Senior Market Data Engineer

<div data-page-id="PH7LdDx6uoqQwxxyxjyco5sAnYc" data-lark-html-role="root" data-docx-has-block-data="false"> <div data-page-id="HFFJdzD4nobeXexL7LccV8XJnpg" data-lark-html-role="root" data-docx-has-block-data="false"> <div class="ace-line ace-line old-record-id-KONGdIdr1ooPecxj1DjcAnk1nUb">Role Responsibilities</div> <ul class="list-bullet1"> <li class="ace-line ace-line old-record-id-Id2ndcIyKolg5pxZwEEcQWK8nzd" data-list="bullet"> <div><strong>End-to-End Data Lifecycle Management:</strong> Independently spearhead the full-lifecycle pipeline development for high-frequency historical <strong>MBO (Market-By-Order)</strong> data across one or more core markets. Responsibilities span vendor sample evaluation, high-performance <strong>PCAP parser</strong> development, full-scale historical backfilling, high-standard data quality verification (<strong>Sanity Checks</strong>), and production-ready delivery.</div> </li> <li class="ace-line ace-line old-record-id-Jjrjd5cGmo6RQ6x12GZc6W3HnEe" data-list="bullet"> <div><strong>Data Sourcing &amp; Proactive Quality Control:</strong> Leverage deep data engineering expertise to lead or deeply participate in the evaluation and technical onboarding of high-frequency market data vendors. Proactively identify and assess data quality risks (e.g., known gaps, packet loss, bandwidth/frequency coverage) prior to procurement, minimizing the cost of redundant purchasing and rework from the source.</div> </li> <li class="ace-line ace-line old-record-id-JUJGdhEGDo2AnXxZszLcCEidnVX" data-list="bullet"> <div><strong>Exchange Architecture &amp; Pitfall Mitigation:</strong> Utilize a profound understanding of market microstructure and raw exchange feeds to precisely identify and resolve structural pitfalls during the design and acceptance phases (e.g., <strong>CME Implied Orders</strong>, symbol mapping, sequence number discontinuity, and timestamp precision), ensuring early convergence of data defects.</div> </li> <li class="ace-line ace-line old-record-id-TgEYdde9FonI6jxhuQPcDrfcnfd" data-list="bullet"> <div><strong>New Market Onboarding &amp; Protocol Adaptation:</strong> Lead the market data onboarding, micro-protocol parsing, and standardized normalization at the <strong>MBO level</strong> for new global exchanges and trading systems.</div> </li> <li class="ace-line ace-line old-record-id-U4OYdEGV9onQfYxhfJEc20slngd" data-list="bullet"> <div><strong>Multi-Source Cross-Validation Framework:</strong> Build a multi-dimensional, multi-granular data cross-validation framework (including but not limited to <strong>MBO vs. TAQ</strong>, Bloomberg historical data, and <strong>Raw PCAP vs. Normalized Data</strong>) to guarantee absolute data accuracy, consistency, and robustness.</div> </li> <li class="ace-line ace-line old-record-id-K2spdg0cSoevd4xfsKtcK4SLnOd" data-list="bullet"> <div><strong>Team Empowerment &amp; Standardization:</strong> Responsible for mentoring junior engineers and talent pipeline development. Cultivate and institutionalize team-level sanity check protocols, high-frequency data engineering best practices, and standardized delivery whitepapers.</div> </li> </ul> <div class="ace-line ace-line old-record-id-OIqld6DfdoQPVPx7CHGcXAODnXb">Requirements</div> <ul class="list-bullet1"> <li class="ace-line ace-line old-record-id-VzrkdKkh6oqJybxz3UYcxQeInR2" data-list="bullet"> <div><strong>Experience &amp; Background:</strong> 5+ years of experience in global exchange market data/tick data engineering, with a proven track record of successfully implementing full-lifecycle, large-scale historical <strong>MBO</strong> data projects across multiple markets.</div> </li> <li class="ace-line ace-line old-record-id-IlTadsFkJony5SxhCGIcspyrnQh" data-list="bullet"> <div><strong>Core Technical Stack:</strong> Highly proficient in <strong>C++</strong> with exceptional capabilities in native PCAP processing and low-level raw data parsing. Deep understanding of high-frequency market microstructure, with hands-on mastery of <strong>Order Book Reconstruction</strong>, <strong>Snapshot Recovery</strong>, and latency-sensitive data alignment techniques (e.g., A/B arbitrage alignment).</div> </li> <li class="ace-line ace-line old-record-id-JRWadcVpVocZuTxH8Qmciydfnph" data-list="bullet"> <div><strong>Vendor Evaluation Expertise:</strong> Extensive practical experience in direct exchange feeds and major international third-party market data vendors (e.g., <strong>MayStreet, Pico, Databento, Refinitiv, QuantHouse</strong>). Proven ability to conduct vendor selection, sample evaluation, and quality differentiation, with a clear understanding of the underlying pain points and technical nuances of various data sources.</div> </li> <li class="ace-line ace-line old-record-id-ELuOdK06lomPtbxCKATcQqnKnFd" data-list="bullet"> <div><strong>Domain Knowledge:</strong> Profound understanding of the underlying market data architectures of major global exchanges. Familiar with the characteristics of market data across various asset classes (with an emphasis on global derivatives/futures). Possess hands-on, practical experience in resolving critical pitfalls such as <strong>implied order processing</strong>, contract symbol mapping mechanisms, sequence number continuity validation, and multi-precision price alignment.</div> </li> </ul> </div> </div>