⁠Greed Makes Markets: Market Making From First Principles With an HFT Quant

做市最棒的一点是，人们交易是为了自己的经济利益，为了自己的利润。

The wonderful part about market making is that people are trading for their own economic incentive, their own profit.

因为即使他们完全是为了自己，他们也服务于交易所的目的，那就是承担风险——如果买方和卖方在同一地点但不同时间到达交易所。

Because even though they're completely self serving, they serve this purpose of the exchange in that they warehouse risk if a buyer and a seller arrive to the exchange at the same point in space, but at different points in time.

通过让这些人互相交易，我们实际上让市场来决定一个公平的价格。

By allowing these people to trade against other people, what happens is we allow the market to determine a fair price.

这非常重要，因为它说明了自由……

This is really important because what this illustrates is how important free...

无摩擦市场对资本主义经济有多重要。

Frictionless markets are to a capitalist economy.

大家好。

Hi, everyone.

我叫Annanay。

My name is Annanay.

我以前是Flow Traders和Tower Research Capital的高频交易员。

I used to be a high frequency trader at Flow Traders and then Tower Research Capital.

现在我是QFEX的创始人和CEO，这是第一个专门针对股票、大宗商品和外汇的24/7永续期货交易所。

And now I'm founder and CEO of QFEX, the first 20 fourseven perpetual futures exchange just for equities, commodities, FX.

今天我要教大家做市是怎么运作的。

And today I'm going to be teaching you how market making works.

好，当我们谈论做市时，我们先退一步，真正想想我们工作的环境。

Okay, so when we talk about market making, we just take a step back and really think about the context that we're working in.

人们经常混淆高频交易、做市、量化交易、算法交易这些术语，不清楚量化分析师做什么，交易员做什么，开发人员做什么。

So people often confuse the terms high frequency trading, market making, quantitative trading, algorithmic trading, what does a quant do, what does a trader do, what does a developer do.

所以我们会花几分钟深入这个领域，我会给整个领域起个名字叫系统化交易。

So we'll just spend a few minutes going into this world, and I'm gonna give the overall world the name systematic trading.

系统化交易涵盖两个维度。

So systematic trading covers two axes.

一个是资本方面，一个是速度方面。

There is the capital side and the speed side.

在速度方面，你基本上有一系列策略，从所谓的高频交易到中频交易，再到更慢的。

Now on the speed side you basically have a range of strategies that go from what's called high frequency trading to mid frequency trading and slower.

在资金方面，有两种类型的公司。

And on the capital side, there are two types of firms.

一种是自营公司，简称prop，另一种是管理他人资金的基金。

So there are the proprietary firms, which are called prop for short, and then there are the funds that take other people's money.

对冲基金的定义就是某种用别人的钱进行交易的机构，就叫对冲基金。

So the definition of a hedge fund is just some kind of trading outfit that takes other people's money, it's called hedge fund.

在这个领域里，也有非系统化交易，那叫主观交易。

So within this space, you can have non systematic trading as well, that's called discretionary.

今天我们不讲这个。

We're not going to cover that today.

我们要讲的是系统化交易，有时候也叫量化交易。

We're going to talk about systematic trading, which is also sometimes called quantitative trading.

思路就是，我们根据过去观察到的规则和统计规律来制定交易策略，然后用这些策略赚钱。

So the idea is we make trading strategies based on rules and statistical patterns that we've observed in the past, and we use them to make money.

如果我们专注于这一块，自营交易公司和对冲基金的区别在于，自营交易公司通常只用自己合伙人的钱，所以它们的资金规模往往比较小。

And if we focus on this side, the difference between a proprietary trading firm and a hedge fund is that proprietary trading firms tend to have only their own partner's money, so they tend to be less well capitalized.

他们需要实现良好的资本回报率，要有很高的利润率才能赚钱。

They need to achieve a good return on capital, a lot of margin in order to make money.

而且他们倾向于运行那些不一定能投入大量资金，但能带来高回报的策略。

And they tend to run strategies that you can't necessarily put a lot of money behind, but you can make a lot of return from them.

所以自营交易公司的年回报率可能高达50%，甚至100%。

So returns on proprietary trading firms can be upwards of 50, even 100% a year.

我觉得很难找到一家对冲基金能达到这样的回报率。

I think it was a struggle to find a hedge fund achieving those kinds of returns.

但对冲基金的关键在于他们吸收了大量资本，因此即使资本回报率不高，他们仍然能赚很多钱。

But the point with a hedge fund is they take in a lot of capital and therefore even if they achieve a modest return on that capital, still make a lot of money.

他们运行的策略类型之间的差异也受到一个事实的影响，即对冲基金最终处理的是客户的钱，他们必须在客户设定的风险限制内运作。

The difference between the types of strategies they run is also colored by the fact that hedge funds ultimately are dealing with clients' money, they have to act within risk constraints that their clients put on them.

这些限制是基金和客户之间协商的结果。

Those are subject to negotiation between the fund and the client.

需要有销售流程来吸引资本，还需要有流程来处理资本返还、资本释放，以及基金亏损时该怎么办等问题。

There needs to be a sales process to get the capital in, and there also needs to be a process with how to return the capital, how to release the capital, what happens if the fund loses money and so on.

对于自营交易公司来说，那些监管方面的考虑基本上都不适用，因为说到底你是在用自己的钱交易。

With proprietary trading firms, none of those regulatory considerations really apply because ultimately you're trading with your own money.

这有点像用自己的钱炒股。

It's kind of like trading a stock portfolio with your own money.

监管机构对资金的使用情况以及你如何收取和返还资金的条件，关注度要低得多。

The regulators are much less concerned with what happens with the money and what are the circumstances with which you take it and give it back.

接下来我们说说速度方面，有高频交易和中频交易，有时候你知道，也叫低频交易。

Then we go on to the speed side, so we have high frequency trading and we have mid frequency trading, and sometimes you know, called low frequency trading.

但在系统化交易领域，我们通常只在这两种之间操作。

But in the systematic world we tend to work within these two.

高频交易和中频交易的区别在于，高频交易通常试图预测价格，并且交易时持仓时间不超过几秒钟，我指的是几秒到一分钟。

So the difference between high frequency and mid frequency trading is high frequency trading typically you try and predict prices and you try and trade in a way that you don't take risk for more than a few seconds, because seconds to a minute, I would say.

所以高频交易在自营交易领域非常适用。

So in high frequency trading, that tends to very well within the proprietary trading world.

我简单说一下为什么。

I'll give you a quick intuition as to why.

自营交易需要保持较高的资本回报率，因此基本上需要能够投入资本，并且不能等太久才开始产生回报。

Proprietary trading needs to retain a high return on capital, and therefore it needs to basically be able to take capital and not wait too long for it to start making returns on itself.

如果你做高频交易，你会不断地进出仓位，这意味着你不会最终持有非常大的仓位。

If you do high frequency trading, you are trading constantly in and out of positions, and that means you don't end up in a very large position.

好的，如果我运行一个交易策略，比如说标普期货，我买入后，我的信号告诉我必须卖出，因为我只试图预测几秒后的走势，或者我只瞄准几秒甚至最多一分钟的时间范围，那么我永远不会最终持有很大的仓位，因为我一直在买和卖，买和卖，买和卖。

Okay, so if I am running a strategy that is trading, let's say, S and P futures, and I buy and then my signal says I have to sell because I'm only trying to predict a few seconds ahead, or I'm only trying to aim for that time horizon of a few seconds, or maybe up to a minute, then I will never end up in a very big position because I'm constantly buying and selling and buying and selling and buying and selling.

