一文读懂「做市商」是怎么玩的？
你是一个期货市场的做市商，现在有一个订单薄(order book)，它长这个样子:
我们先做一些假设：这个市场没有其他投资者发布限价单，你是这个市场唯一的流动性提供者，也就是说你是唯一的做市商；最小价格变动单位是0.01；所有吃单(taker)需要支付0.025%的手续费，所有挂单(maker)获得0.01%的返利。
你是做市商market maker，是挂单的一方，市场上所有和你市价成交的单子，你都能拿到0.01%的返利。
最优买价和最优卖价之间的价差(best bid和best offer，简称bb/o)叫做spread，当前订单薄的spread是0.01。
现在，有一笔市价卖单进来了，会和你的买一价100成交。这笔交易你付出了100，而对方实际只收到了100-0.025*100=99.975，其中的0.025（100*0.025%）是手续费，而你可以拿到其中0.01%的返利，所以你实际只付出了99.99。
因为买一被拿掉了，所以订单薄的结构变了，现在的spread变成了0.02。但是市价还是100，因为这是最后一个成交的价格：
如果此刻有一笔买单进来，将会和你的卖一价100.01成交。上一笔单子你以99.99的价格买入，这里再以100.01的价格卖出，赚到0.02，再加上返利，这一买一卖的总利润大约可以达到0.03。
尽管你的买一(100)和卖一(100.01)的spread只有0.01，但是实际利润高达0.03！
如果源源不断的市价单进来和你成交，每一次买卖你都可以赚到0.03，这样积累下来，发家指日可待！
但是很遗憾，市场并没有如你预期般顺利发展，在你以99.99的价格接货后，现货市场的价格立刻从100下跌到99.80，你立刻撤掉了99.99和99.98的买单，以免被别人套利。
因为现在的价格是已经跌到了99.80，你的卖一还是100.01，这个价格太高了，没有人会以这个价格和你成交。当然你也可以把卖一下调到99.81，但是将会产生0.17的亏损。
别忘了，你是市场上唯一的做市商，你完全可以利用这个优势，调整订单薄，把亏损打到最低！
你计算了一下以什么价格挂卖单，能保本出局。你以99.99的价格接货，想要卖个保本价平掉这一单，卖一就要挂在99.98(因为加上返利，实际到手是99.99，刚好不亏不赚)。
于是你调整了一下订单薄，在买一和买二分别挂上了99.80和99.79的单子，并在卖一挂上了99.98的单子：
尽管现在的价差很大，但你是市场上唯一的做市商，你可以决定不降低卖单价格。如果有人愿意以99.98的卖一价格成交，那皆大欢喜。如果没有，也没关系，因为你的买单价格已经下调到了99.80，会有市价单进来和你成交。
此时，有市价买单进来和你的买一成交。现在你手上有2份合约，持仓成本会平摊到：（99.79+99.99）/2=99.89。（上一笔我们以99.99的价格成交，这一笔以99.79的价格成交，比买单价格更低成交是因为我们有0.01%的手续费返利。）
OK，现在平均持仓成本降低到了99.89，你调低你的卖一价，从99.98调低到99.89。突然间，巨大的报价差缩小了一半。接下来，你可以不断地通过这样操作，逐步减少成本，缩小价差。
上面这个例子里，价格只波动了0.2%，如果价格突然波动5%、10%甚至更多呢？即使用上面的办法操作，也可能会导致亏损，因为价差太大了！
因此做市商要研究2个问题：
- 在不同的时间窗口下，价格的波动性有多大？
- 市场的成交量大小？
波动性简单来说，就是价格离其均值的偏离程度，不同的时间窗口下价格的波动性是不同的。一个品种可能在1分钟级别的k线图上上蹿下跳，而在日线图上的走势波澜不惊。成交量则告诉我们了流动性，流动性会影响挂单的spread和成交频率。
上面的图演示了4种价格波动，对不同的波动情况，做市商要选择不同的应对方式：
如果市场整体的波动率较低，每日波动率和日内波动率都很低，则应该选择较小的报价差，以最大化交易量。
如果每日波动率低，但是日内的波动率高(也就是说价格虽然大幅波动，但并没有实质性变化)，你可以扩大报价差spread，并且用更大的订单量。如果价格朝不利方向运动，可以采用上面说的摊低平均成本的办法来减少亏损。
如果每日波动率高，但是日内波动率低(换而言之，价格以平稳的步调走出了趋势)，这时候你应该用更小的、紧密的报价差spread。
如果每日波动率和日内波动率都很高，你应该扩大价差spread，且使用更小的订单量。这是最危险的市场情况⚠️，经常吓跑其他的做市商，当然危机并存，也蕴藏着很多机会。大多数时间做市商会赚取稳定的收益，但是市场脾气怪的时候，会击穿你订单薄的一侧，迫使你亏损出局。
第一篇文章到这里就结束了，作者的第二篇文用数学方式说明了做市商如何选择spread和mid price(中间价），因为确实太偏理论化，后面就不做翻译了，大家有兴趣可以去读读（需要科学上网）：
第一篇文章出处：https://medium.com/@idrawcharts/how-market-making-works-poorly-illustrated-128b5ae8304d第二篇文章出处：https://idrawcharts.medium.com/market-making-article-2-not-illustrated-but-much-more-in-depth-25f1257656ac
TIPS：大家可以用ChatPDF或者GPT读英文书刊。
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puppy按不同市场整理的各种研报：
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An hour-long DVD can be included, containing 18 movies made by
Bob Mizer between 1954 and 1968, in black-and-white
and shade, all edited particularly for this book. Mizer’s take on Dr.
