Deutsche Börse Market Data + Services is introducing exclusive analytics based on raw, unpublished Xetra order book data.
Effective 25 November 2013, Xetra real-time analytics will provide market participants with additional, exclusive in-depth trading information.
“For the first time, our clients will be able to access key analytics calculated in real-time directly from the full Xetra order book,” says Georg Gross, head of front office data + services, Deutsche Börse. “Xetra real-time analytics bring greater transparency to trading activity in the German spot market by offering customers deeper insight into market conditions and trends.”
The information currently comprises more than 40 order- and trade-related analytics. These are calculated for all 160 index constituents of DAX, MDAX, TecDAX and SDAX. In addition, up/down indicators are provided for the four indices themselves. These report the number of index constituents ticking up minus the number ticking down.
Order-related analytics include rates of trade orders and cancellations. Examples are the number of arrived, modified and cancelled orders over the last 30 seconds at instrument level.
Trade-related analytics encompass sliding volume weighted average price (VWAP), duration, and buyer/seller relation analytics. For instance, market participants can see the number and quantity of buy-triggered or sell-triggered trades per 30 second intervals, in real-time.
Analytics are calculated and disseminated at different time intervals ranging from real-time to every 60 seconds. All order and trade information is aggregated and anonymized.
Xetra real-time analytics will be included in the existing information products Spot Market Germany and Xetra ultra.