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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.

89 results
  1. Stefan's blog: In the Beginning There Was a Simple Trade

    Oct 6, 2025

    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

  2. Stefan's blog: Average Holdtimes

    Sep 30, 2025

    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

  3. Stefan's blog: When The Beat Drops Out

    Sep 22, 2025

    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

  4. Stefan's blog: Priority-Defying Fills

    Sep 17, 2025

    Every assumption you make about market data is wrong - or will become wrong eventually. More

  5. Stefan's blog: Incentives Work

    Sep 8, 2025

    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

  6. Stefan's blog: The (Unreliable) Retail Safety Net

    Sep 2, 2025

    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

  7. Stefan's blog: Buy High, Sell Higher

    Sep 2, 2025

    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

  8. Stefan's blog: A Damp Squib

    Aug 18, 2025

    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

  9. Stefan's blog: Thank God for Self-Match Prevention

    Aug 13, 2025

    SMP (self-match prevention) flagging has been mandatory since 2020 on Xetra. And with minor exceptions, not much has changed over the years. More

  10. Stefan's blog: The North Remembers

    Aug 4, 2025

    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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