Analytical products
Aggregated Netflow analytics
The product contains netflow (difference between buy and sell volume) for each of the following groups:
- clients with a high number of orders
- clients with a high trading volume and a low number of orders
- the others
Netflow is calculated on daily basis for the following instruments:
- Equity Market
- SBER (Sberbank common stock)
- GAZP (Gazprom common stock)
- Currency Market
- USDRUB (Aggregated information on USDRUB_TOD and USDRUB_TOM)
- Futures
- Si (Futures on USDRUB)
- RI (Futures on RTS Index)
Netflow is not provided if there are less than 20 clients in the group.
5000 (five thousands) USD per month* – in accordance with cost of information services regarding provision of the Analytical Newsletter
*excluding VAT
The product is distributed on the daily basis (at trading days) at 18:30-18:40 MSK.
Distribution via email
File format – csv
Sample - netflow1_sample.csv
Aggregated Netflow analytics
The product contains aggregated data on the end-of-day netflow (difference between buy and sell volume) of:
- top 30
- top 70
- top 100
clients per day (by absolute end-of-day netflow)
The product includes the following instruments of the MOEX Equity Market:
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5000 (five thousands) USD per month* – in accordance with cost of information services regarding provision of the Analytical Newsletter
*excluding VAT
The product is distributed on the daily basis (at trading days) at 18:30-18:35 MSK.
Data formats: csv, xml, json
Sample – netflow2_sample.csv
TimeStamps
The product is designed to provide HFT clients with data on order timestamps measured at different points of exchange infrastructure (co-location, trading engine).
Customer gets additional data on all orders received from the colocation zone:
- timestamp at the entrance to the colocation zone in nanoseconds
- Gateway IP address through which the order passed
- Rejected orders by trading system
The product is anonymous and identical for all customers. Available for the FX and Stock markets.
$ 2500 monthly subscription fee for FIFO MFIX Trade users in 2020 for FX or Stock market
The product is distributed on the daily basis at 8:00 A.M. MSK with the data for the previous trading day.
Distribution via ftp
File format – csv
Sample – timeStamps.csv.7z
Specification (pdf)
The product allows you to get statistics on open interest in the most liquid futures contracts: BR, Si, RI, GD, etc. held by individuals and legal entities. Data is provided at five-minute intervals throughout the day.
The materials and information provided in this section are a demo version of all or some sections of the "Futures. Open interest intraday" analytical product, which will be developed based on the results of testing.
During the test period, proposals for the composition, content, and other characteristics of the product are welcome. Please send your comments and proposals to dataproducts@moex.com.
To get access to the product, you need to:
- Register at our web site
- Subscribe
After subscribing, you can view and download the data
Free-of-charge demo access is currently available
Sample data for single trading session download