Frankenstein’s monster, in posing straps, is a
standout. In 1951 Mizer launched Physique Pictorial, America’s first indisputably
gay journal, bringing his pictures of top bodybuilders to
grateful readers worldwide. In 1957 he printed a catalog featuring all his men,
titled a thousand Model Listing. A second one thousand Model Directory followed in 1968, with the lads photographed in the intervening years.
The little 98-page books turned instant collectibles, however the pictures have been so small,
12 to a page, that they were as frustrating to view as they
had been titillating. Bob Mizer began taking photographs of strapping younger
males on Muscle Seashore in L.A.’s Venice Seashore again in 1945.
Different magazines, meanwhile, like Philadelphia’s Drum, started to be extra explicitly political, adopting the idiom
of camp and the rhetoric of gay liberation in its editorials and photograph captions.
It was in this format that the physique magazines reached their widest
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full-frontal male nudes was a factor of the previous.
Overtly gay magazines like Drum and Vector emerged that combined homosexual activism with nude pictures that made no bones
about their homoerotic attraction. The rise of hardcore
gay pornography, and of shiny studios like Colt and Fox, proved too much of a competition for Physique
Pictorial and different physique magazines, which might no longer afford
to rent high models. (The three-volume, collected Physique Pictorial reveals a sad decline in the quality
of its models after 1969.) Even so, Mizer continued to publish Physique Pictorial, as a semi-annual digest of old and new photographs,
till 1991. Mizer died in 1992, and his Athletic Model Guild soon followed swimsuit.
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While on an uncommon date with his nerdy classmate, Ellie Sawyer (von Zerneck),
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from Roswell, New Mexico. There, he stumbles upon the engine from that
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Jim and Champ hit it off at once and the photographer proceeded with the first of 21 separate
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In 1997 Kennedy started Oxygen magazine, which targets a female health demographic.
In 1976, Kennedy opened a sequence of fitness stores referred
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Kennedy quickly adopted with shops in Miami, Ny, Las Vegas, and in the state of California, ultimately reaching 28 stores.
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By the Nineteen Thirties a few of the conditions for a print-based,
gay physique tradition had been in place,
although its infrastructure was not yet discernibly
homosexual. Bodybuilding and gym-based weightlifting were rising in popularity.
Power and Health journal, linked to the York Barbell Firm in York,
Pennsylvania, started publishing on this interval, and the first Mister America bodybuilding
contest was held in 1939. Right Here and there, homosexual
photographers like Al Urban started up regional mail-order services for their photographs of muscular younger males,
but no one had but considered assembling photographs right into a journal format.
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Though on the peak of physique photography’s recognition there
have been more than one hundred muscle magazines in the marketplace, Mizer’s
Physique Pictorial was among the longest-running and finest known. The pictures, editorials, and letters in Physique Pictorial offer an exemplary record of the emergence of a popular gay male visual culture
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Walter Kundzicz was born in 1925 in the Polish district of Newark, New Jersey.
His mother and father purchased him his first digital camera for his eighth
birthday and he immediately turned obsessed with photography.
Earlier Than Playboy, Playgirl, videotape, and even 8mm reel-to-reels, Bob Mizer
mined one of the best and hunkiest of American guys
straight off the Greyhound bus in L.A. It
could have been described as the attractive look book of American male archetypes.
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