我不会最终持有数亿或数十亿美元的仓位，我也不需要大量资本来投入并基本上为那个仓位的风险提供资金。

I won't end up in a position of hundreds of millions or billions of dollars, and I don't need a lot of capital to outlay and basically furnish the risk on that position.

所以，那些资本不多、需要实现非常高的资本回报率的自营交易公司，往往会做高频交易，因为他们永远不会最终持有大仓位。

So proprietary trading firms who don't have a lot of capital need to achieve a very high return on capital tend to do high frequency trading because they never end up in big positions.

相比之下，对冲基金往往更多参与中频交易，因为他们不感兴趣于高频交易中每笔交易能实现的小额盈亏。

By contrast, hedge funds tend to end up more in mid frequency trading because they're not interested in small gains or losses that you can realize on each trade from high frequency trading.

在高频交易中，如果我试图预测几秒后的走势，或者我已经持有风险几秒钟，最终市场不会波动太大，让我在扣除费用后从这些交易中赚取很多价差。

In HFT, if I'm trying to predict a few seconds ahead or I'm already holding risk for a few seconds, ultimately the market won't move that much and allow me to capitalize much spread after fees when I do those trades.

因此，如果我的目标是能够基本上在我的交易背后投入大量资本，并且我有能力持有大仓位，那么我就有特权能够预测更长时间范围，可能能够获得更多的回报，让我交易的任何股票、期货或期权波动更大，并实现超额回报，因为我可以这样做，因为我有更多的资本可以投入。

Therefore, if I'm aiming to if have the ability to basically put a lot of capital behind my trades, and I have the ability to take large positions, then I have the privilege of being able to predict much longer in the horizon, potentially being able to make much more return, allowing whatever stock or future or option I'm trading to move a lot more and achieve an outside return because I can do that because I have more capital to put behind the train.

我可以持有更大的仓位和更大的规模。

I can take a bigger position and a bigger size.

所以在那个领域，我们预测的是几小时、几天甚至几周后的走势，并且持仓时间更长，我需要持有更大的仓位才能让这一切值得，因此我需要更多的资金。

So in that region where we're trying to predict more like hours, days, maybe even weeks out into the future and hold positions for a longer term, I need to take on bigger positions overall to make it worth my while, and therefore I need more capital.

而且我的投资回报率可能会更低，因为如果我能把更多的钱投入到策略中，长期来看对我更有利。

And I'll probably achieve lower return on investment because if I can put more money behind the strategy, it'll end up for me better in the long run.

即使我的百分比回报率不高，我也能赚到更多的钱。

I'll be able to make more dollars even if I don't make as much percentage return.

Alls On Open 由 Onyx Capital Group 赞助，他们是石油衍生品领域的顶级做市商。

Alls On Open is sponsored by Onyx Capital Group, the top market maker in oil derivatives.

他们刚刚发布了终端 Flux 的第四版。

They just released the fourth version of the terminal, Flux.

如果你有石油风险敞口，其中有两个功能值得了解。

And there are two things in it worth knowing if you have oil exposure.

首先，它实时提供 800 条石油曲线的公允价值，包括那些难以定价的曲线。

First, it streams live fair value on 800 oil curves, including the ones that are hard to mark.

第二，它带有他们自己的持仓数据，所以你可以看到市场是多头还是空头，以及他们是在什么价格进场的。

Second, it carries their own positioning data, so you can see how the market is positioned long and short, and at what price they got in.

你可以在flux.live找到它，链接在描述里。

You can find it at flux.live, and the link is in the description.

所以，不同类型的模型、你创建这些策略的方式、围绕这些策略制定的规则，以及控制风险的方法，在这个网格中确实各不相同。

So the different types of model and the way that you would create these strategies and the rules you would create around these strategies and the way you would control risk around these strategies really vary in this grid.

自营、高频交易、对冲基金、中频交易。

Proprietary, HFT, hedge fund, mid frequency.

这真的取决于与资金持有者的关系，是内部还是外部，也取决于你持仓的规模。

It really depends on what the relationship is with the capital holders, whether internal or external, and depends what size positions you're taking.

在高频交易中，因为你不会持有大仓位，如果策略表现不佳，你随时可以关掉策略，迅速卖掉所有头寸。

In high frequency trading because you're not ending up in big positions, if the strategy isn't doing well you can always just turn off the strategy and sell all your positions very quickly.

这样做非常便宜，也非常容易。

That's very cheap and very easy to do.

在中频交易中，你的仓位可能达到数亿甚至数十亿美元。

In mid frequency you could have positions running into the hundreds of millions or billions of dollars.

如果你想清算这些头寸，就像我们看到利奥波德·阿什莫雷纳把他的头寸和投资组合清算给肯·格里芬那样，那可能会是一笔非常昂贵的交易。

If you wanna liquidate those positions, like we saw Leopold Ashmorena liquidate his positions and his portfolio to Ken Griffin, that could be a very expensive trade.

所以你必须非常小心，确保你的模型运行正确，因为一旦启动，如果你发现有个漏洞，可能就来不及停止了。

So you have to be really careful that your model is working correctly because once it's started and if you figure out there's a bug, might be too late to stop it.

所以这四个象限在交易和风险管理上的思路各不相同，今天我们要讨论一种特定的交易类型，叫做做市。

So all of these quadrants kind of think differently about trading and risk, and today we're going to talk about a specific type of trading called market making.

做市就位于这个象限的这部分。

Market making sits within this part of the quadrant.

所以它属于高频交易，通常使用自有资金进行，因为它的夏普比率非常高，也就是说它的风险调整后收益非常好，资本回报率也很高，而且通常你不需要很多现金，也不需要筹集外部资金来做这件事。

So it is high frequency trading, and it's typically done with proprietary money because it's very high SHOP, that means it has very good risk adjusted returns, it has very high return on capital, and typically you don't need a lot of cash, you don't need to raise external cash to do it.

那我们就来谈谈做市吧。

So let's talk about market making.

做市是我们在自营高频交易中可以运行的一种非常特殊的策略。

Market making is one very particular kind of strategy that we can run-in the context of proprietary high frequency trading.

所以我们先快速回顾一下什么是市场，然后弄清楚为什么我们需要做市商，以及做市商的作用是什么。

So we'll do a quick recap of what a market is and then figure out why we need market makers and what purpose market makers are doing.

我会尽量用一种比较直观的方式来解释，这样就能自然地揭示出做市商存在的理由，以及他们通过收取费用和赚取盈亏所提供的经济服务。

And I'll try and illuminate it in a way that it's kind of axiomatic and it kind of unveils the reason that market makers should exist and the economic service that they're delivering for the fees and the profit and loss that they're making.

在金融市场里，市场也被称为商品市场。

So within markets, markets in the financial context are also called commodity markets.

这意味着，在金融市场中，我们交易的所有商品在某种程度上都是可互换的。

And what that means is that in financial markets, all of the goods that we're trading are fungible in some sense.

基本上，如果我买一股特斯拉的股票，而伊森卖给我一股特斯拉的股票，那么这些特斯拉股票和世界上其他同类的特斯拉股票是完全一样的。

Basically, if I buy one share of Tesla, and Ethan sells me one share of Tesla, then those shares of Tesla are the same as all the other shares of Tesla of that class that exist out there in the world.

