Deutsche Börse Adds Order/Trade Analytics
The data, which will be available from Deutsche Borse starting on Nov. 25, includes more than 40 order- and trade-related analytics that are calculated from aggregated and anonymized data for all 160 index constituents of the DAX, MDAX, TecDAX and SDAX indexes, along with up/down indicators for each index.
Order-related analytics cover rates of trade orders and cancellations, while trade-related analytics comprise of sliding volume weighted average price (VWAP), duration and buyer/seller relation analytics.
The analytics are calculated and disseminated at different intervals, ranging from real time to every 60 seconds.
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