Market Microstructure Python Quant

  • High
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • BMLL Technologies
  • 20 Jul 18 2018-07-20

BMLL is looking to hire a market microstructure specialist for a full time position based in the London's West End. The role is to develop algorithms in Python to analyse limit order book data in order to develop products to meet customer future needs and to work with existing customers helping them understand and solve their existing problems. The role will suit someone that is able to present a world-class pedigree in the market microstructure space, either at the outset of their career or further on in it.

WHAT WILL YOU BE DOING?

The following activities give a flavour of the tasks:

  • Working with leading asset managers, investment banks and hedge funds to understand and solve their hardest data science problems.
  • Implementing scientific papers in Python and iterating on them
  • Specific focus on visualization eg market impact of an order against market conditions
  • Regular communication with customer technical staff
  • Working closely with the backend and frontend development teams
  • Adding functionality to the core API

Examples of the sort of areas we would like to see topical knowledge include,

  • Smart order routers
  • Execution algorithms such as VWAP, THOR, IS
  • Market Impact models, such as Almgren-Chriss variants
  • Analysis of order types
  • Feature generation from order books

Everything we do is in Python. The role will include adding functionality to the core Python API and writing unit and integration tests, along with use of Git and other development tools. Because we are a platform product, we are looking for a quant with above average exposure to production level programming as opposed to just scripts.

The role will sit inside one of the data science teams, under a team lead and report directly to the CTO.

REQUIREMENTS 

SKILLS AND EXPERIENCE - REQUIREMENTS

Candidates must have:

At least three years experience working with market microstructure data
Very strong Python programming skills, including Pandas and Numpy

SKILLS AND EXPERIENCE - BENEFICIAL

PhD in a STEM subject from a leading university
Experience as in a industry role where microstructure data was used

YOUR PROFILE

The ideal profile for this role is someone who has been working in the market microstructure space in industry for at least three years. This might be around developing high-frequency trading signals, execution algorithms or trade surveillance. The introduction to market microstructure might have been a PhD or post-doc in the field which then led into industry.