SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549


                                  SCHEDULE 13G
                                 (Rule 13d-102)

   INFORMATION TO BE INCLUDED IN STATEMENTS FILED PURSUANT TO RULES 13d-1(b),
       (c), AND (d) AND AMENDMENTS THERETO FILED PURSUANT TO RULE 13d-2(b)
                                (Amendment No. )*







                           Knight Capital Group, Inc.
--------------------------------------------------------------------------------
                                (Name of Issuer)



                          Common Stock, $0.01 par value
--------------------------------------------------------------------------------
                         (Title of Class of Securities)



                                    499005106
--------------------------------------------------------------------------------
                                 (CUSIP Number)



                                January 27, 2006
--------------------------------------------------------------------------------
             (Date of Event which Requires Filing of this Statement)


Check the appropriate box to designate the rule pursuant to which this Schedule
is filed:

         [ ]      Rule 13d-1(b)

         [X]      Rule 13d-1(c)

         [ ]      Rule 13d-1(d)



* The remainder of this cover page shall be filled out for a reporting person's
initial filing on this form with respect to the subject class of securities, and
for any subsequent amendment containing information which would alter the
disclosures provided in a prior cover page.

The information required in the remainder of this cover page shall not be deemed
to be "filed" for the purpose of Section 18 of the Securities Exchange Act of
1934 ("Act") or otherwise subject to the liabilities of that section of the Act
but shall be subject to all other provisions of the Act (however, see the
Notes).


                                     Page 1



CUSIP No.     499005106
              ---------------------

--------------------------------------------------------------------------------

    1)   Names of Reporting Person

         S.S. or I.R.S. Identification No. of Above Person

              Tudor Investment Corporation
         -----------------------------------------------------------------------
              22-2514825
         -----------------------------------------------------------------------

--------------------------------------------------------------------------------

    2)   Check the Appropriate Box if a Member of a Group (See Instructions)

         (a)
              ------------------------------------------------------------------

         (b)         X
              ------------------------------------------------------------------

--------------------------------------------------------------------------------

    3)   SEC Use Only
                       ---------------------------------------------------------

--------------------------------------------------------------------------------

    4)   Citizenship or Place of Organization        Delaware
                                                   -----------------------------

--------------------------------------------------------------------------------

                   (5)  Sole Voting Power                       0
                                                 -------------------------------
Number of Shares   -------------------------------------------------------------
Beneficially       (6)  Shared Voting Power             6,688,517
Owned by Each                                    -------------------------------
Reporting Person   -------------------------------------------------------------
With               (7)  Sole Dispositive Power                  0
                                                 -------------------------------
                   -------------------------------------------------------------
                   (8)  Shared Dispositive Power        6,688,517
                                                 -------------------------------

--------------------------------------------------------------------------------

    9)   Aggregate Amount Beneficially Owned by Each Reporting Person  6,688,517
                                                                     -----------

--------------------------------------------------------------------------------

   10)   Check if the Aggregate Amount in Row (9) Excludes Certain Shares
         (See Instructions)
                            ----------------------------------------------------

--------------------------------------------------------------------------------

   11)   Percent of Class Represented by Amount in Row 9       6.5%
                                                          ----------------------

--------------------------------------------------------------------------------

   12)   Type of Reporting Person (See Instructions)             CO
                                                      --------------------------

--------------------------------------------------------------------------------


                                     Page 2




CUSIP No.     499005106
              ---------------------

--------------------------------------------------------------------------------

    1)   Names of Reporting Person

         S.S. or I.R.S. Identification No. of Above Person

              Paul Tudor Jones, II
         -----------------------------------------------------------------------

         -----------------------------------------------------------------------

--------------------------------------------------------------------------------

    2)   Check the Appropriate Box if a Member of a Group (See Instructions)

         (a)
              ------------------------------------------------------------------

         (b)         X
              ------------------------------------------------------------------

--------------------------------------------------------------------------------

    3)   SEC Use Only
                       ---------------------------------------------------------

--------------------------------------------------------------------------------

    4)   Citizenship or Place of Organization        USA
                                                   -----------------------------

--------------------------------------------------------------------------------

                   (5)  Sole Voting Power                       0
                                                 -------------------------------
Number of Shares   -------------------------------------------------------------
Beneficially       (6)  Shared Voting Power             7,288,717
Owned by Each                                    -------------------------------
Reporting Person   -------------------------------------------------------------
With               (7)  Sole Dispositive Power                  0
                                                 -------------------------------
                   -------------------------------------------------------------
                   (8)  Shared Dispositive Power        7,288,717
                                                 -------------------------------

