C++ developer

C++ Developer

We seek a hands-on C++ developer for several projects involving the ingestion, processing and normalization of market data.

We have a C++ data processing project for loading high-frequency market data from US stock exchanges. We have a current database of message data in a set of parquet files stored on AWS S3 from a legacy data source. We have access to a new, C++-based, API of playing back exchange messages from a variety of exchanges, with messages processed as event callbacks. The legacy system that generated the original database used a different data source, API, and language to generate the existing parquet files.

The project is to use the C++ API provided by the new data source to process the messages by writing event handlers for all possible data events from the exchange, store the message data into parquet files under the old schema, and add the results to the current database on S3. The provided API is in C++, but the dates to run in each executable and setting them up to run is controlled by a series of python scripts.

familiarity with market data feeds or feed handlers or using C++ to write parquet files are both definite pluses.
familiarity with python for scripting is basically a requirement

Requirements:

• 3+ years of experience programming with C++ in a Linux environment
• Professional experience with Python for scripting
• BS in Computer Science or a related field
• Experience with one or more of the following:
o Writing data processing applications for maximized throughput
o Using the AWS SDKs for C++ and/or Python
o Big data file formats and processing frameworks
o Algorithmic trading platforms, market data feeds, market microstructure, or market making