Eurex T7 EOBI

February 13th, 2019, 11:48 AM

Anybody has any experience with Eurex T7 Enhanced Order Book Interface?

February 13th, 2019, 11:54 AM

rdaytrader

Anybody has any experience with Eurex T7 Enhanced Order Book Interface?

Yes, what about?

February 14th, 2019, 03:51 AM

Have you seen it/worked with it?

Is it accesible somewhere?

February 14th, 2019, 06:42 AM

rdaytrader

Have you seen it/worked with it?

Is it accesible somewhere?

For historical, Eurex does a better job than almost every other exchange that I know of, so you can buy it from them.

For realtime, it's a multicast feed and you need to be in their colo environment to access it, which generally forces you to register as a 'high-frequency' participant under BaFin's regulations before you can get the data.

I have it. There's nothing too special about it. This is what 1 market depth update looks like on EOBI if you want to know:

Code

PacketHeader:
   MessageHeaderComp:
      BodyLen(9) = 32
      TemplateID(28500) = 13000
      MsgSeqNum(34) = noValue
   ApplSeqNum(1181) = 407244
   MarketSegmentID(1300) = 689
   PartitionID(5948) = 4
   CompletionIndicator(6228) = Complete(1)
   ApplSeqResetIndicator(28841) = NoReset(0)
   Pad5(25020) =
   TransactTime(60) = 2013-12-06 13:25:00.000236465 (1386336300000236465L)

OrderDelete:
   MessageHeaderComp:
      BodyLen(9) = 48
      TemplateID(28500) = 13102
      MsgSeqNum(34) = 437177
   TrdRegTSTimeIn(21002) = 2013-12-06 13:25:00.000108313 (1386336300000108313L)
   SecurityID(48) = 454609
   OrderDetailsComp:
      TrdRegTSTimePriority(21008) = 2013-12-06 13:24:50.428084911 (1386336290428084911L)
      DisplayQty(1138) = 10
      Side(54) = Buy(1)
      Pad3(25018) = noValue
      Price(44) = 124.91 (12491000000L)

I also have their other 3 data feeds. Here's the exact same event on their other low latency data feed which shows depth change by price level:

Code

  uint8 TemplateID = EMDI:EMDPacketHeader[112]
 uInt32 PartitionID[5948] = 4
 uInt32 SenderCompID[49] = 56
byteVec PacketSeqNum = 388892
byteVec SendingTime = 1386336300000248340 / 2013-12-06T13:25:00.000248340
byteVec PerformanceIndicator = 140027

  uint8 TemplateID = EMDI:DepthIncremental[94]
 string MsgType[35] = X
 uInt32 MsgSeqNum[34] = 386180
 uInt32 SenderCompID[49] = 56
 uInt32 MarketSegmentID[1300] = 689
    seq MDIncGrp
    len NoMDEntries[268] = 1
   uInt32 MDUpdateAction[279] = 1
   uInt32 MDEntryType[269] = 0
    int64 SecurityID[48] = 454609
   string SecurityIDSource[22] = M
  decimal MDEntryPx[270] = 124.91
   uInt32 MDEntrySize[271] = 585
   uInt32 NumberOfOrders[346] = 61
   uInt32 MDPriceLevel[1023] = 1
    int64 MDEntryTime[273] = 1386336300000126238 / 2013-12-06T13:25:00.000126238
    end MDIncGrp

February 14th, 2019, 08:21 AM

That's very interesting, thanks for posting.

I was more interested in viewing the whole orderbook. As I read that this is possible. I also read that stops aren't visible but OCO orders are. Could you confirm this? (even nicer would be if you could post a screenshot or something of these things)

As it must be expensive, I'll not purchase access to this. As I see it, the only advantages for discretionary trading are the two above mentioned features.

Since you have access to this, are you working for or related to a trading firm or something?

February 14th, 2019, 01:41 PM

rdaytrader

That's very interesting, thanks for posting.

I was more interested in viewing the whole orderbook. As I read that this is possible. I also read that stops aren't visible but OCO orders are. Could you confirm this? (even nicer would be if you could post a screenshot or something of these things)

As it must be expensive, I'll not purchase access to this. As I see it, the only advantages for discretionary trading are the two above mentioned features.

Since you have access to this, are you working for or related to a trading firm or something?

Yes you can view the whole order book. I don't use any fanciful charting software so I don't know if there's anything particularly meaningful I can plot for you to see? An OCO behaves the same as a limit that is converted to a stop, an enterprising user can certainly make good estimates about whether an order is affiliated with an OCO, but it is not explicit in the market data. There's no "OCO" message template if you understand what I mean

Quoting

Since you have access to this, are you working for or related to a trading firm or something?

Yes.

February 14th, 2019, 04:53 PM

Very interesting. Stop market orders aren't visible, but OCO limit orders are. So you could interpret the OCO orders as stop orders. this is quite useful information. I guess the algos make use of this. Thanks for the info. The retail trader has to guess these locations unfortunately.

February 14th, 2019, 06:57 PM

rdaytrader

Very interesting. Stop market orders aren't visible, but OCO limit orders are. So you could interpret the OCO orders as stop orders. this is quite useful information. I guess the algos make use of this. Thanks for the info. The retail trader has to guess these locations unfortunately.

Not 100% sure if my post conveyed in its entirety but no problem.

Eurex T7 EOBI

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Eurex T7 EOBI