Deutsche Börse Market Data + Services has introduced real-time analytics for the most liquid futures contracts traded on Eurex.
Eurex Real-time Analytics provides market participants with in-depth trade and order information based on the full Eurex order book for the first time.
“Market participants require more sophisticated information in order to make better trading and risk management decisions. Eurex Real-time Analytics provides investors and analysts with greater insight to help them evaluate market activity and trends,” says Georg Gross, head of information, Market Data + Services, Deutsche Börse.
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.
Examples of order-related analytics are the quantity of arrived orders over the last 30 seconds at instrument level.
Examples of trade-related analytics include volume weighted average price (VWAP) of buy and sell-triggered trades and order flow analytics including volatility of arrived buy/sell order quantities over the previous 300 seconds.
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 anonymised.