Data driven strategies from behind the exchange

Anya van den Berg, VP of data and analytics for Europe at Deutsche Börse, outlines the importance of data driven strategies in the wake of volatility and remote working conditions caused by the pandemic.

Anya van den Berg, VP of data and analytics for Europe at Deutsche Börse

The TRADE: Anya, can you start by providing us with a bit of information on what your department does at Deutsche Börse and why your data and analytics offerings are of value to market participants?

Anya van den Berg: The data and analytics department sits in a very fortuitous position within Deutsche Börse. We work collaboratively with all the many underlying DBG exchanges and divisions across the whole group to obtain meaningful proprietary datasets. This includes collaborations with Clearstream, 360T, Xetra, EEX and Eurex to derive unique analytics offerings that in turn help optimise our clients’ trading strategies.

Despite the department and products being relatively new, we have seen an encouraging rate of client adoption over the past few years, and this has been attributed to the value of the data that comes out of our exchange networks.

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TT: Has there been a shift in the client adoption of data over the past year?

AB: Given the need for increased market transparency especially over the pandemic, we have seen a great deal of interest and adoption of all our unique data offerings, both the daily files for market sentiment and insights as well as our deep historical datasets that span back 20 years.

Many clients are ramping up their algo strategies, moving to machine learning (ML) and artificial intelligence (AI) technologies to better pivot off the pandemic fallout. Our deep histories have helped produce meaningful signals in these strategies and our APIs allow firms to integrate easily, be it via cloud or on-premise infrastructures.

TT: Which analytics offerings are of most interest?

AB: Our most popular datasets include our ‘Flow Insights’ offering that provides the net traded flow (buy minus sell volume) aggregated daily per instrument and broken down by market participant groups for Eurex, Xetra and FX Flows (360T). This allows clients to evaluate market positioning by participant group and identify market trends.

We also recently launched our interactive order book cloud platform called ‘A7 Analytics’ which allows clients to replay the order book down to the nanosecond and quickly grasp market situations, drill down into the market microstructure and adapt their own trading strategies accordingly. The platform was recently enhanced from t+1 to intraday order book data for Eurex, Xetra and EEX exchanges.

TT: Do you plan to launch any new offerings in the coming months ahead?

AB: The development roadmap is extremely packed going into Q4, with enhancements to existing products as well as new product launches. We obtain detailed client feedback from both buy-side and sell-side participants to be able to respond to the market and update our offerings on the fly. A great example of this is the addition of ‘Open Interest’ to our ‘Eurex Flow Insights’ offering that will be released in Q4. We will also shortly launch our new product offering known as ‘HHI’ that will provide unique insights into market concentration and the relative demand imbalance and will help market participants assess the quality of available liquidity and identify concentration risk.

TT: What new technologies and datasets are your clients excited about or adopting in the future?

AB: It is abundantly clear from speaking with our clients that the pandemic has instilled the need for many financial institutions to build an agile trading environment that can pivot quickly in volatile times. Machine learning has allowed many firms to run trading strategies with minimal human interaction, deriving meaningful signals from historical data and predicting future behaviours on the fly. The volatile market conditions of the pandemic have intensified this need further and many firms that were not considering these types of strategies at the start of 2020 have since done a 180 and implemented them at pace in this past year.

Cloud technology has been instrumental in aiding the launch and scalability of these strategies in record time, allowing data scientists to have high processing power at their fingertips. This coupled with large data storage capacities have better equipped fast data processing, back-testing and signal generation processes to run ML strategies capably.

Environmental, social and corporate governance (ESG) data is also on everyone’s agenda, not only to ensure sustainable investing is managed effectively but also to monitor the underlying client’s ESG score themselves. Many firms are hiring chief diversity officers, putting plans in place to improve their gender pay gap and adding initiatives and policies to encourage inclusivity alongside striving to become carbon neutral and ‘giving back’ to charities. 

Lastly, the cryptocurrency market has had some major peaks and troughs this year, but given the market topped $2 trillion in August 2021 for the first time since May, the industry looks to be on the rise yet again. Deutsche Börse recently acquired Crypto Finance AG, further evidencing the value of the market in years to come.

If you would like further information on any of our unique datasets, please reach out to