A Day in the Life of a Quant�� ��September 2022����

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Slide Instructions

How Did I, Specifically, Get Here?

• Fall 2018: As a sophomore, I apply for Virtu’s summer internship program. I am invited to their brand-new Women’s Winternship program.
• January 2019: During the week of the Winternship, I learn about Virtu and participate in projects, and am invited back for a summer internship as part of the VCMM team (Virtu Customer Market Making).
• Summer 2020: Despite being unexpectedly virtual, my summer internship goes well, and I receive a full-time offer.
• May 2021: I graduate! 🐯
• July 2021: I begin work as a full-time quantitative strategist as Virtu, still as part of VCMM.
• September 2022: I come over here.

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A long journey with many stops

The entire round trip, from click to fill, takes a fraction of a second.

Life Cycle of a Retail Order

Virtu

Vocabulary

• Bid: Order to buy (“I’d like to buy 900 shares of AAPL”)
• Ask: Order to sell
• Market order: An order to buy/sell a stock at the market’s current best available price (best ask/bid).
• This is a common type of order. There are other types. We will ignore them.

Exercise

• The lit (public) markets for AAPL look like this at a point in time:

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• Which side shows bids?
• What is the best bid?
• If you want to buy 200 shares of AAPL, what’s the best way to do it?
• You receive a market order from Alice to buy 100 shares, and a market order from Bob to sell 100 shares. Do you make or lose money when fulfilling these orders?

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A farmer’s market

Thought

• Suppose you get a market order from a customer to “Sell 100 AAPL.”
• You think the price of AAPL will increase in the future.
• What can you do?
• Remember, we want to fulfill this customer order quickly.

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Internalizing…

Thought

• It’s useful to know which way the market is moving.
• We develop and maintain several signals to do this.
• It’s sometimes useful to internalize, or “book,” orders.
• Doing this helps us provide “price improvement” to the customer.

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Thought complete

Virtu Customer Market Making (“VCMM”)

Customer orders (“I’d like to buy 100 AAPL…”)

Signals (“AAPL is going up…”)

We don’t want to internalize some customer orders, but must fulfill all of them.

The Retail Exhaust Strategy (“TREX”)

• What if we want to test out a change?
• Should we just implement it in production?

Interactions with the market

Retail exhaust orders

TREX Production Experiment

Other Projects I’m Working On

• Data processing tools
• Classic computer programming techniques
• Need for speed
• Lots of C++
• Data collection and processing
• Usually for research; often my own, sometimes others’
• Signal development
• Hypothesis, simulation, production
• Production monitoring
• This presentation

Questions?

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Recruitment�Virtu’s Summer Internship

Where and how many

28-30 Students in Austin, Chicago & New York

What to expect

Internship comprises impactful project-based work along with ongoing training in products, Virtu business lines and employee panels

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No toy problems

Everything interns work on is real and representative of actual trader / quant work

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Project work

Projects culminate to a final presentation to senior Virtu team

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Social Events

NYSE tour, poker nights, community service events and more…

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Previous Internship Class Schedule

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