--------------------------------------------------------------------------------

    9)   Aggregate Amount Beneficially Owned by Each Reporting Person  7,288,717
                                                                     -----------

--------------------------------------------------------------------------------

   10)   Check if the Aggregate Amount in Row (9) Excludes Certain Shares
         (See Instructions)
                            ----------------------------------------------------

--------------------------------------------------------------------------------

   11)   Percent of Class Represented by Amount in Row 9       7.1%
                                                          ----------------------

--------------------------------------------------------------------------------

   12)   Type of Reporting Person (See Instructions)             IN
                                                      --------------------------

--------------------------------------------------------------------------------


                                     Page 3




CUSIP No.     499005106
              ---------------------

--------------------------------------------------------------------------------

    1)   Names of Reporting Person

         S.S. or I.R.S. Identification No. of Above Person

              Tudor Proprietary Trading, L.L.C.
         -----------------------------------------------------------------------
              13-3720063
         -----------------------------------------------------------------------

--------------------------------------------------------------------------------

    2)   Check the Appropriate Box if a Member of a Group (See Instructions)

         (a)
              ------------------------------------------------------------------

         (b)         X
              ------------------------------------------------------------------

--------------------------------------------------------------------------------

    3)   SEC Use Only
                       ---------------------------------------------------------

--------------------------------------------------------------------------------

    4)   Citizenship or Place of Organization        Delaware
                                                   -----------------------------

--------------------------------------------------------------------------------

                   (5)  Sole Voting Power                       0
                                                 -------------------------------
Number of Shares   -------------------------------------------------------------
Beneficially       (6)  Shared Voting Power               600,200
Owned by Each                                    -------------------------------
Reporting Person   -------------------------------------------------------------
With               (7)  Sole Dispositive Power                  0
                                                 -------------------------------
                   -------------------------------------------------------------
                   (8)  Shared Dispositive Power          600,200
                                                 -------------------------------

--------------------------------------------------------------------------------

    9)   Aggregate Amount Beneficially Owned by Each Reporting Person   600,200
                                                                     -----------

--------------------------------------------------------------------------------

   10)   Check if the Aggregate Amount in Row (9) Excludes Certain Shares
         (See Instructions)
                            ----------------------------------------------------

--------------------------------------------------------------------------------

   11)   Percent of Class Represented by Amount in Row 9       0.6%
                                                          ----------------------

--------------------------------------------------------------------------------

   12)   Type of Reporting Person (See Instructions)             OO
                                                      --------------------------

--------------------------------------------------------------------------------


                                     Page 4



CUSIP No.     499005106
              ---------------------

--------------------------------------------------------------------------------

    1)   Names of Reporting Person

         S.S. or I.R.S. Identification No. of Above Person

              The Tudor BVI Global Portfolio Ltd.
         -----------------------------------------------------------------------

         -----------------------------------------------------------------------

--------------------------------------------------------------------------------

    2)   Check the Appropriate Box if a Member of a Group (See Instructions)

         (a)
              ------------------------------------------------------------------

         (b)         X
              ------------------------------------------------------------------

--------------------------------------------------------------------------------

    3)   SEC Use Only
                       ---------------------------------------------------------

--------------------------------------------------------------------------------

    4)   Citizenship or Place of Organization        Cayman Islands
                                                   -----------------------------

--------------------------------------------------------------------------------

                   (5)  Sole Voting Power                       0
                                                 -------------------------------
Number of Shares   -------------------------------------------------------------
Beneficially       (6)  Shared Voting Power             1,115,499
Owned by Each                                    -------------------------------
Reporting Person   -------------------------------------------------------------
With               (7)  Sole Dispositive Power                  0
                                                 -------------------------------
                   -------------------------------------------------------------
                   (8)  Shared Dispositive Power        1,115,499
                                                 -------------------------------

--------------------------------------------------------------------------------

    9)   Aggregate Amount Beneficially Owned by Each Reporting Person  1,115,499
                                                                     -----------

--------------------------------------------------------------------------------

   10)   Check if the Aggregate Amount in Row (9) Excludes Certain Shares
         (See Instructions)
                            ----------------------------------------------------

--------------------------------------------------------------------------------

   11)   Percent of Class Represented by Amount in Row 9       1.1%
                                                          ----------------------

