Deutsche Börse Rolls Out Eurex Real-time Analytics

deutsche-borse-headquarters-eschborn

Dubbed Eurex Real-time Analytics, the product─part of the exchange's Eurex and Eurex ultra products-provides users with in-depth trade and order information based on the full Eurex order book, and offers 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.

Order-related analytics include the quantity of arrived orders over the last 30 seconds at the instrument level, while trade-related analytics include volume weighted average price (VWAP) of buy and sell-triggered trades and order flow analytics, including volatility of arrived buy and sell order quantities over the previous 300 seconds, officials say.

The analytics are calculated and disseminated at intervals ranging from real time to every 60 seconds, with all order and trade details aggregated and anonymized.

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