Algorithmic Trader - Delta One
Simplex Trading · Chicago · $150,000–$200,000 (stated in the posting)
Our employees are our greatest asset. We have spent years building a team of talented, dedicated technologists, data-driven traders, and expert leaders with an emphasis on our core pillars: People, Process, Trading Edge, and Technology. Simplex is an in-office organization, helping to foster a collaborative and communicative culture.
Career Description
We’re hiring an Algorithmic Trader focused on CME equity index futures. You’ll build and run short-horizon strategies at microsecond-to-second timescales: turning full-depth order book data into predictive signals, designing passive market-making logic for ES, and working with our C++ and FPGA developers to get your ideas into production. This role suits someone who has traded or researched ES/NQ in a low-latency environment and enjoys taking an idea from raw market data to live trading.
What you will be doing
- Research and build short-horizon (microsecond to second) price-prediction signals for CME equity index futures from full-depth order book and trade data: order aggressiveness, queue position, cancels, icebergs, and leads from related futures and cash equities.
- Own the signal pipeline end to end: packet-capture data, feature design, sampling, model fitting (linear and tree-based), pruning, out-of-sample simulation, and deployment with C++ and FPGA developers.
- Design and tune a passive ES market-making strategy: level joining, queue-priority value, order spacing, cancel/replace timing, exchange messaging limits, and protective pulls when latency or connectivity degrades.
- Model the matching engine: turn fill latency and book state into estimates of how many levels traded and future price changes, then use this information to move quotes, purge, and take liquidity in futures, index options, and equities.
- Measure and improve latency: profile order paths in microseconds, reconcile wireless and fiber timestamps across data centers, compare vendor signal feeds, and quantify misses against exchange reports.
- Write specs for developers, verify their output against your own calculations, and find bugs in production data and pricing pipelines.
Skills and experience
- 2+ years trading or researching CME equity index futures (ES/NQ) at a proprietary trading firm with sub-millisecond systems.
- Hands-on experience with CME MDP 3.0 order-by-order market data: book building, queue-position tracking, iceberg and self-match-prevention inference, matching-engine latency behavior.
- Built microprice or alpha models that ran live at microsecond horizons. Fluent in lead/lag analysis, half-lives, markouts, and adverse selection.
- Passive quoting experience on FIFO futures markets: queue value, join and cancel logic, messaging-efficiency constraints, mass-quote protections.
- Python research stack (polars or pandas, numpy, gradient-boosted trees, SQL). Reads C++. Has worked alongside FPGA or low-latency engineers.
- Bonus: index basis and roll (cash, futures, BTIC), SPX options, or microwave network latency.
Annual base salary ranges from $150,000 to $200,000, and is influenced by a number of factors, including qualifications and experience. This role is also eligible for an annual discretionary bonus, of which can be a significant portion of total compensation. This full time role is also eligible for other forms of compensation and benefits including health/dental/vision insurance, and 401(k) contributions.
Why us?
Founded in Chicago in 2004, Simplex is a leading, technology-driven, proprietary market-making firm. We work with the most advanced technology and software in the market, and we’ve continued to remain at the forefront of the industry by always focusing on innovation, automation, and data-driven analysis. We also leverage our experience and expertise to make strategic investments and capitalize on opportunities in the venture capital markets with promising, early-stage financial and technology start-ups.
PLUS, the goods!
- Benefits: Excellent a la carte Medical/Dental/Vision (free employee coverage!), 401(k) match, generous parental leave!
- The Office: The kitchen is stocked with snacks, and beverages; you also have daily stipends for breakfast and lunch!
- Tuition Reimbursement: As an investment in our employees’ careers and the company’s future, we offer educational assistance to provide employees with professional development opportunities that increase their skills and enhance their contributions to the organization!
- Employee Discounts: To gyms, national brands, and more!
- Building: We are located in the Federal Reserve building. As a tenant, you have access to a building gym and a full cafeteria. We are easily accessible to all public transportation.
- Charity Match: We match up to $2,000 a year in donations to the charities of your choice!
- Fun Events: In-person happy hours, celebrations throughout the year, game nights, video game fun, and so much more!
Simplex is an Equal Opportunity Employer. Simplex and its recruitment partners may use artificial intelligence (AI) tools to support certain aspects of the recruiting and hiring process. Final hiring decisions are made by humans. For all job postings, Simplex may use AI to review and analyze applications, resumes, interviews, and applicant responses. Simplex complies with applicable federal and state laws governing AI use. Applicants may still request reasonable accommodations. For more information related to AI or to request an accommodation, please contact HR@simplextrading.com.