我不需要担心伊森给我的是一股不好的特斯拉股票，或者我拿到的是特别好的一股，或者其他什么。

I don't have to be worried that Ethan's giving me a bad share of Tesla, or I'm getting a particularly good share of Tesla, or whatever.

石油期货也是一样，底层石油的交割被设计得完全标准化，你不需要自己去检查石油的质量。

It's the same with oil futures, the kind of underlying delivery of the oil is made so that it's completely standardized, you don't have to check the oil yourself.

谷物期货也是一样，期权合约也是如此。

It's the same with grain futures, it's the same with options contracts.

它们都有非常具体、明确规定的规格，这样我们就能相信，如果我买入一个单位的这个东西，同时卖出一个单位的那个东西，这两者是完全可互换的，也就是说，在交易目的上它们是完全相同的。

They have very specific, well defined specifications that we can use to have trust that if I am buying one unit of this thing and I'm selling one unit of those things, those two things are completely fungible, which is to say that they're completely identical for the purposes of trading.

所以在可互换商品的市场里，交易的方式就是需要买方找到卖方。

So in fungible markets, the way trading occurs is you need buyers to find sellers.

买方和卖方需要碰头，但这其实是个难题，因为他们可能不知道对方在哪里。

You need buyers and sellers to meet each other, and this is kind of a difficult problem because buyers and sellers may not know where each other are.

解决这个问题的一个办法，虽然不是唯一的办法，就是设立一个叫做交易所的地方。

So one way you can solve this problem, not the only way, but one way, is to have something called an exchange.

交易所的作用就是提供一个物理场所，让买方和卖方能找到彼此。

An exchange simply acts to be a physical place in space where buyers and sellers can find each other.

以前，交易所就是交易员们站在交易池里，互相大声喊单。

Now exchanges in the olden days were pits of traders that would stand around and shout orders at each other.

真的就是这样。

And it was literally that.

那是一个实实在在的物理空间和地点。

Was a physical space and place.

纽约证券交易所就坐落在华尔街，现在还在那里。

The New York Stock Exchange was famously on Wall Street, still is there.

伦敦证券交易所，就在伦敦的伦敦金融城。

London Stock Exchange in the city of London here in London.

那是一个人们会去的地方，他们知道如果自己是卖家，就能在那里找到买家。

And it would be a place where people would go and they would know that if they were a seller, they would find a buyer there.

如果他们是买家，也能在那里找到卖家。

If they were a buyer, could find a seller there.

他们可以在同一个地点碰面，这真的很酷。

And they could meet each other at the same point in space, which is really cool.

现在交易所往往更加规范化了。

And now exchanges tend to be a little bit more formalized.

它们往往是电子化的。

They tend to be electronic.

人们通常通过电子方式提交订单，交易所的运作方式是利用一种叫做中央限价订单簿的模型，简称CLOB。

People tend to submit their orders electronically, and the way exchanges work is they use something called a central limit order book model, which is called a CLOB.

什么是中央限价订单簿呢？我会用一个很常见的图来解释，有些人可能见过，它叫做阶梯图。

What a central limit order book is, is I'm going to explain it using a very common diagram that some of you may have seen before, it's called a ladder.

中央限价订单簿其实就是一个统一的记账账本，大家都能在这里提交订单，然后这些订单都会进入这个账本里。

What a central limit order book is, is a single accounting ledger where everyone can submit their orders, and those orders go into this accounting book.

交易所的主要工作呢，就是去匹配那些能在价格上达成一致、愿意进行交易的买卖双方，交易的商品可以是期货、黄金、外汇对或者股票之类的。

And what happens is the job of the exchange is to basically figure out who is able to agree on a price to buy and sell to transact their economic commodity, their futures, their gold, their FX pair, their shares.

那咱们先拿股票来说吧，这样比较好理解。

So let's talk about shares just to keep things simple for now.

比如说，你手里有一支股票，有人想花100美元买下来，对吧？

So say you have a share and somebody wants to buy this share for a price of $100 Okay.

所以我接下来要做的是，在中间写上100，然后说这个人想买10股，我就把这边的数字写成10。

So what I'm going do is I'm going put 100 in the middle here, and say this person wants to buy 10 shares, I'm going to put 10 over here.

我要给这两边起个特别的名称。

And I'm going to give these two sides some special names.

我把这边叫作买单（bids），那边叫作卖单（offers）。

I'm going to call these bids, and I'm gonna call these offers.

也有人把卖单称作要价（asks）。

And they're also called asks by some people.

所以，我以100美元的价格买入最多10股的订单，就叫做买价。

So my order to buy up to 10 shares at a price of a 100, okay, is called a bid.

买价就是指买入的订单。

And a bid just means an order to buy.

同样，如果我想卖出这些股票，我可以把它放在这一边，那就叫做以100美元的价格卖出10股的卖价。

Equally, if I wanted to sell these shares, I could put it on this side, and it would be called an offer to sell 10 shares at a price of a 100.

这些订单也叫买价，就是买入的订单；同样，如果我想卖出，那就叫卖价，我就在这个图里把10放在那边。

These orders are also called bids, so these are orders to buy, and equally, if I wanted to sell, that would be called an offer, and I would just put the 10 over there in this diagram that I'm representing.

所以这些是买价，这些是卖价，分别是买入和卖出的订单。

So these are bids, these are offers, orders to buy and to sell.

它们也叫限价单，因为当我指定一个价格时，我实际上是在说这是我愿意交易的最差价格。

And they're also called limit orders, because when I specify a price, what I'm really saying is this is the worst price I'm willing to trade at.

明白吗？

Okay?

所以，如果我下一个以100美元买入10股的买价，我是在说我最差愿意交易的价格是100美元，对于买价来说，这个最差价格就是最高价，因为你总是想尽可能低地买入，想尽可能便宜地买入。

So if I put in a bid to buy 10 at a 100, I'm saying the worst price that I'm willing to trade at, which for a bid is the highest price, because you always want to buy as low as possible, you want buy as cheap as possible, is 100.

但实际上，如果交易所允许的话，我甚至愿意以9998.97美元，或者97.5美元这样的价格成交，哪怕有零头也行。

But I'd actually be happy trading for $9,998.97, 97.5 if the exchange allowed, point fives.

同样，在卖单那边，因为你总想卖得越高越好，如果我挂一个限价卖单，比如10股或100股，那意味着100是我愿意接受的最低价格。

And likewise, on the other side for offers, because you want to sell as high as possible, if I put in a limit offer to buy 10 or 100, what that means is 100 is the lowest price I'm willing to go down to.

我愿意在100卖，也愿意在101卖，甚至102也行。

I'm willing to sell at 100, I'm willing to sell at 101, willing to sell at 102.

这都没问题。

That's not a problem.

交易所的核心工作就是接收所有这些订单，然后尝试撮合它们，找出哪些人愿意在某个价格上达成交易，然后促成这笔交易。

The German exchange is basically to take in all these orders and try and match them up and basically figure out who is willing to agree on a price to transact at, and then make that transaction happen.

就这么简单。

It's very simple.

所以如果我进来，愿意以102的价格买入10股，交易所就会说，哦，现在订单簿里没有人愿意在这个价格上成交，那我就把你的订单放进去，让其他人看到，他们可以来跟你交易，也知道可以跟你交易。

So if I came in and I was willing to offer to buy 10 shares at 102, the exchange would say, oh, well there's no one agreeing on a price in this current order book, so I am just going to put your order in here and I'm gonna let other people see it and potentially trade against it and know that they can trade against it.

