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Stefan's Blog
Follow the blogs of our expert Stefan Schlamp, Head of Quantitative Analytics, about recent trends and developments in the market.
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Stefan's blog: The North Remembers
In what can only referred to as a diplomatic [body part] measuring contest between the EU and Switzerland, the EU did not extend the "recognition ... More
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Stefan's blog: Closing Auction Liquidity
If the market share of the closing auction increases, one would assume that the price impact of a comparable order should decrease. Reality is a ... More
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Stefan's blog: XOR Liquidity
In the 2010s we were trading an equity market making strategy which was connected to all European dark pools at the time (neither strategy nor ... More
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Stefan's blog: $ python bsd_trades.py -d 20250401 -D 20250630
It is that time of the year again to reveal the list of the largest and deepest trade of the previous quarter. More
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Stefan's blog: Deep Trades are Informed on Eurex, Uninformed on Xetra
Suppose you want to provide liquidity for a security but consider the spread too tight. You might then place orders away from the BBO and ... More
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Stefan's blog: Gini Decoupling
There has been an interesting development over the last two years. First, trading volumes have become more concentrated. Secondly, the level of ... More
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Stefan's blog: Cadence or Stride Length? - Stride Length!
To run faster you can increase your cadence and/or your stride length. Similarly, for one stock having a higher daily volume, this can be due to ... More
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Stefan's blog: Tragedy of the Commons - Price Formation Edition
Imagine Deutsche Bahn (or Amtrak, or National Rail, ...) was required to let competitors use their rail infrastructure for free. Competitors would ... More
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Stefan's blog: The HPT Triple is Complete
High-precision timestamp (HPT) files have been a staple for analyzing low-latency trading performance on Eurex and Xetra for years. The European ... More
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Stefan's blog: Private-First Latency Analysis
The CME operates on the private-first principle. The private fill messages to individual participants are sent before the trade update in the ... More
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