate will participate in creating a suite of next generation FX algorithms and trading strategies.

Given the global and interconnected nature of Citi's FX business, the candidate will need to collaborate extensively with teams in multiple regions across various roles including   quants, trading, sales, technology, business managers and support.

Critical Success Factors
  • Build a best in class, next generation FX Algorithmic platform
  • Create industry leading TCA and PreTrade analytics
  • Improve the operational efficiency of the FX execution and trading desks including automating manual risk management tasks assigned to the Agency Execution & Fixing Desk
  • Best in class tools for the broader FX business to analyze optimal execution on exchanges
Development Value
  • Exposure to industry leading eTrading and Algorithmic Execution teams
  • Exposure to Citi's broad and globally distributed client base and business teams
  • Develop greater understanding of market microstructure and optimal execution
  • Develop core skills in analyzing big data
  • Exposure to some of the industry's largest consumers of Algorithmic Execution


Qualifications

Knowledge
  • Two years combined experience in electronic trading, data analysis, quantitative research
  • Knowledge of the spot FX market and experience in FX market microstructure is preferred
  • The candidate will have an understanding of the challenges of buy-side execution preferably in spot FX. It would be beneficial if the candidate possesses experience in engaging with the buy-side client base, particularly in the hedge fund and real money segments
  • Experience of building both pre- and post-trade TCA tools for FX and other asset classes
Skills
  • Excellent communication skills
  • Quantitative Analysis including market microstructure, optimal execution, and big data
  • Ability to work well under pressure and deliver on time
  • Ability to work well as part of a global team
  • Organized and self-motivated
Qualifications
  • Degree in quantitative science, Masters or Ph.D. is preferred
  • Programming skills - Java is preferred, kdb, R, VBA
  • Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience