Deutsche Börse Adds Options Liquidity Indicator to Eurex Analytics
Subscribers will receive the aggregated volume of deleted Immediate-or-Cancel (IOC) orders in a 10-millisecond time period starting from the timestamp of a trade triggered by an IOC order for more than 70 of the most popular options contracts traded on Eurex, as well as volume indication and trade-related information, such as price, quantity, execution ID and the aggressive side that triggered the trades.
"Because the new indicator is based on order information that is not publicly available, it
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