同样，如果我说我愿意卖出，抱歉，愿意以100的价格卖出10股，交易所就会说，这个人愿意以100的价格买入10股，所以这是买单，这是卖单。

Equivalently, if I said I was willing to buy, sorry, willing to offer 10 shares at 100, the exchange will say, well this guy's willing to bid 10 shares at 100, so this is a buy and this is a sell.

这些人愿意以每股110元的价格成交。

These people are willing to match and trade at the price of 110 shares.

我们再来看几个例子。

We run through some more scenarios.

假设我只愿意出5股，报价是100。

Say I was only willing to offer five shares at 100.

那交易所就会说，这个人愿意出价到10股，所以他或者她可能也愿意接受最多5股的卖单。

Well then the exchange would say, this person's willing to bid up to 10, so he's probably willing to do, he or she's probably willing to do up to 5.

事实上，他们确实愿意最多出五股，因为他们想完成那十股的交易。

In fact, they definitely are willing to do up to five because they wanna do the full 10.

所以我可以跟这个人成交五股。

So I can do five against this person.

这个人还可以继续挂单，但只挂五股。而那个原本只想以100元卖出五股的人，就可以跟这个人成交，订单直接执行完毕，不需要再从订单簿里减少数量了。

This person can then stay, but only bidding five, and the person who just wanted to offer or to sell five shares at 100 would then execute against this person, trade against this person, and then their order would be executed, wouldn't need to lessen the book.

最后一种情况，如果我愿意以90元的价格卖出五股，会怎样呢？

The final case we'll cover, what if I'm willing to sell five shares at 90?

现在交易所得做个决定了。

Well now the exchange has a decision to make.

它可以按90成交这些股票，因为我愿意卖到90，而这个人愿意最高买到100，也就是说他肯定愿意在90买。

It can do those shares at 90, because I'm willing to sell to 90, and this person's willing to buy at up to 100, which means they're definitely willing to buy at 90.

它也可以按100成交，因为这个人愿意最高付100，而我愿意最低卖到90，所以我肯定愿意在100卖。

It can do those trades at 100, because this person's willing to pay up to 100, and I'm willing to sell down to 90, so I'm definitely willing to sell at 100.

对我来说价格更好。

It's a better price for me.

一般来说，大多数交易所的做法，不是所有，但大多数都是，谁先挂单谁就拿更差的价格。

And generally the way most exchanges do it, not all, but the way most exchanges do it, is whoever had the order first gets the worst price.

这叫做价格优先。

And that's called take a price priority.

所以通常来说，谁和已经在订单簿里挂单的人交易或匹配，也就是和已有买价或卖价的人交易，谁就能拿到更好的价格。

So generally whoever is trading and matching against someone who already has their order in the book, their bid or their offer, gets the better price.

而已经在订单簿里的人拿到的是更差的价格。

And the person who already is in the book gets the worse price.

而且它们之间没有平均价格。

And there's no averaging between them.

大多数交易所都是这样运作的。

That's how most exchanges work.

明白吗？

Okay?

所以现在我们知道什么是中央限价订单簿，知道它们为什么存在，也知道市场为什么存在——它们是为了服务资本主义经济的功能而存在的。我们现在有了一个中心化的账本，人们可以在上面下订单，要么立即成交，要么完全不成交，订单会留在账本里，等待其他人来交易。

So now that we know what a central limit order book is, we know why they exist, we know why markets exist, they exist to serve the function of a capitalist economy, we are now in this position where we have a centralized ledger where people can put their orders and they either trade immediately or they don't trade at all, and they land it in the book for someone else to trade against.

好的。

Alright.

在这个背景下，我们要更深入地了解如何从中赚钱。

So in this context, we're gonna go a bit deeper into understanding how can we make money from this.

好的，以及可能存在哪些交易策略。

Okay, and what kind of trading strategies could exist.

如果你看一个订单簿，这是一个非常简单的订单簿。

If you look at an order book, this is a very simple order book.

大多数订单簿的运作方式是，首先，它们对价格有一个明确的最小跳动单位。

The way most order books work is firstly, they have some kind of well defined minimum jump that you can have in price.

所以对于这个订单簿，我们假设最小跳动是1美元，这样我们就把价格设为99.98。

So for this order book, we're gonna say it's $1 so we're to put in these prices, 99.98.

我们把这些价格放进去，101，抱歉，103，嗯，我虽然拿了硕士学位，但数数还是不行。

We're to put in these prices, 101, sorry 103, uh-huh, I had a master degree, I can't count up.

这里也放个97吧，为什么不呢。

Let's put in 97 here as well, why not.

所以大多数订单簿的样子是，它们会在所有不同的价格上有一堆不同的订单，因为通常会有很多人愿意以当前无法达成一致的价格买入或卖出。

So the way most order books will look is they'll actually have a bunch of different orders at all the different prices that exist, because generally there'll be a lot of people who are willing to buy and to sell at prices they can't agree on right now.

所以这里有99，可能有人想买30股，还有人想再买70股，这是两个独立的订单。

So there's 99, we could have someone who wants to buy a 30, and we could have someone who wants to buy another 70, so it's a separate order.

好的，所以这个价位上的总规模是100。

Okay, so the total size on this level is 100.

你可以以99美元卖出100股。可能还有人想在这里挂10股，还有人想挂36股。

You can sell 100 shares for $99 We could have someone who also wants to do 10 here, and someone who wants to do 36.

好的，这个价位上可能有一个订单，想买121股。

Okay, we could have a single order on this level who wants to do 121 shares.

在103这个价位上，可能有一个想买5股的人，一个想买12股的人，一个想买20股的人，而在500这个价位上，可能有一个想买90股的人。

And on 103 we could have a single person who wants to do five shares, a single person who wants to do 12 shares, a single person who wants to do 20 shares, and on 500 we could have someone who wants to do let's say 90 shares.

显然，这些数字都是我随便编的，但这能让你更好地了解一个典型的订单簿，比如美国股票的订单簿是什么样子的。有很多不同的人愿意以特定价格买入。

So I've just made all these numbers up obviously, but this is kind of giving you a better idea of what a typical order book in a typical, let's say US stock would look like, So there's lots of different people willing to buy at a certain prices.

我们退一步来看看这个订单簿到底意味着什么。

Let's take a step back and look at what does this order book actually mean.

好的，你们中有些人可能熟悉“天下没有免费的午餐”这个概念。

Okay, now some of you are probably familiar with the idea of no free lunch.

在经济学中，特别是在市场经济学中，有一个与“天下没有免费的午餐”哲学相对应的版本，叫做理性套利定价哲学，或者你也可以称之为无套利定价。

So in economics, or in marketplace economics in particular, there's an equivalent version of no free lunch philosophy, which is called the rational arbitrage pricing philosophy, or you can also call it arbitrage free pricing.

这意味着，如果某个市场存在无风险或接近无风险的赚钱机会，那么理性的人就会去赚这笔钱，而那个机会就不会留给你，基本上就是用来交易的。

And what that means is, if there's any risk free or close to risk free money that you can make from a particular market, then someone rational would go out there and make that money, and that opportunity would not exist there for you, basically trade against.

那么在中央限价订单簿的背景下，这意味着什么呢？

So what does that mean in the context of central limit order book?

