量化交易——流动性提供做市商行业综述

1、BUSINESS Overview          Virtu is a leading technology-enabled market maker and liquidity provider to the global financial markets. We stand ready, at any time, to buy or sell a broad range of securities and other financial instruments, and we

2、 generate revenue by buying and selling securities and other financial instruments and earning small bid/ask spreads across a large volume of transactions. We make markets by providing quotations to buyers and sellers in more than 11,000 securities and other financial instruments on more than 225 un

3、ique exchanges, markets and liquidity pools in 34 countries around the world. We believe that our broad diversification, in combination with our proprietary technology platform and low-cost structure, enables us to facilitate risk transfer between global capital markets participants by supplyin

4、g liquidity and competitive pricing while at the same time earning attractive margins and returns.          We believe that market makers like us serve an important role in maintaining and improving the overall health and efficiency of the global cap

5、ital markets by continuously posting bids and offers for financial instruments and thereby providing to market participants an efficient means to transfer risk. All market participants benefit from the increased liquidity, lower overall trading costs and enhanced execution certainty that we provide.

6、 While in most cases we do not have customers in a traditional sense, we make markets for global banks, brokers and other intermediaries, in addition to retail and institutional investors, including corporations, individuals, hedge funds, mutual funds, pension funds and other investors, all of whom

7、can access our liquidity on exchanges or venues in order to transfer risk in multiple securities and asset classes for their own accounts and/or on behalf of their customers. The following table illustrates our diversification and scale:Asset Classes Percentage ofAdjusted Net TradingIncome(1)(Y

8、ear Ended December 31, 2014) Selected Venues in Which We Make MarketsAmericas Equities 26% NYSE, NASDAQ, DirectEdge, NYSE Arca, NYSE MKT, BATS, IEX, TMX, ICE, CME, BM&F Bovespa, major private liquidity poolsEMEA Equities 12% LSE, Deutsche Boerse, NASDAQ OMX, NYSE Eu

9、ronext, Eurex, Chi-X, BME, XETRA, NYSE Liffe, Turquoise, Borsa Italiana, SIX Swiss Exchange, Johannesburg Stock ExchangeAPAC Equities 7% TSE, SGX, OSE, SBI Japannext, TOCOMGlobal Commodities 21% CME, ICE, TOCOM, SGX, NYSE Liffe, EBSGlobal Currencies 25% CME, ICE, Curren

10、ex, EBS, HotSpot, Reuters, FXall, LMAXOptions, Fixed Income and Other Securities   10% CBOE, PHLX, NYSE Arca Options, eSpeed, BOX, BrokerTec(1)For a full description of Adjusted Net Trading Income and a reconciliation of Adjusted Net Trading Income to trading income, net, see &qu

11、ot;Prospectus Summary  Summary Historical and Pro Forma Consolidated Financial and Other Data."          We refer to our market making activities as being "market neutral," which means that we are not dependent on the direction of

12、 any particular market and we do not speculate. Our marketmaking activities are designed to minimize capital at risk at any given time by limiting the notional size of our positions. Our strategies are also designed to lock in returns through precise hedging in the primary instrument or in one or mo

13、re economically equivalent instruments, as we seek to eliminate the price risk in any positions held. Our revenue generation is driven primarily by transaction volume across a broad range of securities and other financial instruments, asset classes and geographies. We avoid the risk of long or short

14、 positions in favor of seeking to earn small bid/ask spreads on large trading volumes across thousands of securities and financial instruments. While we seek to eliminate the price risk of long or short positions, a great number of our trades are not profitable. For example, for the 252 trading

15、 days of 2014, we averaged approximately 5.3 million trades per day globally across all asset classes, and we profitably exited 49% of our overall positions.          We do not engage in the types of principal investing and predictive, mome

16、ntum and signal trading in which many other broker-dealers and trading firms engage. In fact, in order to minimize the likelihood of unintended activities by our market making strategies, if our risk management system detects a trading strategy generating revenues outside of our preset limits, it wi

17、ll freeze, or "lockdown," that strategy and alert risk management personnel and management. Although this approach may prevent us from maximizing potential returns in times of extreme market volatility, we believe the reduction in risk is an appropriate trade-off that is in keeping with ou

18、r aim of generating consistently strong revenue from trading.          Our market making activities employ the following three basic strategies: a "single instrument" market making strategy, a "one to one" market making strategy a

19、nd a "one to many" market making strategy. The single instrument market making strategy involves actively quoting in a single instrument with the intention of profiting by capturing the spread between the bid and offer. This strategy places buy orders, or bids, and sell orders, or offers,

20、in the market for the subject instrument at or near the inside of the market with the intention of achieving an execution. If another market participant executes against the strategy's bid or offer by crossing the spread, the strategy will attempt to exit the position by continuing to quote on t

