Follow the blogs of our expert Stefan Schlamp, Head of Quantitative Analytics, about recent trends and developments in the market.
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
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
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
Every assumption you make about market data is wrong - or will become wrong eventually. More
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
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
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
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
SMP (self-match prevention) flagging has been mandatory since 2020 on Xetra. And with minor exceptions, not much has changed over the years. More
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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