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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: 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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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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