Euronext FX Adds Data Product
Posted by Colin Lambert. Last updated: January 24, 2023
Euronext has released a new market data product, Euronext FX Market Flow, which provides data from the firm’s ECNs worldwide on a daily basis to help reflect market trends.
Euronext says the metrics are designed to be used by quant funds to assist in the implementation of overnight trading strategies. It has been developed together with the Euronext quant research team based on their experience in developing equities market behavioural and market trend data products.
The computation process works across 108 currency pairs using data back to January 2016. It further analyses across five market participant types – brokers, buy side, prop trading firms as well as tier one and two banks. Euronext says that 180 metrics are computed per pair, by the hour or the day.
The new data product joins the existing midpoint and transactions stream data service (with a 500ms delay); the ECN top of book, best bid and offer; the ECN “all world view”, which is all bids and offers with aggregated volumes at each level (delivered at end-of-day); and ECN level 2 data, the top five level of bids and offers with aggregated volumes at each level.