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Microstructure Performance Researcher

Optiver is a leading trading firm driven by technology with over one thousand employees globally. We pioneer our own trading strategies and systems using clean code and sophisticated technology, running a global network with thousands of high-performance low-latency applications that solve problems in nanoseconds.

We are seeking to grow our Performance Research team which specializes in exchange connectivity, low latency technologies, and competitive analysis. This team is responsible for keeping Optiver ahead in the market by understanding and optimizing the interplay between trading strategies, exchange connectivity and market microstructure. This could be done through the analysis of exchange protocols and analyzing the physical setup as well as business approaches. Experimentation and a data-oriented mindset are key to being successful in this role. Whatever ideas you have, we can try!

A Microstructure Performance Researcher is responsible for tying our systems back to the trading problem using data analysis while working closely with traders, engineers and other researchers to help develop new pioneering ideas. This role is about validating, modelling, and providing metrics on the systems we build and use.

What you will do:

  • Understand exchange microstructure and rules and how they affect trading strategies. Optimize existing or create new models and strategies based on this knowledge;
  • Develop, improve, and standardize exchange infrastructure optimization methods and guidelines;
  • Guide the development and standardization of exchange optimization protocols;
  • Conduct progress reports and establish exchange protocols for multiple locations and ensure those protocols are implemented across relevant infrastructure;
  • Critically review co-locations and the technologies used for potential infrastructure changes to maximize efficiencies and fine tune our exchange relationships. This could include analysis of market microstructure, exchange protocols, speed-sensitive communication systems, trading opportunities and performance advantages;
  • Help develop and expand other relationships for diversification of region and product across other exchanges;
  • Contribute to the design, development and implementation of Performance Engineering solutions for our global business, including elements of latency analysis and the development of tools to assess performance;
  • Look for adjustments that can be made to our engagements and protocols that will increase our performance;
  • Liaise and collaborate with all relevant Optiver technical teams and trading technology groups as well as relevant trading and research leads to develop new projects, products and low-latency strategies, all driven by data;
  • Seek out competitor intelligence, legal analysis and trading analysis;
  • Help develop and expand ideas and techniques onto new markets.

What you will need:

There are unconventional ways to seek out information sources for the best trading cycles and it requires an inquisitive mindset to garner that knowledge and seek out new sources of detail. A technical appreciation of the following will be of benefit:

  • A degree in Mathematics, Applied Mathematics, Computer Science or similar;
  • A quantitative mindset and a good working knowledge of algorithms, data structures, and data analytics.
  • A research approach in order to tackle algorithmic and optimization procedures on exchange and trading systems (gateway/switch routing/warming, line arbitration);
  • Solid programming skills in Python for data analysis. C/C++ knowledge is a plus;
  • Prior exchange connectivity and market microstructure analysis experience as well as the ability to develop efficient data pipelines to analyse this data;
  • Experience with highly distributed, high frequency and low latency systems;
  • Knowledge of exchange infrastructure and FIX protocols;
  • Involvement with database & protocol decoding infrastructure.

What you can expect from us
We understand that our best work is done together. We constantly ask ourselves how to do better, which creates a stimulating and fun environment, where you are seriously rewarded for your performance We offer excellent remuneration and great secondary benefits, such as an attractive profit sharing structure, training opportunities, fully paid first-class commuting expenses, a premium-free pension, breakfast and lunch facilities, sports and leisure activities, even weekly chair massages and of course Friday afternoon drinks. We are used to guiding candidates through their relocation and offer relocation packages and discounts on health insurance.

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