London Stock Exchange Bats/Chi-X

LONDON STOCK EXCHANGE

BATS/CHI-X ELECTRONIC PLATFORM

FRANKFURT EXCHANGE – XETRA

EURONEXT PARIS (AMF)

EUROFIDAI is a public academic institute funded by the CNRS

(French National Center for Scientific Research) INTRODUCTION

The present document provides a general description of the BEDOFIH HIGH FREQUENCY database. The database encompasses order, trade and market event reference files for the period 2010-15, for the following Exchanges: 1) London Stock Exchange (LSE), 2) BATS/Chi-X Europe (BATS), 3) Frankfurt Exchange (XETRA) and 4) Euronext Paris (AMF database). The data we provide are stored and structured in .csv formatted files by instrument and by day (per file). We wish to note that the BEDOFIH project can, also, provide re-build order book services under demand.

All files included in the BEDOFIH database are generated via the decryption and the pre-processing of the original source files provided by the authorities of each Exchange, using the BEDOFIH infrastructure and technical support services. In what follows we describe briefly the characteristics of the data that concern each Exchange.

LONDON STOCK EXCHANGE

The LSE is an organized market, based in the center of London, which operates daily a wide range of equity, derivative and bond trading sessions. The BEDOFIH LSE intraday database includes the entire trading and order message history for the LSE market, for the period 2010-15. In particular, the BEDOFIH database provides two basic files; a) the Order History source file and b) the Order Details source file, necessary to re-build the Order Book at the desired depth and frequency (LSE Rebuild Order Book Service).1 These files include all information about the changes in the queuing price limits during the trading day. Additionally, the BEDOFIH LSE database provides users with information about the trading activity (Transactions file) as well as the instruments traded on the LSE platform (Instrument Reference file). The data are accurate up to the millisecond.

The LSE automated trading schedule for active listed instruments is presented below:

1) Pre-trading

2) 07:50-08:00: Pre-opening session/opening call auction

3) 08:00-16:30: Regular trading (continuous session)

4) 16:30-16:35: Pre-closing session

5) 16:35-16:40: Closing price crossing session

Note that apart from the order driven system, operated under the trading schedule delineated above, the LSE provides, also, market making quotations (‘Mandatory quoting’). These quotations are included in the BEDOFIH LSE data set.

1 More information regarding the London Stock Exchange Rebuild Order Book Service can be found at the following link: http://www.londonstockexchange.com/products-and-services/reference-data/trade/trade-data.htm

BATS/CHI-X ELECTRONIC PLATFORM

The BATS Europe is a Recognized Investment Exchange (RIE), based in London, which combines two of the biggest European Multilateral Trading Facilities (MTF); the BATS and the Chi-X Europe. The BEDOFIH BATS intraday database includes the entire trading and order message history for the BATS/Chi-X market, for the period 2010-15. In particular, the BEDOFIH database provides three basic types of data; a) Add Order Messages, b) Order Cancel Messages and c) Executed Order Messages, necessary to re-build the Order Book at the desired depth and frequency.2 These messages are provided in a single source file and include all information about the changes in the queuing price limits on the order book. Additionally, the BEDOFIH BATS database provides users with information about each transaction that occurs during the day. The data are accurate up to the microsecond.

The BATS Chi-X automated trading schedule for active listed instruments is presented below:

1) 08:00: Official market opening (continuous session)

2) 16:30: Official market close (end of continuous trading session)

Notice that there is no official opening and closing period (auction); such sessions are valid only for the BATS Regulated Market (RM), which includes trading for Exchange Traded Funds and other securities. A total of 15 major European Markets are incorporated in the BATS MTF (that is, the BATS Markets), located in the following countries: UK, Austria, Belgium, Denmark, the Netherlands, Finland, France, German, Italy, Ireland, Norway, Portugal, Spain, Sweden and Switzerland. Moreover, BATS operates an Order Routing Facility that is available for all markets traded except the Irish and the Spanish; that is, a total of 13 markets.

Note that for the period 2010-12, before the merger of the two major MTFs (Bats and Chi-X) under the common BATS/Chi-X trading platform, the BEDOFIH database includes order and trading history only for the BATS Exchange.

