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:
|
|
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 analytics
The product is designed to provide HFT clients with data on order timestamps measured at different points of exchange infrastructure (co-location, trading engine) for specific cases the client participated in.
Case is determined automatically and begins with a trade for which there is at least one transaction in the 250 mcs range before or after it. If such a trade with transactions occurs, subsequent transactions in the 750 mcs interval are included in this case.
Currently, the product is available for the FX Market.
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 11:00 A.M. MSK with the data for the previous trading day.
Distribution via email
File format – csv
Sample – timeStamps.csv
Specification (pdf)