In the Orthodox Church, we celebrate St. Stephen 2 days after Christmas. In the Lutheran Church, it has been the day after.
Nevertheless, we commemorate numerous martyrs in the (fast-free) Nativity Season, including the infant martyrs of Bethlehem, as we shoud.
Actually we began to remember the infant martyrs during the PreFeast; the Canon speaks of Herod "cutting them down like sheaves of ripenend wheat while sparing the Bread of Life".