Odds on Open “If it is easy and obvious, there is no edge in it” - TD Quant Matt Schrager
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May 7, 2026 
Matt Schrager, a TD Quant and former Headlands trader who built systematic market making for municipal bonds, walks through muni microstructure and why illiquid fixed income needs probabilistic pricing. He discusses adapting HFT simulation to rare trades. He explores inventory management, scaling prop trading into a bank, finding edge in gnarly markets, and how AI and talent shift the game.
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Simulate Execution To Know If You’ll Make Money
- Build rigorous backtesting and simulation even for illiquid markets to answer the real question: will I make money, not just 'are my predictions close'.
- Matt adapted HFT-grade simulation principles to fixed income, emphasizing accurate execution modelling across rare events and fragmented liquidity.
RFQ Auctions Versus Passive Offers In Munis
- Munis use two distinct workflows: RFQs (auctions used mainly to sell) and passive posted offers (used mainly to buy), and each requires a different simulation model.
- Matt explains simulating historic RFQs so you can tell if a quoted price would have won the auction across ~70,000 daily RFQs.
Inventory Is Inevitable So Optimize Prices Systematically
- You cannot go home flat in muni market making; firms hold large inventory and must optimize bid/offer to maximize risk-adjusted P&L subject to risk limits.
- The tradeoff spectrum (wide→small volume, tight→no edge, mid→optimal inventory) is solved by systematic math rather than intuition alone.