--------------------------------------------------------------------------------

   12)   Type of Reporting Person (See Instructions)             CO
                                                      --------------------------

--------------------------------------------------------------------------------


                                     Page 5




CUSIP No.     499005106
              ---------------------

--------------------------------------------------------------------------------

    1)   Names of Reporting Person

         S.S. or I.R.S. Identification No. of Above Person

              Witches Rock Portfolio Ltd.
         -----------------------------------------------------------------------

         -----------------------------------------------------------------------

--------------------------------------------------------------------------------

    2)   Check the Appropriate Box if a Member of a Group (See Instructions)

         (a)
              ------------------------------------------------------------------

         (b)         X
              ------------------------------------------------------------------

--------------------------------------------------------------------------------

    3)   SEC Use Only
                       ---------------------------------------------------------

--------------------------------------------------------------------------------

    4)   Citizenship or Place of Organization        Cayman Islands
                                                   -----------------------------

--------------------------------------------------------------------------------

                   (5)  Sole Voting Power                       0
                                                 -------------------------------
Number of Shares   -------------------------------------------------------------
Beneficially       (6)  Shared Voting Power               352,836
Owned by Each                                    -------------------------------
Reporting Person   -------------------------------------------------------------
With               (7)  Sole Dispositive Power                  0
                                                 -------------------------------
                   -------------------------------------------------------------
                   (8)  Shared Dispositive Power          352,836
                                                 -------------------------------

--------------------------------------------------------------------------------

    9)   Aggregate Amount Beneficially Owned by Each Reporting Person   352,836
                                                                     -----------

--------------------------------------------------------------------------------

   10)   Check if the Aggregate Amount in Row (9) Excludes Certain Shares
         (See Instructions)
                            ----------------------------------------------------

--------------------------------------------------------------------------------

   11)   Percent of Class Represented by Amount in Row 9       0.3%
                                                          ----------------------

--------------------------------------------------------------------------------

   12)   Type of Reporting Person (See Instructions)             CO
                                                      --------------------------

--------------------------------------------------------------------------------


                                     Page 6




CUSIP No.     499005106
              ---------------------

--------------------------------------------------------------------------------

    1)   Names of Reporting Person

         S.S. or I.R.S. Identification No. of Above Person

              The Raptor Global Portfolio Ltd.
         -----------------------------------------------------------------------

         -----------------------------------------------------------------------

--------------------------------------------------------------------------------

    2)   Check the Appropriate Box if a Member of a Group (See Instructions)

         (a)
              ------------------------------------------------------------------

         (b)         X
              ------------------------------------------------------------------

--------------------------------------------------------------------------------

    3)   SEC Use Only
                       ---------------------------------------------------------

--------------------------------------------------------------------------------

    4)   Citizenship or Place of Organization        Cayman Islands
                                                   -----------------------------

--------------------------------------------------------------------------------

                   (5)  Sole Voting Power                       0
                                                 -------------------------------
Number of Shares   -------------------------------------------------------------
Beneficially       (6)  Shared Voting Power             5,173,080
Owned by Each                                    -------------------------------
Reporting Person   -------------------------------------------------------------
With               (7)  Sole Dispositive Power                  0
                                                 -------------------------------
                   -------------------------------------------------------------
                   (8)  Shared Dispositive Power        5,173,080
                                                 -------------------------------

--------------------------------------------------------------------------------

    9)   Aggregate Amount Beneficially Owned by Each Reporting Person  5,173,080
                                                                     -----------

--------------------------------------------------------------------------------

   10)   Check if the Aggregate Amount in Row (9) Excludes Certain Shares
         (See Instructions)
                            ----------------------------------------------------

--------------------------------------------------------------------------------

   11)   Percent of Class Represented by Amount in Row 9       5.1%
                                                          ----------------------

--------------------------------------------------------------------------------

   12)   Type of Reporting Person (See Instructions)             CO
                                                      --------------------------

--------------------------------------------------------------------------------


                                     Page 7




CUSIP No.     499005106
              ---------------------

--------------------------------------------------------------------------------

    1)   Names of Reporting Person

         S.S. or I.R.S. Identification No. of Above Person

              The Altar Rock Fund L.P.
         -----------------------------------------------------------------------
              06-1558414
         -----------------------------------------------------------------------

--------------------------------------------------------------------------------

    2)   Check the Appropriate Box if a Member of a Group (See Instructions)

