Virtu issues three types of IOIs:
A natural IOI assumes that Virtu has a client order in hand and is looking for a contra order.
Virtu uses a qualifier to indicate a directional bias in retail volume. Virtu generates a house-natural IOI on the same side in anticipation of the imbalance continuing.
This is an IOI that includes side, size, and price but is not based on current orders or specific executed volumes.
Virtu’s house-natural IOIs are generated based on the buy/sell imbalance of executed retail volume. They include a price and size at which Virtu is willing to commit its capital and are created in anticipation of continued flow on the same side from the firm’s retail clients. The imbalance is calculated at 15 minute intervals throughout the trading day.
These IOIs expire within 5 minutes of being sent. The imbalance is calculated every 15 minutes.
If the imbalance continues, then there will be opportunity to trade out of the position by interacting with retail client flows. If the volume stops or reverses, Virtu will manage the position while trying to minimize impact or reversion.
House-natural IOIs will expire within 5 minutes of being sent. It is possible that, as with any liquidity, demand can diminish or reverse. However, as always Virtu will make every effort to accommodate a request for block liquidity.
You can access all of our IOI messages including house-natural IOI messages quickly and easily through Bloomberg. Virtu can send IOI messages to any FIX enabled system or OMS.
Executions resulting from a response to a house-natural IOI will likely result in mostly principal fills.
Since the majority of executions will likely be principal, you will not be able to trade using a CSA agreement. However, you can opt to trade outside of a CSA agreement.