所以在这个订单簿的背景下，这意味着，如果我来看它，大多数时候，好吧，我说大多数时候，偶尔可能会有赚钱的机会，但大多数时候，这个订单簿告诉我的是，如果这个市场的公平价格或者你能轻松赚钱或无风险赚钱的价格，比如说这只股票或者任何与它相关的东西，或者有股票衍生品，或者有某种方式基本上可以说，我可以通过以100卖出这个买单，或者以99卖出这些买单，或者以98卖出这些买单来免费赚钱。

So in the context of this order book, what that means is, if I look at it, most of the time, okay, and I say most of the time, there could be the odd time when there is an opportunity to make money, but most of the time, what this book order book is telling me is that if the fair price or the price at which you could make easy money or risk free money of this market, say this stock or whatever is correlated to something else, or there's a derivative on the stock, or there's some way basically to say, I can make free money by selling this order, this bid at a 100, or selling these bids at 99, or selling these bids at 98.

那早就有人这么做了。

Somebody would have done it already.

基本上那些买单会消失，比如说100，你可以无风险地交易那个订单来赚钱。

And basically those bids would disappear, say 100 you can make risk free money trading against that order.

因为那个买单消失了，市场又变得公平和高效了。

And because that bid has disappeared, now the market is kind of fair and efficient again.

卖单那边也是一样。

And same on the offer side.

所以如果股票的公平价格或者我能无风险赚钱的价格在102或以上，那么我可以交易102，我可以交易103，我基本上可以通过与这些人交易来赚取一些无风险的钱。

So if the fair price of the stock or the risk free price of the stock that I can make risk free money on, was at 102 or above, then I could trade against 102, I could trade against 103, I could basically make some risk free money trading against these people.

这试图说明的是，我们可以说，等等，这个10确实存在。

And what that seeks to do is we can say, actually hold on a second, this 10 does exist.

对吧？

Okay?

所以这个10确实存在，102这个卖单也确实存在。

So this 10 does exist, and this 102, the 10 for the 102 offer does exist.

这意味着，没有人认为在这个市场交易能赚到无风险的钱。

So what that means is, no one thinks there's any risk free money to be made by trading this market.

所以这只股票的公平价格，也就是你在这个价格交易不会赚到无风险的钱的那个价格，是在100到102之间。

So the fair price of this stock, the price at which you can say, I'm not gonna make any risk free money trading at that price, okay, is somewhere between 100 and 102.

因为如果它不在100到102之间，就会有人去交易赚免费的钱，而市场上没有免费的午餐。

Because if it wasn't between 100 and 102, somebody would go out there and trade and make free money, and there's no free lunches in the market.

通过这种机制，你会得到一个公平价格的概念，很多交易公司称之为理论价格，简称theo。

And by that mechanism, what happens is you get some notion of a fair price, which a lot of trading firms call a theoretical price, or a theo for short.

这有点像交易世界里的芝加哥阿姆斯特丹行话。

It's kind of like a Chicago Amsterdam lingo in the trading world.

公平价格或理论价格的一个很好的近似值就是100到102之间的中间价。

And a good approximation for the fair price or the theo price is the price between 100 and 102, the mid price.

所以在这个情况下就是101。

So in this case it's 101.

我要把这个放在一个方框里，然后说方框，放在这里，等于公允价值。

I'm gonna put this in a square box, and say square box, let's put it down here, equals fair price.

好的。

Okay.

那么为什么101是公允价值呢？

So why is a 101 a fair price?

嗯，我是说在这个市场里，没有人认为他们能以100和102的价格交易赚到无风险的钱，所以它一定在100和102之间，因此我就决定它是101，因为那是我对公允价值的最佳估计。

Well, I'm saying no one in this market thinks they can make free money trading at a 100 and 102, so it must be between a 100 and 100 and 2, and therefore I've just decided that it's gonna be 101 because that's the best estimate that I have of the fair price.

它在100和102之间，我就叫它101。

It's somewhere between 100 and 102, I'll call it 101.

这非常重要，因为这说明了自由无摩擦的市场对资本主义经济有多么重要。

This is really important because what this illustrates is how important free frictionless markets are to a capitalist economy.

这让我们能够做到的是，通过拥有一个中央限价订单簿，这个美妙的构造，人们可以提交订单，如果他们想买或卖，就可以互相交易，特别是那些想赚无风险钱的人，也就是套利者，我第一次用这个词，套利者是在市场中交易以赚取无风险钱的人。

What this allows us to do is say, by virtue of having a central limit order book, this wonderful construction over here where people can submit orders and trade against each other if they wanna buy or sell, or in particular, people who wanna make risk free money, arbitragers, as I call, I've used that phrase the first time, arbitragers are people who trade in markets for the goal of making risk free money.

通过允许这些人和其他人交易，我们让市场通过一个简单的事实来确定公允价值，那就是如果公允价值不在最高买价（我称之为最佳买价）和最低卖价（我称之为最佳卖价）之间，那么套利者就会进行交易，使其他价格成为最佳买价和最佳卖价之间的中点。所以通过这样做，我们可以去世界上任何一个中央限价订单簿，无论是石油、黄金、股票、期权还是其他任何东西，然后说，这个商品、股票、外汇、指数、期权工具的公允价值，在大多数时候大约是介于最佳买价和最佳卖价之间的那个数字。

By allowing these people to trade against other people, what happens is we allow the market to determine a fair price by simple virtue of the fact that if the fair price wasn't between the highest bid, which I'm gonna call the best bid, and the lowest ask, which I'm gonna call the best ask, okay, then the arbitragers would have traded against it and made some other price the midpoint between the best bid and the best So by doing this, what we can do is we can go to any central limit order book in the world, whether it's for oil, whether it's for gold, whether it's for stocks, whether it's for an option or any of those, and say, the fair price of this commodity equity FX pair index option instrument is approximately the number between the best bid and the best ask most of the time.

这真的很有用，因为在现代市场经济中，这让我们能具体地看出两种工具之间的供需不平衡，对吧？

And that's really useful because in modern market economies, this allows us concretely to figure out the supply demand imbalance between two instruments, right?

我们基本上能算出相对的供需平衡点，从而得出产品的公平价格。

We can basically figure out what the relative supply and demand equilibrium is, and therefore the fair price of a product.

因为如果有人想大量买入这个工具，他们就得从这个人这里买，他出价102卖10个，这个人出价103卖5个，那个人出价100卖12个，等等。

Because if somebody wants to buy a lot of this instrument, they would have to buy from this person who's offering 10 at 102, this person's offering five at 103, this person's offering 12 at 100 and and so on.

然后最佳买价和最佳卖价之间的中点就会上移，所以因为需求增加，价格就会上涨。

And then the midpoint between the best bid and the best ask would move up, and therefore because there's more demand, the price would move up.

所以这是公平市场供需平衡价格的一个非常具体的体现，也是无套利条件、理性定价条件在经济工具价格上的体现。

So this is a very concrete manifestation of the fair market supplydemand and balanced price, as well as a manifestation of the no arbitrage condition, the rational pricing condition price of an economic instrument.

所以基本上这就是我们如何确定一个工具的公平价格。

So that's basically how we figure out what a fair price of an instrument is.

现在，我们终于要进入做市商的话题了。

Now, let's go into market making finally.

我们已经讲了够多其他东西了。

We've spoken for long enough about all the other things.

我们真的来聊聊，在中央限价订单簿的背景下，我们是怎么赚钱的。

Let's really talk about how do we make money in the context of the central limit order book.

