Quant Research Engineer, Derived Data Products

Responsibilities

• Identify high-value derived datasets by understanding how quants, researchers, and data scientists use market data in their workflows.
• Design and specify quantitative methodologies for new datasets—from statistical assumptions to signal construction to edge-case handling.
• Prototype algorithms using Python or SQL to validate correctness and performance on large datasets.
• Build and document rigorous methodology definitions that customers trust and internal teams can implement.
• Develop robust approaches for data cleaning, normalization, smoothing, interpolation, and event alignment.
• Work directly with raw market microstructure data (trades/quotes/order books) to derive stable, actionable metrics.
• Conduct backtests, stress tests, and statistical validation to ensure each dataset behaves as intended.

Skills & Qualifications

• Strong quantitative background (math, statistics, physics, CS, engineering, or related field).
• Deep understanding of market data structure and microstructure: trades, quotes, NBBO, order book dynamics, price formation, volatility, liquidity.
• Fluency in designing statistical and algorithmic transformations of time-series data.
• Ability to break down noisy real-world data and rebuild reliable, stable, well-defined derived metrics.
• Comfort writing Python, SQL, and simple scripts for prototyping and testing (AI can assist; your domain judgment is what matters).
• Ability to clearly articulate assumptions, methodology, and edge-case behavior in writing.
• Experience in quantitative research or dataset creation at a market data provider, asset manager, hedge fund, or trading firm is a plus.
• Familiarity with smoothing filters, microstructure noise models, interpolation schemes, Bayesian methods, or factor construction is a plus.
• Experience working with large-scale tick data or historical market datasets is a plus.
• Exposure to production engineering concepts (PRs, CI, code review), though deep engineering expertise is not required.