Algorithmic Trading

Deutsche Börse unveils new data for algo traders

The market data and analytics division of German exchange group Deutsche Börse has released two new data products designed to help clients optimise algorithmic trading strategies.

EnBSol Historical Data Eurex and EnBSol Historical Data Xetra provide historical order book information from the exchange’s Eurex derivatives and Xetra cash equities trading platforms to market participants.

The data comprises complete order book information, with 20 levels of order book depth, delivered via the Enhanced Broadcast Solution (EnBSol), the exchange group’s high-performance market information broadcast interface. All trades and quotes are marked with original time stamps in milliseconds. Using the EnBSol interface will make the integration of the historical data into trading models particularly easy, according to the exchange group.

“The EnBSol Historical Data products are tailored to the needs of algorithmic traders. Comprehensive market data of the highest quality is a key input needed for the development and optimisation of automated trading strategies”, said Georg Gross, head of front-office data and analytics at Deutsche Börse.

The historical data is available for the period starting 1 January 2010 and can be subscribed to on a monthly or calendar year basis.