Detailed market data of the highest quality is a key input needed when analyzing, developing and back-testing trading strategies. You can order Eurex historical data and analytics via Deutsche Börse's Data Shop as well as conduct detailed analysis using Eurex order book data through the platform A7 Analytics.
Order book and trade analytics provide valuable insight regarding market liquidity and trends. Our analytics are derived from full order book and trade data and help market participants to enhance their trading and risk management.
- Eurex Flow Insights
is the net traded flow (buy minus sell volume) aggregated daily and broken down into market participant groups (agent, market maker and proprietary traders). Available for both Eurex Equity & Index and Eurex Fixed Income packages. The flow analysis offers valuable insights into market sentiment.
- Eurex Open Interest Insights
complements the Eurex Flow Insights offering by adding additional transparency with measures around Open Interest. The product universe includes all liquid Eurex products (approx. 350 products), providing insights into the distribution of exposure in the futures and options markets.
- High Precision Timestamps (HPT)
are captured as soon as orders arrive at the outer boundary of the Exchange network and provide information on the flow of the orders and can be used to evaluate and optimise investment strategies, in particular for latency sensitive market participants.
- HHI Insights:
The Herfindahl-Hirschman-Index (HHI) is a commonly accepted measure of market concentration. Using Eurex proprietary data, HHI Insights provides unique insights into market concentration and relative demand inbalances.
- A7 Analytics Platform:
direct access to nanosecond precise order by order market data from Eurex in either t+1 or intraday packages, without the heavy lifting of needing to reconstruct the order book yourself. Access to tailored metrics based on full depth of order books, with a ready to use algo engine and API framework to pull down instant results. Used to maximise trading efficiencies, improving alpha generation and developing and backtesting algorithms.
- Eurex IOC Liquidity Indicator for Options:
provides insight into the liquidity of more than 70 Eurex options products. The proprietary indicator is based on order information not publicly available and supports algorithmic traders, banks, hedge funds and other market participants in determining liquidity and estimating the fair value of option contracts.
Historical data available
- Compressed Reference Data Files (RDF) in FIXML-layout. The initial reference data file generated at the start-of-day includes the "reference data snapshots" available from the previous day. During the actual trading, multiple incremental files are created as complex instruments are added.
Market data stream files
- Eurex EMDI provides complete trade data and price level aggregated order book information up to order book depth 15 from the Eurex Enhanced Market Data Interface (EMDI).
- Eurex EOBI provides complete trade data and order book information showing every visible order and quote for the most liquid Eurex Futures.