Quantitative Software Engineer: Macro Engineering

New York, New York, United States

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Two Sigma is a different kind of investment manager. Since 2001, we have used data science and technology to derive insights that forecast the future and discover value in markets worldwide. Our team of scientists, technologists and academics looks beyond traditional finance to understand the bigger picture and develop creative solutions to some of the world’s most difficult economic problems. Our work spans markets and industries, from insurance and securities to private investments and new ventures.

The Macro Engineering team’s mission is to build and maintain a robust, efficient, flexible and modern platform for the macro business to research and trade global macro markets. The new Fixed Income Relative Value (FIRV) business is part of Two Sigma’s macro business, which focuses on finding trade opportunities in the relative values of Fixed Income financial instruments. We are looking for an experienced Quantitative Software Engineer to assist developing and supporting the strategies and technology platform that drives Two Sigma’s macro trading across global markets.

You will take on the following responsibilities: 
  • Researching, engineering and developing adaptive mathematical/quantitative computer systems/trading strategies by using math and statistical analysis skills in the application of computer science, mathematical/quantitative and engineering analytical principles.
  • Deliver engineering excellence in areas such as portfolio optimization, derivative pricing, risk modeling, market impact modeling, and derived market data calculations. 
  • Create programs to calculate portfolio performance attribution and automate reports.
  • Develop and enhance simulation framework to back test new alpha and portfolio improvements.
You should possess the following qualifications:
  • Demonstrated knowledge of programming languages such as C/C++ or Java, including experience in designing and developing low latency, high performance, robust and scalable software.
  • Extensive knowledge of Computer Architecture, Operating Systems, Algorithms, and Data Structures; worked on large-scale programming projects with over 20k lines of code.
  • Numerical programming skills utilizing statistical or scientific computing libraries and technologies such as pandas, numpy/scipy, and scikit-learn in Python to create and implement algorithms involving fundamental mathematics, including statistics and linear algebra.
  • Experience in Fixed Income modeling and trading platforms, and the experience in Fixed Income Relative Value trading is a big plus.
You will enjoy the following benefits:
  • Core Benefits: Fully paid medical and dental insurance premiums for employees and dependents, 401k match, employer-paid life & disability insurance
  • Perks: Onsite gyms with laundry service, wellness activities, casual dress, snacks, game rooms
  • Learning: Tuition reimbursement, conference and training sponsorship
  • Time Off: Generous vacation, sick days, and paid caregiver leaves
We are proud to be an equal opportunity workplace. We do not discriminate based upon race, religion, color, national origin, sex, sexual orientation, gender identity/expression, age, status as a protected veteran, status as an individual with a disability, or any other applicable legally protected characteristics.