Deutsche Börse Adds Order/Trade Analytics


Deutsche Börse will next week introduce analytics calculated in real-time from raw, unpublished Xetra order book data to enhance transparency in the German market by giving users more insight into market trends and conditions, Deutsche Börse officials say.

The data, which will be available from Deutsche Borse starting on Nov. 25, includes more than 40 order- and trade-related analytics that are calculated from aggregated and anonymized data for all 160 index constituents of the DAX, MDAX, TecDAX and SDAX indexes, along with up/down indicators for each index.

Order-related analytics cover rates of trade orders and cancellations, while trade-related analytics comprise of sliding volume weighted average price (VWAP), duration and buyer/seller relation analytics.

The analytics are calculated and disseminated at different intervals, ranging from real time to every 60 seconds.

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