Position Summary
Role Summary
Design, implementation, and productionization of predictive features from high-frequency high-volume intraday datasets; sitting at the intersection of modeling, data-science and finance; requiring domain understanding of the underlying data; ability to formulate and test feature hypotheses; and work with engineering partners to deliver robust production pipelines. A key emphasis is advancing the team's LLM-based featurization platform to systematically ideate, generate, evaluate, and refine features from complex intraday datasets.
Key Responsibilities
Intraday Feature Development
- Design and implement features from intraday options feeds, microstructure and order book, etc.
- Serve as Intraday Dynamics' expert on vol markets. Produce frequently updating features for spot trading based on data from these markets
- Leverage modern AI to maximum effect at every stage of the feature development process
- Rigorous QA including lookahead detection, coverage analysis, and vendor data reconciliation
- Collaborate with modelers on the team to evaluate predictiveness and integrate features into production models
LLM-Based Featurization
- Participate in the Intraday Dynamics team's focus on LLM-based featurization and agentic workflows. Share skills, insights, etc. with team mates
- Scale existing LLM featurization pipelines to new intraday datasets - esp. OPRA and microstructure
- Design prompting strategies and directives to generate domain-informed features at varying complexity levels
- Build evaluation frameworks for LLM-generated features (normalization, residualization, learner-based testing)
Qualifications
- Good understanding and intuitions about intraday options markets data -- OPRA, NOTO, PHOTO, PHILX, open-close options data
- Experience building LLM-based featurization pipelines -- including iterative improvement, automated testing, and productionization
- Experience with time-series data, financial datasets, or quantitative research
- Ability to work independently on ambiguous research problems while delivering production-quality output
- Experience working with high frequency trading platforms and infrastructure
- Strong communication skills - ability to present at forums like FeatureCon and collaborate across modeling and engineering
You will enjoy the following benefits:- Core Benefits: Fully paid medical and dental insurance premiums for employees and dependents, competitive 401k match, employer-paid life & disability insurance
- Perks: Onsite gyms with laundry service, wellness activities, casual dress, snacks, game rooms
- Learning: Tuition reimbursement, conference and training sponsorship
- Time Off: Generous vacation and unlimited sick days, competitive paid caregiver leaves
- Hybrid Work Policy: Flexible in-office days with budget for home office setup
The base pay for this role will be between $165,000 and $300,000. This role may also be eligible for other forms of compensation and benefits, such as a discretionary bonus, health, dental and other wellness plans and 401(k) contributions. Discretionary bonus can be a significant portion of total compensation. Actual compensation for successful candidates will be carefully determined based on a number of factors, including their skills, qualifications and experience.
