In addition to the average spreads of the best bid and offer prices, the availability of these prices
is also shown. The calculation takes into account both market maker offers and normal client orders.
It also shows what was offered at the innermost level of the order book for an average volume (quantity and value).
Below you can find the complete history of Market Quality Metrics (MQM) data for exchange traded products.
Files are provided in CSV format (comma-separated-values) for every trading day along with ZIP archives
on a monthly basis.
show more
The definition of the attributes is as follows - in each case
only the first level of the order book (inside market) is considered:
Time weighted average spread
The spread for given security for a specific time, Ti, is defined as
where APTi is the best (lowest) ask price at this time and
BPTi is the best (highest) bid price. All double-sided
quotes/orders generated by the market maker or participants are used
to calculate the spread value.
Then the time weighted average spread is:
where LengthTi is the length of time this spread is present
in the order book. The spread value is denominated in %.
Spread availability ratio
The percentage of the time where a spread exists during continuous
trading of the product:
Average buy/sell volume
The time averaged buy/sell volume during continuous trading:
Average buy/sell value
The time averaged buy/sell value during continuous trading:
Note: all quotes and orders on the first level of the order book
are taken into account. A quote is an offer from a market maker.
Therefore the average buy/sell value & volume is usually the
quoted offer of the market maker on top level of the order book
but might be in some cases (or for a short time) also be a
standard order.
hide