         (a)
              ------------------------------------------------------------------

         (b)         X
              ------------------------------------------------------------------

--------------------------------------------------------------------------------

    3)   SEC Use Only
                       ---------------------------------------------------------

--------------------------------------------------------------------------------

    4)   Citizenship or Place of Organization        Delaware
                                                   -----------------------------

--------------------------------------------------------------------------------

                   (5)  Sole Voting Power                       0
                                                 -------------------------------
Number of Shares   -------------------------------------------------------------
Beneficially       (6)  Shared Voting Power                47,102
Owned by Each                                    -------------------------------
Reporting Person   -------------------------------------------------------------
With               (7)  Sole Dispositive Power                  0
                                                 -------------------------------
                   -------------------------------------------------------------
                   (8)  Shared Dispositive Power           47,102
                                                 -------------------------------

--------------------------------------------------------------------------------

    9)   Aggregate Amount Beneficially Owned by Each Reporting Person   47,102
                                                                     -----------

--------------------------------------------------------------------------------

   10)   Check if the Aggregate Amount in Row (9) Excludes Certain Shares
         (See Instructions)
                            ----------------------------------------------------

--------------------------------------------------------------------------------

   11)   Percent of Class Represented by Amount in Row 9       0.05%
                                                          ----------------------

--------------------------------------------------------------------------------

   12)   Type of Reporting Person (See Instructions)             PN
                                                      --------------------------

--------------------------------------------------------------------------------


                                     Page 8




Item 1(a).  Name of Issuer:

            Knight Capital Group, Inc.

Item 1(b).  Address of Issuer's Principal Executive Offices:

            545 Washington Boulevard
            Jersey City, NJ  07310

Item 2(a).  Name of Person Filing:

            Tudor Investment Corporation ("TIC")
            Paul Tudor Jones, II
            Tudor Proprietary Trading, L.L.C. ("TPT")
            The Tudor BVI Global Portfolio Ltd. ("BVI Portfolio")
            Witches Rock Portfolio Ltd. ("Witches Rock Portfolio")
            The Raptor Global Portfolio Ltd. ("Raptor Portfolio")
            The Altar Rock Fund L.P. ("Altar Rock")

Item 2(b).  Address of Principal Business Office or, if none, Residence:

            The principal business office of each of TIC and TPT is:

                           1275 King Street
                           Greenwich, CT 06831

            The principal business office of Mr. Jones and Altar Rock is:

                           c/o Tudor Investment Corporation
                           1275 King Street
                           Greenwich, CT 06831

            The principal business office of each of BVI Portfolio, Witches
Rock Portfolio, and Raptor Portfolio is:

                           c/o CITCO
                           Kaya Flamboyan 9
                           P.O. Box 4774
                           Curacao, Netherlands Antilles

Item 2(c).  Citizenship:

            TIC is a Delaware corporation.
            Mr. Jones is a citizen of the United States.
            TPT is a Delaware limited liability company.
            BVI Portfolio, Witches Rock Portfolio, and Raptor Portfolio are
            companies organized under the laws of the Cayman Islands.
            Altar Rock is a Delaware limited partnership.

Item 2(d).  Title of Class of Securities:

            Common Stock, par value $0.01

Item 2(e).  CUSIP Number:

            499005106


                                     Page 9



Item  3.    If this statement is filed pursuant to Rules 13d-1(b), or 13d-2(b),
            check whether the person filing is a:
            (a)  [ ]  Broker or Dealer registered under section 15 of the Act
            (b)  [ ]  Bank as defined in section 3(a)(6) of the Act
            (c)  [ ]  Insurance Company as defined in section 3(a)(19) of the
                      Act
            (d) [ ]   Investment Company registered under section 8 of the
                      Investment Company Act
            (e) [ ]   Investment Adviser registered under section 203 of the
                      Investment Advisers Act of 1940
            (f) [ ]   Employment Benefit Plan, Pension Fund which is subject to
                      the provisions of the Employee Retirement Income Security
                      Act of 1974 or Endowment Fund; see section
                      240.13d-1(b)(1)(ii)(F)
            (g) [ ]   Parent Holding Company, in accordance with section
                      240.13d-1(b)(1)(ii)(G) (Note: See Item 7)
            (h) [ ]   Group, in accordance with section 240.13d-1(b)(1)(ii)(H)

Item 4.     Ownership (As of February 3, 2006).

