05.19.2014

Deutsche Börse Extends Real-Time Analytics

05.19.2014
Terry Flanagan

Deutsche Börse is extending its real-time analytics offering to its Eurex derivatives order book, enabling customers to fine-tune trading strategies using live data. The offering complements a similar one that the company launched last year for its Xetra order book on its equity bourse.

Real-time analytics provides market participants with in-depth trade and order information based on the full Eurex order book.

“Market participants require more sophisticated information in order to make better trading and risk management decisions,” Georg Gross, head of front office data + services at Deutsche Börse, told Markets Media. “Real-time analytics provides investors and analysts with greater insight to help them evaluate market activity and trends.”

Eurex and Xetra RTA provide customers with a more detailed, granular look at the order books for the first time, said Gross. “This is a first step in using our existing raw data and technology to introduce a new generation of enhanced real-time market data and analytics,” he said.

The information currently comprises more than 25 order- and trade-related analytics that are calculated for Eurex’s leading futures contracts, including DAX and EURO STOXX 50 Index Futures, VSTOXX Futures and benchmark interest rate derivatives.

Xetra RTA includes about 40 order and trade analytics for the components of the DAX, MDAX, TecDAX and SDAX indices (160 instruments total). Also calculated are up/down indicators for the actual four indices which report the number of index constituents ticking up minus the number ticking down.

In terms of calculation, all visible orders plus incoming Immediate-Or-Cancel (IOC) and Fill-or-Kill (FOK) orders are included for Xetra RTA, said Gross. For Eurex RTA, on-exchange trades and all orders and quotes that are visible in the order book are included in the calculation.

Order-related analytics include rates of trade orders and cancellations, such as 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 for both products are calculated and disseminated in time intervals ranging from real-time to every 60 seconds. All order and trade information is aggregated and anonymized. “Besides the different input data and possible differences in calculation parameters, the methodologies for calculating RTAs for Xetra and Eurex are similar to a large extent,” Gross said.

Xetra RTA data is available through existing information products Spot Market Germany and Xetra Ultra, which are disseminated via CEF Core and CEF ultra + Xetra, respectively. Eurex RTA data is available through information products Eurex and Eurex ultra, which are disseminated via CEF Core and CEF ultra + Eurex, respectively. Both Xetra and Eurex RTA are also available via data vendors.

Related articles

  1. Basel Committee Consults on Interest-Rate Risk

    CME reported that open interest in SOFR options also reached a record.

  2. Market Volatility Boosts Options Volume

    The ability to track volatility across multiple asset classes has never been more important.

  3. The exchange will use a price time-model and is expected to launch in early 2023.

  4. GreenTrees is the number one reforestation program operator in the US by credit issuance.

  5. The committee plays a critical role in defining the Derivatives Service Bureau’s technology roadmap.