Software Engineer
About Millennium
Millennium is a global investment management firm built on a scalable, technology-driven platform. We run a diverse set of investment strategies and empower our teams to deliver exceptional outcomes by providing world-class tools, infrastructure, and data.
Team & Role Overview
The Latency-Critical Trading team is building a best‑in‑class systematic data platform to power the next generation of low‑latency systematic strategies. The team includes low‑latency Linux, network, datacenter, and C++ engineers focused on our end‑to‑end trading stack.
Key Responsibilities
* Monitor and assess the quality of live and historical market data; detect, inventory, and remediate data gaps.
* Maintain and document exchange session times, holiday schedules, timestamp rules, and protocol/microstructure changes.
* Analyze latency, data rates, bursts, and message flows to understand microstructure behavior and system performance.
* Clean, transform, and manage an inventory of large‑scale datasets (including PCAP/PCAPNG) in a hybrid cloud/on‑prem environment.
* Build and improve tools for market data capture.
* Work with vendors and brokers to assess and provision datasets.
* Build and improve tools for data analysis, visualization, and diagnostics on top of captured market and network data.
* Enhance and extend C++ analytics libraries and expose them within a Python environment for systematic research and alpha development.
* Collaborate closely with portfolio managers, quantitative researchers, and engineers to translate trading use cases into robust data and tooling solutions.
Qualifications
* Bachelor’s or Master's in Computer Science, Mathematics, Statistics, Engineering, or another quantitative field, or equivalent experience.
* 3+ years of experience in financial markets, electronic trading, or high‑frequency / systematic environments preferred.
* Strong programming skills in Python, C++, and SQL; experience with R / MATLAB / SciPy stack / PyTorch or similar tools for data analysis.
* Solid understanding of modern statistical testing methods and comfort working with large, noisy, real‑world datasets.
* Experience with Linux, large‑scale data processing, and preferably network data (PCAP, timestamping, PTP) and low‑latency systems.
* Strong problem‑solving skills, attention to detail, and effective communication with both technical and non‑technical stakeholders.
