1. Introduction
As announced in the Eurex Release Notes for T7 Release 11.0 and Eurex Circular 093/22, the activation of the Herfindahl-Hirschman Index (“HHI”) indicator via T7 EOBI will take place after the release introduction on the following dates:
- Simulation: Already activated. Available for products FESX, FDAX, FDX, FESB, FGBL, FGBM, FGBX, FGBX, FOAT, FBTP
- Production: 12 December 2022 (for product FGBS), 23 January and 30 January 2023
Learn now more about T7 Release 11.0 on our dedicated initiative page on the Eurex website www.eurex.com under the following link: Support > Initiatives & Releases > T7 Release 11.0. System documentation, circulars, timeline and much more information is available there for you.
2. Required action
Trading Participants subscribing to the EOBI market data feed need to adjust their EOBI logic to be able to consume the HHI related fields. The intervals for the HHI indicator will be distributed via the reference data interfaces.
It is highly recommended that Participants download the free test dataset available in Deutsche Börse’s Data Shop to get an impression of the behavior and statistical properties of the HHI.
3. Details of the initiative
The Herfindahl-Hirschman Index (“HHI”) is an indicator for the distribution of the market share among Participants contributing to the corresponding order book price level. Knowledge of the HHI allows to better assess the quality of the resting liquidity in the orderbook per price level. Off-book trades are not considered for the calculation.
With T7 Release 11.0, Eurex will publish an indication of the HHI as part of the existing EOBI market data feed. The HHI is defined as the sum of the squared market shares of a participant (respectively business unit), thus giving more weight to orders of bigger size. In order not to reveal sensitive information about any trading strategies, Eurex will publish the HHI indicator on an ordinal scale (HHI intervals).
A. Product scope
Until further notice, the activation is limited to selected liquid futures products:
- Equity Index Futures: FESX, FXXP, FESB, FDAX, FDXM
- Fixed Income Futures: FGBS, FGBM, FGBL, FGBX, FOAT, FBTS, FBTP
B. Introduction timeline
Product/s | | HHI activation date |
FGBS | | 12 December 2022 |
Remaining Fixed Income Futures in scope | | 23 January 2023 |
Equity Index Futures in scope | | 30 January 2023 |
C. Interval limits
The upper interval limits for the ordinal HHI scale (HHI intervals) will be set up initially as follows:
Upper interval end | | HHI indicator |
20 percent | | 0 |
40 percent | | 1 |
60 percent | | 2 |
80 percent | | 3 |
100 percent | | 4 |
These parameters are applicable for all products for which the HHI will be activated. The HHI intervals are disseminated via the T7 RDI/RDF reference data interface.
In case of a change of these parameters, Trading Participants will be informed in a separate Eurex Circular.
D. Test dataset
Eurex will provide a synthetic test dataset for Participants to be able to prepare their algorithms based on the new information. The dataset is available via the following link:
https://a7-dataplatform.deutsche-boerse.com/download/7963cc52-1421-4d1d-a955-0d1516ddb6c5
Please note: The data is available until 25 November 2022. The dataset covers the first quarter of 2022 and all products mentioned in the product scope.
E. Additional information
In the second week of November, Eurex will publish a white paper on the implementation of the Herfindahl-Hirschman Index at Eurex on its website www.eurex.com. The white paper provides more background on the Index, describes the data structure of the test set as well as Market Microstructure observations of the HHI data.
Further information
Recipients: | | All Trading Participants of Eurex Deutschland and Vendors |
Target groups: | | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination |
Related circular: | | Eurex Circular 093/22 |
Contact: | | client.services@eurex.com |
Web: | | Support > Initiatives & Releases > T7 Release 11.0 |
Authorized by: | | Jonas Ullmann |