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Software Engineer - Low Latency

Millennium
City of London
1 week ago
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The Latency Critical Trading team seeks a software engineer who is excited to architect, design, and implement low latency C++ systems that are robust, resilient, accurate, stable, and blindingly fast. By building and maintaining this high‑performance infrastructure, this developer will help position Millennium as a leader in quantitative trading. You will shape the future of this industry while working alongside exceptional programmers and strategists to solve significant engineering problems.


Responsibilities

  • Assisting in the development of a tick‑by‑tick back‑testing research platform and exchange simulation
  • Collaborating with hardware and software developers across divisions to build ultra‑low latency trading systems
  • Contributing to the team’s technical direction by driving new initiatives
  • Developing and optimizing large‑scale parallel computation problems that require large quantities of data shared across resources
  • Developing systems, interfaces, and tools to historical market data and trading simulations that increase research productivity
  • Designing and implementing a low‑latency high‑frequency trading platform, including collecting quotes and trades from and disseminating orders to exchanges worldwide
  • Optimizing this platform using network and systems programming, and other advanced techniques to minimize latency
  • Building and maintaining an automated test and benchmark framework, risk‑management, performance‑tracking, and other tools
  • Testing, implementing, and benchmarking different feed handlers (internal and external) on various hardware offerings and settings (e.g., Solarflare, Mellanox NICs, different switches, compilers and compiler flags, OS options)
  • Working closely with trading teams to gather requirements and develop solutions in a fast‑paced environment
  • Working with development and support teams to adapt to exchange technical upgrades

Key Requirements

  • A degree in computer science or a related field
  • A strong background in data structures, algorithms, and object‑oriented programming in C++
  • Strong template, meta‑programming, and generic programming knowledge (a plus)
  • Comfortable with new features of C++17 and C++20
  • Strong understanding of low‑latency and real‑time system design and implementation
  • Good understanding of Linux system internals and networking
  • Deep understanding of CPU architecture and the ability to leverage CPU capabilities
  • Strong financial experience across multiple asset classes, particularly Options knowledge
  • Strong understanding of multiple trading venue protocols and unique behaviors (for both Market Data, and Order Entry, with a focus on Market Data)
  • Knowledge of any other development language, including Java, Python, or Perl and shell scripts (a plus)


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