New analytic signals exceptional price and order book behaviour
Eschborn, 14-10-2015 — /EuropaWire/ — Deutsche Börse Market Data + Services is launching the new analytic ‘Risk Alerts’ on 23 November. The new product informs market participants in real-time about unusual price and order book behaviour of the most important Eurex futures.
Alerts are automatically triggered, when certain thresholds for changes in traded prices, bid-ask spreads and order book resilience are exceeded. Thresholds are calibrated on a daily basis so that messages are only generated when exceptional order book situations could occur.
“Risk Alerts are the newest addition to our range of real-time analytics products. Our alerts are based on the original order book and price data, which means that they are extremely fast. But clients don’t only benefit from the speed advantage, they can also reduce their own data management resources by using our data,” said Georg Gross, Head of Information, Market Data + Service, Deutsche Börse.
Risk Alerts are calculated for DAX Futures, EURO STOXX 50 Index Futures and Euro-Bund Futures. There are three alert types. The first one is triggered when the maximum price range is exceeded. The price range is the difference between the maximum and minimum price traded during the current second. The second alert type looks at the bid-ask spread and sends a message if the spread exceeds the maximum threshold. Finally, the alert type ‘order book resilience 20’ measures the contract volume required to change the best prices (bid or ask) by 20 ticks. An alert will be sent, when the number of contracts to be traded in order to move the price by 20 ticks is below the statistically
The information product Risk Alerts will be disseminated via the data feeds CEF Core and CEF ultra+ Eurex as well as via the Eurex infrastructure.
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