            (a)  Amount Beneficially Owned: See Item 9 of cover pages

            (b)  Percent of Class: See Item 11 of cover pages

            (c)  Number of shares as to which such person has:

                 (i)    sole power to vote or to direct the vote

                        See Item 5 of cover pages
                        --------------------------------------------------------

                 (ii)   shared power to vote or to direct the vote

                        See Item 6 of cover pages
                        --------------------------------------------------------

                 (iii)  sole power to dispose or to direct the disposition of

                        See Item 7 of cover pages
                        --------------------------------------------------------

                 (iv)   shared power to dispose or to direct the disposition of

                        See Item 8 of cover pages
                        --------------------------------------------------------

                 The shares of Common Stock reported herein as beneficially
            owned are owned directly by TPT (600,200 shares), BVI Portfolio
            (1,115,499 shares), Witches Rock Portfolio (353,836 shares), Raptor
            Portfolio (5,173,080 shares), and Altar Rock (47,102 shares).
            Because TIC provides investment advisory services to BVI Portfolio,
            Witches Rock Portfolio, Raptor Portfolio, and is the general partner
            of Altar Rock, TIC may be deemed to beneficially own the shares of
            Common Stock owned by each of such Reporting Persons. TIC expressly
            disclaims such beneficial ownership. In addition, because Mr. Jones
            is the controlling shareholder of TIC and the indirect controlling
            equity holder of TPT, Mr. Jones may be deemed to beneficially own
            the shares of Common Stock deemed beneficially owned by TIC and TPT.
            Mr. Jones expressly disclaims such beneficial ownership.

Item 5.     Ownership of Five Percent or Less of a Class.

                 Not applicable


Item 6.     Ownership of More than Five Percent on Behalf of Another Person.

                 Not applicable

Item 7.     Identification and Classification of the Subsidiary Which Acquired
            the Security Being Reported on By the Parent Holding Company.

                 Not applicable

Item 8.     Identification and Classification of Members of the Group.

                 See cover pages

Item 9.     Notice of Dissolution of Group.

                 Not applicable


                                    Page 10



Item 10.  Certification.

              By signing below I certify that, to the best of my knowledge and
belief, the securities referred to above were not acquired and are not held for
the purpose of or with the effect of changing or influencing the control of the
issuer of the securities and were not acquired and are not held in connection
with or as a participant in any transaction having that purpose or effect.

              After reasonable inquiry and to the best of my knowledge and
belief, I certify that the information set forth in this statement is true,
complete and correct.


                             Dated:    February 3, 2006


                             TUDOR INVESTMENT CORPORATION


                             By:          /s/ Stephen N. Waldman
                                 -----------------------------------------------
                                 Stephen N. Waldman
                                 Managing Director and Associate General Counsel



                                 /s/ Paul Tudor Jones, II
                             ---------------------------------------------------
                                 Paul Tudor Jones, II



                             TUDOR PROPRIETARY TRADING, L.L.C.


                             By:          /s/ Stephen N. Waldman
                                 -----------------------------------------------
                                 Stephen N. Waldman
                                 Managing Director and Associate General Counsel



                             THE TUDOR BVI GLOBAL PORTFOLIO LTD.

                             By:  Tudor Investment Corporation,
                                  Trading Advisor


                                By:        /s/ Stephen N. Waldman
                                    --------------------------------------------
                                    Stephen N. Waldman
                                    Managing Director and Associate General
                                      Counsel


                                    Page 11






                             WITCHES ROCK PORTFOLIO LTD.

                             By:  Tudor Investment Corporation,
                                  Investment Adviser


                                By:        /s/ Stephen N. Waldman
                                    --------------------------------------------
                                    Stephen N. Waldman
                                    Managing Director and Associate General
                                      Counsel



                             THE RAPTOR GLOBAL PORTFOLIO LTD.

                             By:  Tudor Investment Corporation,
                                  Investment Adviser


                                By:        /s/ Stephen N. Waldman
                                    --------------------------------------------
                                    Stephen N. Waldman
                                    Managing Director and Associate General
                                      Counsel



                             THE ALTAR ROCK FUND L.P.

                             By:  Tudor Investment Corporation,
                                  General Partner


                                By:        /s/ Stephen N. Waldman
                                    --------------------------------------------
                                    Stephen N. Waldman
                                    Managing Director and Associate General
                                      Counsel



                                    Page 12