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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: Priority-Defying Fills
Every assumption you make about market data is wrong - or will become wrong eventually. More
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Stefan's blog: Incentives Work
Market making options on-exchange is a tough business. Not just because of the pricing. The sheer number of different contracts on the same ... More
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Stefan's blog: The (Unreliable) Retail Safety Net
The 92-level retail trade could have been even worse if a sizable portion of it had not been filled by RLP (retail liquidity provider) orders (and ... More
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Stefan's blog: Buy High, Sell Higher
Xetra launched a dark midpoint book on 20241209. Personally, I am not a fan of the current market fragmentation not just across too many venues ... More
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Stefan's blog: A Damp Squib
The order books for the calendar spreads are incredibly "thick", i.e., there is a lot of volume on a given level. This is because they have ticks ... More
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Stefan's blog: Thank God for Self-Match Prevention
SMP (self-match prevention) flagging has been mandatory since 2020 on Xetra. And with minor exceptions, not much has changed over the years. More
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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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