21、he opposite side of the market in order to execute an offsetting position. The one to one market making strategy involves continuously quoting a two-sided market in a single instrument with the intention of either capturing the spread in the primary instrument or locking in a return by hedging in a

22、different but economically similar instrument. The one to many market making strategy involves continuously quoting a two-sided market in a primary instrument (typically an ETF) with the intention of either capturing the spread in the primary instrument or attempting to lock in a return by hedging i

23、n a basket of instruments that represent an economically equivalent value to the primary instrument.          For the years ended December 31, 2014 and 2013, our total revenues were approximately $723.1 million and $664.5 million, resp

24、ectively, our trading income, net, was approximately $685.2 million and $623.7 million, respectively, our Adjusted Net Trading Income was approximately $435.0 million and $414.5 million, respectively, our net income was approximately $190.1 million and $182.2 million, r

25、espectively, and our Adjusted Net Income was approximately $226.5 million and $215.4 million, respectively. For the year ended December 31, 2014, we earned approximately 26% of our Adjusted Net Trading Income from Americas equities (of which approximately 20% was attributable to U.S.

26、equities and approximately 6% was attributable to Canadian and Latin American equities), 12% from EMEA equities, 7% from APAC equities, 21% from global commodities, 25% from global currencies and 10% from options, fixed income and other securities. For a reconciliation of Adjusted Net Trading Income

27、 to trading income, net, and Adjusted Net Income to net income, see "Prospectus Summary  Summary Historical and Pro Forma Consolidated Financial and Other Data." Since our inception, we have sought to broadly diversify our market making across securities, asset classes and geographies

28、, and as a result, for the year ended December 31, 2014, we achieved a diverse mix of Adjusted Net Trading Income results, with no one geography or asset class constituting more than 26% of our total Adjusted Net Trading Income.          The cha

29、rt below illustrates our daily Adjusted Net Trading Income from January 1, 2009 through December 31, 2014. The overall breadth and diversity of our market making activities, together with our real-time risk management strategy and technology, have enabled us to have only one overall losing trad

30、ing day during the period depicted, a total of 1,485 trading days, though a significant percentage of our trades are not profitable. For example, during the period beginning January 1, 2014 and ending December 31, 2014, we executed an average of 5.3 million trades per day and we profi

31、tably exited 49% of our overall positions.Daily Adjusted Net Trading Income Distribution(1)(in millions)(1)Includes Madison Tyler Holdings' Adjusted Net Trading Income prior to the Madison Tyler Transactions on July 8, 2011. Includes NYSE trading days and excludes holidays and half days.

32、60;         Technology and operational efficiency are at the core of our business, and our focus on market making technology is a key element of our success. We have developed a proprietary, multi-asset, multi-currency technology platform that is highly r

33、eliable, scalable and modular, and we integrate directly with exchanges and other liquidity centers. Our market data, order routing, transaction processing, risk management and market surveillance technology modules manage our market making activities in an efficient manner and enable us to scale ou

34、r market making activities globally and across additional securities and other financial instruments and asset classes without significant incremental costs or third-party licensing or processing fees.          We are a self-clearing registered broke

35、r-dealer in the U.S. and are registered with the Central Bank of Ireland for our European trading. We participate on more than 225 unique exchanges, markets and liquidity pools globally and register as a market maker or liquidity provider and/or enter into direct obligations to provide liquidity on

36、nearly every exchange or venue that offers such programs. We engage regularly with regulators around the world on issues affecting electronic trading and have been a proponent with the SEC of affirmative market making obligations for electronic market makers in U.S. equities in an effort to enhance

37、the transparency and liquidity provided to capital markets. In the U.S., we conduct our business from our headquarters in New York, New York and our trading center in Austin, Texas. Abroad, we conduct our business through trading centers located in Dublin and Singapore.Industry and Market Overview&#

38、160;         A "market maker" or "liquidity provider" is commonly defined by stock exchanges, futures exchanges and regulatory authorities around the world as a person or entity who provides continuous, two-sided quotes at multiple pri

39、ce levels at or near the best bid or offer, taking market risk, through a variety of exchanges and markets, which are accessible broadly and continuously for immediate execution. Market makers, like us, serve a critical role in the functioning of all financial markets by providing bids and offers fo

40、r securities and other financial instruments. Market makers enhance liquidity and execution certainty for all market participants, enabling buyers and sellers to efficiently transfer risk, and are compensated for this service by earning a small amount of money on the bid/ask spread on individual tra

41、nsactions. A market maker's success depends on it posting competitive prices and accurately and efficiently responding to relevant market data.          Historically, market making activities occurred on the physical floor of exchanges, where hum

42、an traders would execute buy and sell orders for securities. Over the last 20 years, however, the global trading markets have been characterized by the electronification of trading, development of new asset classes, volume growth and improving technology and speed of communication. The advent o

