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.

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:

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.