Enhanced Broadcast Solution - Enhancements

Eurex's high-performance market information broadcast interface, the Enhanced Broadcast Solution, has been similarly well received by market participants.

With Eurex Release 13.0 changes are implemented that further enhance the dissemination of un-netted public market data.

Dynamic Reference Data Stream

To make non-tradable contracts (particularly those expiring intraday) easier to identify, provide easier access to user defined strategies and the removal of the necessity to decode all delta messages in order to receive product/contract status information, a Dynamic Reference Data stream has been introduced with Eurex Release 13.0.

Before the new release, the Enhanced Broadcast Solution reference data stream was static and therefore did not change during the course of a business day.

Additions to the Reference Data

With the introduction of Eurex Release 13.0, Open Interest, Contract Status, Price Step Table and Additional Price Information were added to the Reference Data.

• The Enhanced Broadcast Solution reference data was enhanced to include a contract's previous adjusted open interest and the unadjusted open interest e.g., the open interest at the end of the previous day.
• To harmonize the Product and Contract Status field, the 'Product Status Message' was replaced by a new 'Trading Status Message'. A change in the trading status of either an entire product or a single instrument now is conveyed in this message. The 'Static Reference Data' stream has been enhanced to include the 'Price Step Table' for a product.
• The reference data also was extended to include the settlement price (the instrument's settlement price at the close of the previous business day) and closing price (the instrument's closing price at the close of the previous business day).

Harmonization of Timestamps and Addition of a New Timestamp Field

In line with the harmonization of the timestamps for the Enhanced Transaction Solution, the timestamps for the Enhanced Broadcast Solution have been harmonized to microsecond granularity and enables the comparison of timestamps across Eurex's optional interfaces.

In addition, Eurex will provide an additional timestamp for trades: the time at which the order that triggered the respective trade arrived on the Eurex matching engine. This timestamp equals the 'Host-in' timestamp provided in the Enhanced Transaction Solution response to the order or quote that triggered the respective trade.

Number of Orders per Price Level & Trade Indicator Type for Auctions

With Eurex Release 13.0 members have an additional way to glean information on how many orders/quotes make up the bid or offer at a given level within the order book.

In response to customer requests, a new field, noofContributors has been added. This field shows the total number of orders and quotes that make up the available volume at the given price for outright (not implied) prices.

A new message field tradeIndicator indicates whether the trade in question is an auction trade.

Usage of the Gap Indicator

In Eurex Release 13.0, order book incremental messages now are tagged with the so-called gap indicator in every case in which order books have not been published.

The indicator in Enhanced Broadcast Solution order book incremental messages was set when the Enhanced Broadcast Solution sub-system were not able to publish an order book.

In addition, it was also possible that not every order book was published due to a core matching image processing more than one order at a time. In this case no gap indicator was sent for the next order book message.

This will change in Eurex Release 13.0 and in all cases where not every order book was published the gap indicator will flag this accordingly.