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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: You better double that, then double that again
It's been over 18 months since the introduction of the Xetra Retail Service on 20240520. Time to see how things are going. And there is no better ... More
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Stefan's blog: Biggie Smalls
There are a number of futures which exist in different sizes, i.e., the same underlier, same expiry, etc; just that one contract represents X ... More
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Stefan's blog: Fantastic Beasts - The Triple(Short)SyntheticMatchPaths
On the hunt for another elusive Fantastic Beast (the SyntheticSmp) I gut a false positive caused by MMP (market maker protection) quote ... More
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Stefan's blog: Trade Reversals
Stuff happens. There needs to be a mechanism to reverse (bust) trades after the fact - and there is. The EOBI real-time data feed even ... More
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Stefan's blog: Who Is Selling (Buying) in a Rising (Falling) Market?
For every buyer, there is a seller. And the population of buyers and sellers are different in terms of their classification ("trading capacity" - ... More
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Stefan's blog: Fantastic Beasts - The MidSweepSmpIceberg
I am always on the lookout for market data edge cases. And the more market models and features are operating side-by-side, the more exotic edge ... More
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Stefan's blog: Post-Trade Adjustments
Participants provide a "TradingCapacity" (MM, PROP, or AGENT) with each order request. Based on this information, and given the start-of-day open ... More
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Stefan's blog: Pedal to the Metal, 2025Q3
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: Avg. Spread vs. Avg. Crossed Spread vs. Avg. Markout
A lot of the discussions about tick sizes reminds me of bike shedding. At the end of the day it is a problem where everybody can have an opinion ... More
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Stefan's blog: Optimal Tick Sizes
I spent some time on the US equities market. It took me a while to understand what people were talking about when they talked about "low priced ... More
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