Quantitative Researcher — Market Microstructure & Market Making

Responsibilities

• Conduct high-frequency market microstructure research using L2/L3 order book, tick trade, quote, and cancellation data.
• Develop signals based on OFI, trade imbalance, depth depletion, replenishment, market impact, adverse selection, and related features.
• Detect early transitions from normal two-sided markets into directional flow, toxic flow, liquidity vacuums, and liquidation cascades.
• Research cross-exchange lead-lag, liquidity migration, fill probability, and short-horizon price formation.
• Build real-time risk models to dynamically adjust spread, quote size, inventory skew, hedge urgency, and kill-switch logic.
• Evaluate models with strict out-of-sample testing using markout, spread capture, adverse selection, drawdown, and trading P&L metrics.

Requirements

• 2+ years of experience in market making, HFT, electronic trading, or market microstructure research.
• Strong Python skills; C++ or Rust experience is a plus.
• Strong understanding of limit order books, OFI, queue dynamics, market impact, fill probability, and markout.
• Experience with high-frequency crypto data from venues such as Binance, OKX, Bybit, Coinbase, or Deribit is preferred.
• Experience building real-time signals, low-latency research systems, or market-making risk controls is a strong plus.

职责：

• 基于 L2/L3 Order Book、Tick Trades、Quote/Cancel 数据研究高频市场微观结构。
• 开发 OFI、Trade Imbalance、Depth Depletion、Replenishment、Market Impact、Adverse Selection 等信号。
• 识别正常双边市场向 Trend、Toxic Flow、Liquidity Vacuum、Liquidation Cascade 的早期转变。
• 研究跨交易所 Lead-Lag、流动性迁移、成交概率及短周期价格形成机制。
• 构建实时风险模型，用于动态调整 Spread、Quote Size、Inventory Skew、Hedge Urgency 和 Kill-Switch。
• 对模型进行严格的 out-of-sample 回测，并以 Markout、Spread Capture、Adverse Selection、Drawdown 等指标评估效果。

要求：

• 2年以上 Market Making / HFT / Electronic Trading / Microstructure Research 经验。
• 熟练 Python；有 C++/Rust 经验优先。
• 熟悉 Limit Order Book、OFI、Queue、Market Impact、Fill Probability、Markout 等概念。
• 有 Binance、OKX、Bybit、Coinbase、Deribit 等 crypto venue 高频数据经验优先。
• 有实时信号、低延迟研究或 Market Making 风控系统经验优先。