首先，我给你个提示：这些订单，比如10、70、30、36、10、121、10、5、12、20、90，这些订单真正由散户投资者下的情况非常非常少。散户通常是因为需要这个产品、想投机，或者有业务上的原因才买卖。

And to start with that, I'm gonna give you a hint, which is that these orders here, the 10, the 70, the 30, the 36, 10, the 121, the ten, five, the 12, the 20, the 90, there's very, very, very few cases where these orders are actually put in place by individual retail investors, people who generally want to buy and sell this product because they need the product or they want to speculate on the product or because they have a business reason to buy or sell this product.

这些订单大多数是由专业的高频交易公司、自营交易公司下的。

Most of these orders are placed by professional, high frequency trading, proprietary trading firms.

回到第一张幻灯片，自营高频交易，左上角那个象限，这些公司叫做做市商。

So going back to the first slide, proprietary high frequency trading, top left quadrant, firms called market makers.

现在我们已经有了理解市场的所有工具，做市商的工作其实非常简单。

And the job of a market maker, now that we have all the machinery developed for understanding markets, is really, really simple.

基本上，这个产品的公允价格大约是101。

It's basically the fair price of this product is about 101.

所以如果我出价低于101，或者要价高于102，平均来说，我是在高于公允价格卖出，低于公允价格买入，平均来看，我预期能从中赚钱。

So if I bid below a 101, or I offer above a 102, on average, I am selling above and buying below the fair price, and on average, I expect to make money from that.

对吧？

Okay?

我们可以很具体地看到，比如说我们运气好，在100这个价位挂了一个10的买单，在102这个价位挂了一个10的卖单。

And we can see it really concretely with, say we got lucky, and we put in this 10 at a 100, and we put in this 10 offer at a 102.

如果有人从我们这里买了这10股，又有人以100的价格卖给我们，紧接着发生的话，我们就能保证赚到2美元乘以10股，也就是20美元的利润，还没算手续费。

If somebody bought from us on this 10 and somebody sold to us at this 100, right, in quick succession, we would guarantee $2 profit times 10 shares, that's $20 in profit before fees.

这就是一个具体的例子，说明：嘿，各位，如果我挂100和102，我就能赚钱。

This is a concrete manifestation of, hey guys, if I put in 100 and I put in 102, I will make money.

对吧？

Okay?

非常非常具体。

Very, very concrete.

这样做我能赚钱，所以我可以全职专业地做这个，这是一种专业的赚钱方式。

I will make money doing this, and therefore I can kind of do it full time professionally, and this is a professional way of making money.

而且不仅如此，如果你还记得，市场的运作方式是，为了让我能在市场上交易，为了让我有对手方，比如说，如果我是投资者，我看好这只股票，而伊森是另一边的投资者，他已经持有这只股票，但他看跌，不想再持有了，我们就需要找到彼此。

And not only that, but if you recall, the way markets work is in order for me to basically trade in a market and in order for me to have someone to trade against, you know, if I'm an investor, let's say, and I am bullish on this stock and Ethan's an investor on the other side and he already has the stock and he's bearish on it, doesn't want to hold it anymore, We need to go and find each other.

交易所的工作就是把伊森和我能相遇的地方集中在一个地方。

The job in exchange is they put one place in space where Ethan and I can go find each other.

然后我去这个交易所，希望伊桑也在，他能跟我做这笔交易的对手方。

And if I go to this exchange, hope Ethan's there and he can take the other side of the trade as me.

每一笔交易都需要有另一个参与者来配合。

For every trade there needs to be another player in the transaction.

不过，交易所这部分只能解决空间上的对接问题。

Now, the exchange part only solves the physical point in space part of that equation.

你还需要在时间上也能对上。

You also need to arrive at the same time.

明白吗？

Okay?

所以这里涉及空间和时间。

So there's space and time.

交易所就是一个空间上的地点，如果我是买家，我可以去那里找卖家；如果我是卖家，我也可以去那里找买家。

Exchange is one place in space where I can go and find sellers if I'm a buyer, or I can go find buyers if I'm a seller.

但并不能保证真正的买家和卖家会同时到达。

But there's no guarantee that the genuine buyers and sellers are gonna arrive at the same time.

所以，做市商提供的服务，如果你从经济需求的角度来看，就是如果我是卖家，我可以以100的价格买入10股，然后我可以把这个风险囤起来，对吧？

So what the market maker does as a service, if you wanna think about it from an economic need perspective, is if I'm a seller, I can go buy at the price of 100 for 10 shares, and I can warehouse that risk, okay?

所以我现在持有10股，价格是100。

So I now long 10 shares at price of 100.

我现在承担了这个风险，价格可能会下跌，那我可能会亏钱。

I've now held this risk, and the price might move down and then I could lose money.

也可能上涨，那我就赚钱。

It might move up, I might make money.

但基本上，我现在持有这个风险，直到Ethan出现，对吧？

But basically, I now hold this risk until Ethan comes, right?

然后他从我这里买，我把这些股票卖给他，希望能赚点利润。

And he buys from me and I sell those shares to him and hopefully I realize a profit.

希望价格没有朝不利的方向变动，希望我能以高于买入价的价格卖出。

Hopefully the price hasn't moved in a bad direction for me, and hopefully I can sell above the place where I buy.

平均来说，我期望以高于买入价的价格卖出，因为我对这个价格的合理估计是101，而且未来，至少短期内，价格不应该有太大波动。

On average I am expecting to sell above the price that I buy, because my fair estimate for this price is 101, and in the future, at least in the short term, price shouldn't move up or down.

这个价格会像布朗运动一样波动。

This price is gonna be a Brownian motion.

对吧？

Okay?

所以这就是做市商的经济意义。

So that is the economic purpose of market makers.

你会发现，做市商并不需要每天醒来就想着怎么服务交易所——我当年做市策略的时候，从来没想过这个问题。

And you'll notice that in order to be a market maker, you don't have to wake up in the day and think that, I never worked from the day when I was running market making strategies and think how can I best service the exchange?

做市最棒的一点是，人们都是为了自己的经济利益和利润在交易。

The wonderful part about market making is that people are trading for their own economic incentive, their own profit.

我们只是通过理解订单簿的工作原理，就发现了这个策略。

We discovered this strategy just from understanding how an order book works.

但这些人对交易所至关重要，因为尽管他们完全是为了自己，他们却承担了风险，当买卖双方在同一地点但不同时间到达交易所时，他们填补了这个时间差。

But these guys are crucial for exchanges, because even though they're completely self serving, they serve this purpose of the exchange in that they warehouse risk if a buyer and a seller arrive to the exchange at the same point in space, but at different points in time.

这样一来，他们就分散了时间上的风险。

And by then, they time spread risk.

有一位伟大的思想家，也是简街的前交易员，叫奥古斯丁·勒布朗，他就是这样描述做市的。

There's a great thinker and ex trader at Jane Street called Augustine LeBron who describes market making exactly as this.

就是时间上的风险分散。

It's just time spreading risk.

如果两个人想买卖一个产品，但他们在具体交易时间上不完全一致，你可以通过在中间承担风险来帮助他们找到彼此。

If two people want to buy and sell a product but they're not completely aligned on the exact time that they want to do it, you can help them discover each other by warehousing the risk in the middle.

这就是做市。

So that's Market Making.

那我们再深入一点，看看实际怎么做市。

Let's go a bit deeper into how we might actually do Market Making then.