43、f electronic trading venues has changed the traditional trading process for many types of securities in the equity, bond and currency markets. The practice of physical, "open outcry" trading has largely been replaced by electronic trading platforms. This shift, and the resulting increase i

44、n automation and speed and reduction in trading costs, has led to significant growth in electronic trading volumes, as implied by growth in the aggregate notional value and number of trades on exchanges around the world. According to the World Federation of Exchanges, the number of equity shares tra

45、ded electronically grew at a compound annual rate of 15.8% since 2004, from approximately 3.5 billion shares in 2004 to approximately 15.1 billion shares in 2014. In addition, according to the Futures Industry Association, trading of futures and options on exchanges has grown at a compound

46、 annual rate of 9.4% since 2004, from 8.9 billion contracts in 2004 to 21.9 billion contracts in 2014, and we believe that a significant portion of this growth has come from the electronification of trading.Yearly Global Exchange Electronic Order Book Volumes(billions of shares) Yearl

47、y Global Futures and Options Volumes(billions of contracts)    Source: World Federation of Exchanges. Source: Futures Industry Association.          Growth in foreign exchange market volumes has also been robust. According to

48、 the Bank for International Settlements, the daily average market turnover across foreign exchange instruments in 2013 was $5.3 trillion. This rate represents 12.0% compound annual growth from the April 2004 daily average of $1.9 trillion. Among the various foreign exchange instruments, outright spo

49、ts and swaps led this growth as turnover in foreign exchange spot transactions more than tripled from $631 billion in April 2004 to $2.0 trillion in April 2013 and the daily average turnover of foreign exchange swaps increased from $954 billion to $2.2 trillion during the same pe

50、riod.Global Foreign Exchange Market Volumes, Net-Net Basis(dollars in trillions)Source: Bank for International Settlements.          Growth in the electronic trading markets has led to increased competition among market makers. Successful firms have

51、had to automate their trading and develop efficient, scalable technology platforms to remain competitive. Electronic market makers employ technology and automated trading applications to place bids and offers more quickly and transact at a lower cost than their predecessors, leading to enhanced liqu

52、idity and more efficient pricing for all market participants.          Market structures have become increasingly complex and diverse. Although in some geographies and asset classes trading continues to occur through a single exchange, many markets f

53、or many asset classes, such as U.S. and European equities, have become increasingly fragmented. While we believe this fragmentation and related competition have been beneficial to all market participants, leading to more compressed bid/ask spreads and creating deeper liquidity, they have also create

54、d greater complexity and have required electronic market makers to expand their infrastructure to connect with more venues. We believe this trend will enable larger firms with scalable infrastructure, like us, to capture more of these opportunities. The chart below illustrates decreasing shares of m

55、arket volumes in cash equities on certain major exchanges across the world, signifying increased market fragmentation.Percentage of Cash Equities Market VolumesUS(NYSE & NASDAQ) Canada(TSX) United Kingdom(LSE) Germany(Deutsche Boerse)Source: BATS Global Markets for US, L

56、ondon and Germany, Investment Industry Regulatory Organization of Canada (IIROC) for Canada.          Increased volumes and penetration of electronic trading have been greatest in developed markets, particularly in the U.S. However, we believe that m

57、any other global markets will become more liquid, efficient and electronic over time, in part through the increased participation of electronic market makers, which will result in greater volume growth and transaction velocity. Automated services that provide continuous bids and offers across many s

58、ecurities and asset classes are fundamental to this transformation. Furthermore, regulatory changes impacting the OTC derivatives markets, such as the European Markets Infrastructure Regulation and the Dodd-Frank Act, will require many formerly OTC products to be cleared through central clearing hou

59、ses, potentially causing an increase in market-traded futures volumes. Unlike exchange traded futures, OTC derivatives have historically traded between two parties. However, increased regulatory requirements for transactions in OTC derivatives may cause some market participants to shift their tradin

60、g toward exchange traded futures. The OTC derivatives market is large but has significantly less trading volume than the listed futures market. The "futurization" of the large OTC derivatives markets and the potential for increased trading volume could result in higher volumes and subseque

61、ntly more opportunities for electronic market makers.The OTC Market Is Currently Largerthan the Exchange Market(Notional Outstanding Value, dollars in trillions) Exchange Contracts ExperienceHigher Trading Levels(Turnover/Notional) Source: Bank for International Settlements.Our Competitive

62、 Strengths          Critical Component of an Efficient Market Eco-System.    As a leading, low-cost market maker dedicated to providing improved efficiency and liquidity across multiple securities, asset classes and geographies, w

63、e aim to provide critical market functionality and robust price competition, leading to reduced trading costs and more efficient pricing in the securities and other financial instruments in which we provide liquidity. This contribution to the financial markets, and the scale and diversity of our market making activities, provides added liquidity and transparency, which we beli