Quantitative Architect (Options & Futures)

About the Role

We are seeking a Quantitative Systems Architect with deep expertise in Options and Futures market structure and a strong command of quantitative modeling, risk logic and trading system design.

This role involves designing the underlying mechanics of our derivatives exchange including how the matching engine, margin engine, risk controls and pricing models function in coordination.

The candidate will serve as the bridge between quantitative finance and systems engineering, ensuring every model, from volatility to liquidation, is mathematically sound and technically implementable.

Key Responsibilities

• Design and formalise the core logic for Options and Futures engines, covering order management, order matching and trade lifecycle events.

• Define pricing models, volatility surfaces and Greeks calculations for derivatives instruments.

• Build and maintain margin and collateral logic, covering isolated and cross-margin systems, portfolio margin and risk offsets.

• Develop and document PnL computation, exposure tracking and real-time risk management logic.

• Architect mark price, index price and liquidation logic to align with institutional-grade exchange standards.

• Collaborate with backend teams to translate quantitative models into deterministic, scalable and auditable system components.

• Analyse order book microstructure and define logic for matching priority, tick size and price-time sequencing.

• Validate stress testing, backtesting and risk simulation frameworks to ensure reliability under extreme market conditions.

• Define and review risk engine parameters including leverage tiers, maintenance margin ratios and liquidation thresholds.

• Contribute to detailed functional specifications and documentation for audits, compliance and developer reference.

Required Skills & Experience

• Strong understanding of Options and Futures markets, including pricing theory, margin models and risk frameworks.

• Proven experience in exchange or brokerage systems, particularly in building or validating matching, margin, or risk engines.

• Deep knowledge of derivatives PnL, Greeks, implied volatility modelling and exposure management.

• Experience defining exchange system logic, including order types, matching priority and clearing workflows.

• Excellent ability to translate mathematical models into production-ready logic understandable by engineering teams.

Desirable Experience

• Exposure to crypto derivatives exchanges or traditional futures markets (Binance, Deribit, CME, etc.).

• Understanding of perpetual swap funding, liquidation queues and auto-deleveraging systems (ADL).

• Experience in portfolio margining, VaR models and real-time risk monitoring.