好，那我们来谈谈实际怎么做市。

Alright, so let's talk about how we might actually do Market Making.

一种非常常见且简单的做市策略，就是完全按照我之前说的来做。

So a very common and simple way of doing a Market Making strategy is just to do exactly what I said before.

基本上就是先确定一个公平的价格。

So basically figure out a fair price.

在这个粗略的估算里，我们的公平价格就是最优买价和最优卖价之间的中间价，最优买价就是最高的买价，最优卖价就是最低的卖价。

In this very crude estimate, our fair price is just gonna be the midpoint between the best bid, that's the highest bid, and the best ask, or the best offer, which is the lowest offer.

所以我们的中间价就是100.5。

So our midpoint is just gonna be 100.5.

我脑子里的算法基本上就是，每次交易，我都拿100.5作为基准来算这笔交易。

The calculation in my head is basically every time I trade, I'm going to mark that trade against 100.5.

我预期能赚的钱就是100.5减去我买入时花的钱。

And the amount of money I make in expectation is 100.5 minus the amount of dollars that I've traded at credit.

所以如果是买入，那就是100.5减去买入价，再乘以我买的股数。

So if it's a buy then 100.5 minuteus the buy price times the number of shares I do.

如果是卖出，那就是卖出价减去100.5，因为卖得高更好，再乘以我卖的数量。

If it's a sell, it's the sell price minus 100.5 because selling above is better times the quantity I do.

这就是我预期能赚到的钱。

That's the amount of money I'm expecting to make in expectation.

所以对于买价，这个数字就是100.5减去买价，对于卖价，就是卖价减去100.5，这个就叫“价差优势”。

So that number for bids 100.5 minus the bid price and for asks, the ask price minus 100.5 is called the edge.

所以所谓的“优势”，基本上就是指我每交易一股、每份合约或每金衡盎司，预期能赚到的美元金额。

So edge is basically how many dollars per share that I trade or per contract that I trade or per troy ounce that I trade am I expecting to make in dollars.

假设我想在这个交易所的订单簿上做市，我的公允价格是100.5，那么我有两个选择：我可以挂一个买单在这里，这样每次成交，我每股预期能赚大约50美分。

So if I want to market make on this exchange, this order book, let's say well my fair price is 100.5, so my options are I can add in an order here, right, and then every time I trade I expect to make about 50¢ on every share that I do.

或者我可以挂一个卖单在这里，同样也是每股预期赚50美分。

I can add in an order here, I expect to make 50¢ on every share I do.

我肯定不想在这里挂买单，因为那样我每股就要亏50美分了。

I definitely don't wanna add a bid here because then I lose 50¢ for every share that I do.

同理，我不想在这里挂卖单，因为那样每笔交易我都会亏50美分。

Similarly I don't wanna add an ask over here, because then I lose 50¢ for every share that I do.

我还有其他选择，比如我可以在这边挂个买单，这样我能赚1块5毛。

My other options are you know, I could add an order here, then I make $1.50.

但这里有个问题，有人出30股，有人出70股，这可能会带来麻烦，因为大多数交易所规定，谁先在那个价位挂单，谁就先成交。

But the problem here is that there are these people, this person's bidding 30 shares, this person's bidding 70 shares, and that can be a problem because most exchanges actually say whoever put their order on that price level first gets to do the trade first.

所以如果有人来卖或者买，他们肯定能先成交，那我可能就没法成交了……

So if somebody comes to sell or to buy, they definitely will get the trade first and therefore I probably will trade...

这样我成交的速度会变慢。虽然每笔交易的单笔利润低一点，但如果我在这里交易，总体成交量会更大，赚到的钱反而更多。

It will take me longer to basically get my trades and I could have made more money by just trading here even though I was making less per per share that I was trading, I will probably do more more shares overall.

这些就是做市商必须开始考虑的问题。

These are the kind of questions you have to start thinking about as a market maker.

加一个问题：你觉得为什么交易所会有这样的规则，即在同一价格档位上，先挂单的人优先成交？

The bonus question, why do you think an exchange would have a rule that the first person on a level, on a particular price level gets trade first?

让我想一下。

Give me a second to think about it.

好的。

Okay.

所以这基本上是为了激励大家参与。

So it's basically to incentivize people.

你想想看，在这个市场这边，我其实没什么动力去挂单，因为每笔交易能赚到的钱并不多。

If you think about it, this market over here, I'm not super incentivized to place a trade over here because I'm not making a lot of money per share that I trade.

做市有个问题叫逆向选择，意思就是当你对公允价值的判断出错时，你更容易成交。这是因为套利者会趁机赚你的钱，他们比那些随机交易者或者普通投资者更有可能跟你对着干，而普通投资者买卖的概率在时间上其实是相对均匀的。

And the problem with market making is there's a concept called adverse selection, which basically says you're way more likely to trade when your estimate of the fair value is wrong because you're more likely to give an arbitrageur some free money and those people are more likely to trade against you than the so called random trader or just an investor who just wants to buy and sell in the market who's kind of equally likely to trade at all times.

所以，如果我觉得公允价值是100.5，而实际上是99.9，对吧？

So if I think the fair price is 100.5, it's actually 99.9, right?

那么这个市场还是存在的，这里还是没有免费的钱，但一旦我在这里挂出买单，那我平均每股就会亏10美分。

Then this market still kind of exists, there's still no free money in this market, but as soon as I put a bid over here, then I am on average losing 10¢ for every share that I do.

由于逆向选择这个概念，当这种情况出现时，我更容易成交，因为套利者通常很聪明，如果他们觉得你的定价有误，他们会很快交易。

And due to this concept called adverse selection, I'm way more likely to trade when this market occurs, when I have a bid at a 100 just because arbitragers are generally smart and they'll trade very quickly if they think your pricing is wrong.

所以为了激励人们成为第一个挂单的人，你知道，如果我在这里挂单，没人跟我交易，那么全世界都会确信公允价值在100以上。

So in order to incentivize people to be the first people to place, you know, if I place an order here and nobody trades against me, then the rest of the world is pretty sure that the fair price is above a 100.

他们愿意排在我后面。

They're willing to join behind me.

为了给我额外的激励，让我在没有其他人挂单的价格水平上挂单，交易所会给第一个在那个价格水平挂单的人优先权。

To give me that extra little incentive to place my orders on a price level when no one else has placed any orders yet, the exchange gives priority to the first people who who place that price level.

所以这就是为什么会有这样的规则。

So that's why that would occur.

所以作为做市商，我可以做一个选择。

So there's a choice I can make as a market maker.

我可以排在这些人后面，每笔交易赚1.50美元。

I can join behind these people and make $1.50 per trade.

我可以排在这里，每笔交易赚50美分。

I can join here and make 50¢ per trade.

我可以在这里挂一些比较宽的订单。

I can add some pretty wide orders here.

如果有个大卖家进来想卖出，比如要卖500股，那他们可以从这个人手里买30股，从那个人手里买70股，再从这个买30股，从这个买36股，还有21股从那个地方买。

If a huge seller comes in and they wanna buy, they wanna sell let's say 500 shares, well they can pick up 30 shares from this person, 70 shares from this person, 30 from this, 36 from this, 100 21 from this.

要想一次性拿到500股，他们就得跟我成交。

In order to get 500 shares at once they would have to trade against me.

在这儿我能赚不少，每股能赚3块5毛，挺不错的，只是我成交的概率会低一些。

And here I make a lot of money, I make $3.50 per share, so that's pretty good, I'm just less likely to trade.

