Market Data Delivery & Full Lifecycle Management: Own the end-to-end delivery of high-frequency market data for one or more core market lines. Lead the entire pipeline construction, including real-time feed handler connectivity, full-scale historical data backfilling, and incremental data patching to ensure high efficiency for quantitative research and trading execution.
Exchange Data Guarding: Leverage a profound understanding of market microstructure and raw exchange data to accurately identify and conquer structural anomalies (e.g., CME Implied Orders, dynamic symbol mapping, sequence number gaps, timestamp/price precision alignments) during the design and validation phases. Ensure early convergence of data defects across both realtime and historical stages.
New Market Connectivity & Protocol Adaptation: Spearhead the MBO level market data connectivity, micro-protocol parsing, and standardized adaptation for global new markets and new trading systems.
High-Standard Validation & Data Patching: Construct multi-dimensional, multi-granular cross-validation frameworks (e.g., MBO vs. TAQ/Snapshot, Raw Pcap vs. Normalized Data). Lead the process from raw Pcap to MBO order book reconstruction, gap/packet drop identification, and high-quality incremental recovery.
Team Empowerment & Standards Setting: Guide junior engineers and drive team talent development (Mentorship). Distill and establish team-level sanity check rules, high-frequency data engineering best practices, and standardized delivery whitepapers.
Job Requirements:
5+ years of engineering experience in global exchange market/tick data. We are looking for an expert in exchange market data who possesses deep practical experience in either of the following tracks:
(a) Real-Time Connectivity Track: Proficient in multi-exchange real-time feed handler connectivity; deeply familiar with multicast, snapshot recovery, and A-B arbitrage data alignment/low-latency processing techniques.
(b) Historical Data Track: Proficient in the full historical MBO data lifecycle; hands-on experience in high-performance Pcap parser development, underlying order book reconstruction, full historical data backfilling, and high-standard data cleaning/validation.
Core Tech Stack: Expert-level C++ with exceptional capabilities in native Pcap and raw data processing; highly proficient in order book reconstruction mechanisms.
Domain Knowledge: Deeply understand the underlying market data architectures of major global exchanges; familiar with market data characteristics across different asset classes (especially global derivatives/futures); hands-on experience solving critical traps like implied order matching, contract symbol mapping, and sequence number continuity.
Preferred Qualifications
Complementary Market Experience: Deep experience in global derivatives/futures MBO data, or hands-on experience in market data processing and protocol connectivity for core APAC markets such as HKEX and JPX/TSE.
Collaborative Vendor Evaluation: Experience in evaluating data samples from international market data vendors (e.g., Pico, Databento, Maystreet, Refinitiv, Quanthouse, etc.) to assist the team with technical admission and identifying underlying data gaps/pain points.
Engineering Toolchain: Experience in building in-house high-standard sanity check or data quality monitoring frameworks; proficient in using Python for efficient data analysis and auxiliary processing.
Job details are sourced from the employer's original posting.
