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 determined threshold.
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.
About Deutsche Börse – Market Data + Services
Deutsche Börse is one of the world’s leading data and technology service providers for the securities industry with a product and service offering for issuers, investors, intermediaries and data vendors. The Group covers the entire value chain from trading, through clearing, to settlement and securities custody. Deutsche Börse Market Data + Services encompasses the Group’s extensive market data offering and external technology and connectivity services. The product and service range includes real-time and historical data from the Group's trading venues Eurex and Xetra as well as from cooperation partners. It also includes exclusive trading signals independent of its platforms such as economic indicators or macroeconomic news, reference data for more than 1,000,000 securities, approximately 10,825 indices including the STOXX and DAX index families, superior capital market infrastructure, and reliable connectivity services.