所以这些就是需要考虑的因素，卖单那边是对称的，作为做市商，这些都是你得琢磨的事儿。

So those are kind of the things, obviously symmetric for asks, those are the kind of things you have to think about as a market maker.

还有其他要考虑的点，比如我在100这个价位成交了，好吧，我现在就持有多头仓位，假设我在这里挂了10股的买单，那我现在就持有这10股的多头头寸。

Other things you have to think about, if I trade at the 100 price level, okay, I am now long, say I put 10 shares over here, I am now long 10 shares of this product.

我现在持有10股。

I'm now long 10 shares.

可能发生的情况是，有新闻出来，或者这个人继续卖，继续和这些人交易，那么这个产品的公允价格，也就是最优买价和最优卖价之间的中间价，就会下降。

The thing that could happen is some news could come out or this person could continue selling and they could continue to trade against these people, and then the fair price of this product, which is the mid between the best bid and the best ask, would go down.

而且我可能没法成交，比如说我也在这个价位挂了单，我可能没法在102这个价位成交，也就是没法交易。

And I might not be able, say I also put this tent over here, I might not be able to get filled, which means basically to trade, at the 102 level.

所以我可能以100买入，但市场可能会大幅下跌，因为卖给我的人同时也卖给了所有这些其他人，把公允价格拉低了。

So I may have bought for 100, but the market could move down a bunch because the person who sold to me here also sold to all these people and moved the fair price down.

然后我可能不得不通过挂买单或卖单来平掉我的多头仓位，甚至可能在100或99挂卖单。

And then I might then have to get out of my long term position by basically putting in a bid, an offer here, or even an offer here at 100 or 99.

然后显然，如果我在100挂卖单，我就赚不到钱。

And then obviously if I put an offer at 100, I don't make any money.

如果我在99挂卖单，我每股会亏1美元。

If I put an offer at 99, I lose $1 per per share that I do.

所以基本上，这就是我承担的风险。

So that's that's a risk I'm taking on, basically.

做市本质上就是一场竞争游戏。

Market making is inherently a competitive game.

你是在竞争提供流动性。

You're competing to offer liquidity.

流动性指的是，在任何时刻，那些想在市场上交易、愿意支付价差或放弃一些相对于产品公允价格的利润空间来换取流动性的人，能够随时进行交易的能力。

Liquidity means the ability to trade at any instantaneous given time to people who want to transact in the market and are willing to pay a spread or give up some edge against the fair price of this product in order to get liquidity.

所以你在出售流动性。

So you're selling liquidity.

基本上，有人需要流动性，你就在卖这个。

Basically, people are demanding liquidity, you're selling it.

从经济角度看，就是这么回事。

That's the way to view it economically.

这是一场竞争游戏。

It's a competitive game.

就像我之前那样，如果我决定在100的价格挂一个10股的买单，对吧？

If I decided, as I did before, to place a bid at ten, of 10, at a price of 100, right?

另一个做市商可能会进来，说，嘿，其实我觉得公平价格是101.5，所以我也要在101挂10手的买单。

Another market maker could go in and say, hey, actually, I think the fair price is 101.5, so I'm going to also bid 10 at 101.

现在的情况是，我试图改善市场，但有人比我做得更好，结果就是，我不再是卖家优先交易的对象了，而是这个人。

And now what's happened is I tried to improve the market, somebody improved me, and overall the effect is I now will no longer be the first priority to get trades from any seller, this person will.

即使我能成交，价格也比我在99挂单要差。我也可以在99挂10手，然后这个人、那个人可能会说，我们不再是市场上最优的买单了，那为什么还要在99挂单呢？

And even if I do, I get them at a worse price than if I just placed over here at $99 I could also place this $10 and then this person and this person could say, well, we're no longer the best in the market for getting these orders, so why on earth should I continue to bid at 99?

我宁愿撤掉这些订单，然后也去改善这个人的报价。

I would rather get rid of these orders, and also improve this person.

现在我可以说了，我不想再继续改善这个人的报价了，我为什么要在100挂单呢？

And now I could say, well, I don't want to improve this person any further, why am I bidding at 100?

我直接在99挂单不就行了，对吧？

I could just bid at 99, right?

因为这样我在队列里和其他人享有同样的优先级，但无论公平价格是多少，我都能多赚一块钱的价差，因为我比之前少花一块钱买入。

Because then I'm the same priority in the queue to get trades from all the other people, but I can make an extra dollar of edge no matter what the fair price is because I'm just buying for a dollar less than I did before.

所以现在也许我撤掉这个，把这个挂在这里，然后这些人就会想，我们凭什么要在101挂单？

So now maybe I get rid of this and I put this here, now and these guys are like, well why the hell are we bidding at 101?

100块没人挂单，我们都可以直接移到100，每股多赚1美元。

There's no one at 100, we could all just move to 100 and make 1 extra dollar per share.

然后他们就会往下移，你看这趋势就明白了。

So then they will move down here, and you see how this goes.

这就变成了一场竞争中的赛跑，但这场赛跑最终的目的——这也是自由市场的妙处之一——就是不断压缩我们所说的买卖价差。

Becomes a race in a competitive condition, but the ultimate aim of this race, and again, of the wonderful things about the free market, is that this race tends to compress what we call the bid offer spread.

对吧？

Okay?

买卖价差其实有很多种理解方式，但最简单的理解就是：做市商为了在这个市场成交，相对于公平价格让渡了多少利润空间。

And the bid offer spread is basically, there's many ways to look at it, but the easiest way to look at it is how much edge is the taker giving up against the fair value in order to transact in this market.

对吧？

Okay?

所以在这里，买卖价差就是1美元，这是这个市场可能存在的最小买卖价差，也就是最小价格变动单位，取决于价格的最小增量。

So basically here the bid offer spread is $1, which is a minimum possible bid offer spread that can exist in this market, the tick size, given the minimum price increment of prices.

这意味着，如果我是交易者，我卖出后没动静，再买回来，我只会亏1美元。对吧？

And what that means is, if I am a trader and I sell, and then nothing happens and I buy, I only lose $1 Okay?

换句话说，公允价格是101.5，因为101和102之间，最优卖价是102。

Or in other words, the fair price of this is 101.5 because 101, 102, best offer.

所以每交易一次，我每股就要亏50美分。

So every time I trade, I lose 50¢ for every share that I trade.

如果这些价格都不存在，最优买价是99，最优卖价是102，那公允价格就是100.5，但我不想以99卖出或以102买入。

If none of these prices existed, and the best bid was 99, the best offer was 102, now Now the fair price is 100.5, but every time I wanna trade, I don't wanna sell at 99 or buy at a 102.

那我每交易一股就要亏1块5。

I'm gonna lose $1.50 at every share that I trade.

而且……

And that...

如果你把这看作是获取流动性的交易成本，也就是流动性的价格，那么这个成本要比在这个竞争激烈的市场里高得多。在那个市场里，大家互相竞争、不断优化，最终把买卖价差压缩到了最低。

If you think of that as a transaction cost for demanding liquidity, the price of liquidity, that transaction cost is much higher than in this competitive game where people were trying to improve each other and ultimately compress the bid offer spread.

所以，这也是竞争带来更低交易成本的另一种体现。

So that's another way that competition breeds lower transaction costs.

这又是市场的一个优秀特性。

Again, a great feature of the markets.