Senior Execution Quantitative Analyst - Futures
Meet the TeamThe Execution Services team is responsible for trade execution across a wide range of products and geographies, with a focus on minimizing trading costs and execution risks, as well as providing market commentary and related content. Working with partners in the futures and volatility risk businesses, central trading desk and technology, the team offers a number of tools to assist in a portfolio manager's execution process.
What You'll Do- Develop central futures electronic trading capabilities by partnering with trading technology, the trading desk, the volatility business and portfolio managers
- Create a roadmap for the futures central trading product, including partnering with the business to determine prioritization and with trading technology to agree implementation
- Develop futures execution trading analysis capabilities, futures trading data metrics and management reporting
- Act as the futures market structure expert and offer portfolio manager consulting across futures, equities and FX on trading, market structure and trading costs, including deep-dive reviews of portfolio manager trading performance and slippage
- Offer portfolio manager consulting on the firm's futures trading infrastructure and help portfolio managers find the best match between the firm's various offerings and their trading style
- Design and implement a process that drills into trading costs of portfolio manager groups, identifying and recommending opportunities to improve execution quality and reduce costs
- Design and maintain the transaction cost analysis system as it applies to futures, and contribute to cross-asset TCA enhancements where relevant
- Design and create scripts, reports and visual tools for analysis; conduct research; identify patterns; evaluate trends; formulate and test hypotheses; interpret results; communicate ideas, questions and conclusions concisely and effectively; contribute to regular data maintenance; and develop expertise in the firm's trading practices and industry developments
What You Bring- 5+ years of experience in futures systematic execution or trading, or futures quantitative research
- Experience in transaction cost analysis and its integration into optimal trading and portfolio construction, with cross-asset experience across futures, equities, FX and/or options preferred
- Experience fitting transaction cost and impact models, including futures-specific nuances around these models
- A deep understanding of futures market structure, execution mechanics and related nuances around booking, clearing, give-ups, margin requirements and relevant regulatory restrictions such as position limits
- Familiarity with futures contract types, including outrights, calendar spreads, TAS and BTIC, as well as futures brokers, execution algos and technical stacks required for different styles of trading
- 5+ years of KDB and Python programming in a quantitative finance setting, with strong programming skills and familiarity with data analysis in Python, including Pandas, matplotlib and relevant statistical and data science modules
- Highly analytical with strong problem-solving skills, attention to detail and an understanding of the basic principles of statistical inference
- Strong communication skills, with the ability to explain technical and sophisticated concepts clearly and concisely and distill nuances into actionable insights or a no-op; scientific education, preferably degree(s) in mathematics, computer science or related fields; and proficiency with command line tools in Linux environments and development tools including virtual environments, IDEs and coding agents such as Codex or Claude Code
Salary RangeMillennium offers a total compensation package which includes a base salary, discretionary performance bonus, and comprehensive benefits. The estimated base salary range for this position is $175,000 to $250,000, which is specific to New York and may change in the future. When finalizing an offer, we take into consideration an individual's experience level and the qualifications they bring to the role to formulate a competitive total compensation package.
