指数套利

In this section, we will explore one of the most popular Arb strategies: Index Arbitrage.

The original exchange traded funds or ETFs were created to mirror the most heavily traded indexes: the S&P 500, Nasdaq 100, and the Dow 30. As volume of these ETFs increased and passive investing became more popular, the number of ETFs increased to more than 6,000 worldwide by 2018 of which 3,500 were equity-based（由于这些ETF的数量增加，被动投资变得更受欢迎，截至2018，全球ETF的数量增至6,000多只，其中3,500只以股票为基础。）. ETFs currently manage over $5 trillion of assets and are traded actively by both institutional and retail traders（机构和零售商）.

Index Arbitrage is a high-frequency strategy. Indexes are composed of multiple stocks or bonds each of which is traded separately or as part of an index ETF（股票或者债券组成，股票或者债券分别进行交易或者作为指数ETF的一部分进行交易）. Traders need to know the current bid, offer, and size of orders for each index component, and also the weighting of each component in each index in order to know exactly what price they can buy and sell the index in the market.

They then compare that with the best bid and offer for the index ETF and see if there’s an arbitrage opportunity（然后他们将其与指数ETF的最佳买入价和卖出价进行比较，看是否有套利机会）. For example, you could buy shares of all 100 components of the Nasdaq 100 in exactly the right proportions and then sell shares of the QQQ ETF.
This may seem like a lot of effort for a small profit, but it’s the main business of lead market-makers for the QQQ who are constantly converting mirror portfolios into QQQ shares and then converting QQQ shares into their component’s stocks. Index Arbitrage also has high-infrastructure costs due to its need for real-time market data feeds, high-speed computers, and co-location with exchange servers. Co-location reduces the time between when your order execution program receives market data and the exchange receives your trading orders. This is called reducing data and execution latency（减少数据和执行延迟）.