Market Data Engineer

07 Ноября

Партнерские Вакансии

Город:

Москва

Занятость:

Полная занятость

Опыт:

Более 6 лет

Компания "Advantage Solutions"

Responsibilities:

  • Historical Data Capture and Storage: Design, develop, and maintain systems for the acquisition, storage, and retrieval of historical market data from multiple financial exchanges, brokers, and market data vendors.
  • Data Integrity and Accuracy: Ensure the integrity and accuracy of historical market data, including implementing data validation, cleansing, and normalization processes.
  • Data Architecture Development: Build and optimize data storage solutions, ensuring they are scalable, high-performance, and capable of managing large volumes of time-series data.
  • Versioning and Reconciliation: Develop systems for data versioning and reconciliation to ensure that changes in exchange formats or corrections to past data are properly handled.
  • Data Source Integration: Implement robust integrations with various market data providers, exchanges, and proprietary data sources to continuously collect and store historical data.
  • Data Access Tools: Build internal tools to provide easy access to historical data for research and analysis, ensuring performance, ease of use, and data integrity
  • Collaborate with Trading and Research Teams: Work closely with quantitative researchers and traders to understand their data requirements and optimize the systems for data retrieval and analysis for backtesting and strategy development.
  • Performance and Scalability: Develop scalable solutions to handle growing volumes of historical market data, including ensuring efficient queries and data retrieval for research and backtesting needs.
  • Optimize Storage Costs: Work on optimizing data storage solutions, balancing cost-efficiency with performance, and ensuring that large datasets are managed effectively.
  • Compliance and Auditing: Ensure historical market data systems comply with regulatory requirements and assist in data retention, integrity, and reporting audits.

Qualifications:

  • Commercial experience of financial instruments and markets (equities, futures, options, forex, etc.), particularly understanding how historical data is used for algorithmic trading.
  • Familiarity with market data formats (e.g., MDP, ITCH, FIX, SWIFT, proprietary exchange APIs) and market data providers.
  • Strong programming skills in Python and Go, or Rust.
  • Familiarity with ETL (Extract, Transform, Load) processes (or other data pipeline architecture) and tools to clean, normalize, and validate large datasets.
  • Experience in working with distributed data systems and tools such as Hadoop, Kafka, Spark, or similar technologies.
  • Linux/Unix expertise, particularly in managing and optimizing systems for data storage and processing.
  • Commercial experience in building and maintaining large-scale time series or historical market data in the financial services industry.
  • Strong SQL proficiency: aggregations, joins, subqueries, window functions (first, last, candle, histogram), indexes, query planning, and optimization.
  • Bachelor’s degree in Computer Science, Engineering, or related field.

Preferred Qualifications:

  • Experience in a proprietary trading firm or buy-side environment working with historical market data and its vendors.
  • Experience with data governance and compliance related to financial data storage and retrieval.
  • Proficiency in containerization, orchestration - Docker, Airflow, SLURM tools.
  • Experience with cloud-based storage solutions such as AWS S3, Google Cloud Storage, or Azure, and the ability to optimize for performance and cost.
  • Familiarity with machine learning and data science workflows to support quantitative research teams.

What we offer:

  • Working in a modern international technology company without bureaucracy, legacy systems, or technical debt.
  • Excellent opportunities for professional growth and self-realization.
  • Remote work from anywhere in the world with a flexible schedule.
  • Compensation for health insurance, sports activities, and non-professional training.

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