Overview
In questa role you will design, build and extend backtesting infrastructure for automated market-making models in the rates desk, driving production-ready data and tooling. You will work closely with traders, tech and data teams to deliver data-driven trading tools and optimize pricing, hedging and backtesting. The role combines advanced quantitative work with governance, risk awareness and implementation across legacy migrations. This is an opportunity to shape scalable trading tech and tooling in a high-stakes financial environment.
Responsibilities
- Implement backtesting infrastructure for automated market-making, including orchestration across multiple languages
- Develop and implement market-making models (hedging, bid-offer, price predictors, pricing models)
- Create data-driven trading tools and optimize the pricing/hedging/trading tech stack
- Lead tech migrations and modernize infrastructure while adopting new innovations
- Collaborate with Traders, technology professionals and data specialists to align solutions
- Engage with control functions (Legal, Compliance, Market Data, Model Risk) to ensure governance and risk controls
- Define and promote best practices in the team and uphold Citi’s conduct and plan of supervision
- Assess risk/reward of transactions and maintain focus on reputation and compliance
Key requirements
- Extensive experience in algorithmic trading
- Extensive programming experience (Rust preferred; C++/Java also acceptable)
- KDB, Python, SQL
- Experience with messaging and data serialization, market data processing, API design, latency optimization, testing, and deployment tools
- Experience handling large volumes of disparate data sources and data normalization
- Ownership of existing technologies and experience with migrations
- Working knowledge of rates instruments and quantitative tools for algo trading
- Strong written and verbal communication skills
- Excellent communication
- Collaborative mindset
- Strong analytical and problem-solving abilities
- Rust
- C++
- Java
Quantitative Analyst (Rates Electronic Market Making), VP in London employer: Citigroup
Citi is an exceptional employer, offering a dynamic work environment in the heart of London where innovation meets collaboration. As a Sales Director, you will benefit from extensive training and mentorship opportunities, fostering your professional growth while working alongside industry leaders in FX Sales. With a strong commitment to integrity and inclusivity, Citi provides a supportive culture that empowers employees to excel and drive meaningful results for clients.
