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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: Better To Be Last in a Group Than Alone
It is often said that low-latency trading is a winner-takes-all game. For aggressive strategies this is - to some degree (with a lot of ... More
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Stefan's blog: A Good Horse Only Jumps as High as It Has To
A looong time ago I had to implement a market-making algo for equity index CFDs on LMAX. The assumption was that we would trade against customers ... More
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Stefan's blog: In the Beginning There Was a Simple Trade
Things back in the days were easy. Nowadays, figuring out exactly what was going on from the market data is, let's put this euphemistically, not ... More
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Stefan's blog: Average Holdtimes
To compute the average holdtime one needs the timeseries of positions. But only given the daily volume and the end-of-day positions, one can still ... More
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Stefan's blog: When The Beat Drops Out
As a market maker, you optimize your algos to "normal" market conditions. You would need a separate pricing model, possibly using a different set ... More
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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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