FRANKFURT EXCHANGE – XETRA

The Frankfurt Exchange (Deutsche Börse) is the largest market in Europe in terms of trading activity and the corresponding data base is characterized by a big variety of disseminated information. The XETRA dataset involves four streams (files) of data, which are listed below:3

(a) Instrument reference stream

(b) Snapshot stream

2 More information regarding the BATS Chi-X trading platform and trading rules can be found at the BATS Chi-X website: www.batstrading.co.uk 3 More information regarding the XETRA trading platform and trading rules can be found at the XETRA website www.xetra.com

(d) All Trade Price Stream

Stream (a) is static during the day and involves instrument reference data as well as maintenance reference data. The second stream (b) provides users with complete order book snapshots at the start of the trading day and, in case of data loss, within the trading day. Thus, users can treat this information to retrieve the order book state in case of data loss. Stream (c) involves all messages that concern the evolution of the state of the order book within the trading day (e.g. changes in limits and depths). Users can utilize this information to update, continuously, the global picture of the order book; in case of data loss, users can consider (b). Finally, the fourth stream (d) includes information about every single trade that occurs in the market during the day. Streams (b), (c) and (d) are used for the order book re-build process. The data are accurate up to the microsecond.

The XETRA continuous trading schedule for active listed instruments is presented below:

1) 08:50 to 09:00 opening session

2) 09:00 to 13:00 continuous trading

3) 13:00 to 13:02 intraday auction

4) 13:02 to 17:30 continuous trading

5) 17:30 to 17:35 closing auction

Note that the abovementioned times are approximate; depending on the group of instruments (DAX, MDAX, STOXX, etc.).

EURONEXT PARIS

The BEDOFIH Paris Euronext data set encompasses orders, trades and market event reference data for the period 2011-13, retrieved from the AMF (Autorité des Marchés Financiers) database. Modern financial markets operate electronically via automated trading mechanisms. To this extent, the frequency at which orders are submitted, modified or canceled in the marketplace has drastically increased in the last decade. One feature of the present data set is that it includes timestamps up to the microsecond, thus providing accurate information about the trading process in the Paris market.

The database includes three main source files of data:

- Order data (Order data file); - Trades data (Trades data file); - Market event data, known as reference data (Reference data file).

Note that apart from the order driven system, the Paris market operates, additionally, a Liquidity Providing (LP) quoted system. In this respect, market quote data are also available in the BEDOFIH database.

The Paris order driven system has the following trading schedule:

1) 07:15–09:00 Preopening phase – Order accumulation period 2) 09:00 The Opening auction 3) 09:00–17:30 Main trading session: Continuous session 4) 17:30–17:35 Pre–closing phase – Order accumulation period 5) 17:35 The Closing auction 6) 17:35–17:40 Trading at the last phase (at the close) 7) 17:40–07:15 After-hours trading

An interesting characteristic concerning the AMF data is that traders are classified in three categories: HFT, MIXED and NON HFT. These labels stand for High Frequency Trader, Non High Frequency Trader and MIXED (i.e., both HFT and NON HFT) trader, respectively. According to the AMF, a trader is clustering in one of the three categories by comparing the median life duration of orders modified or canceled by the trader with the median life duration of all market orders modified or canceled (i.e., total market modifications or cancellations). Once a trader is classified it is immutable; that is, his/her future orders and trades carry the same flag. It is important to note that the HFT flag is not included in the primary BEDOFIH database; this information, however, can be provided by BEDOFIH on demand.

SUMMARY

The Table below summarizes the main features of the BEDOFIH HIGH FREQUENCY DATABASE:

BEDOFIH HIGH FREQUENCY DATABASE

Number of Data Period Market Type of data Data structure instruments accuracy (years)

orders, trades, .csv files LSE 15602 millisecond market event 2010-15 by instrument reference data by day

orders, trades, .csv files BATS/CHI-X 4261/4497 microsecond market event 2010-15** by instrument reference data by day

orders, trades, .csv files XETRA 20500 microsecond market event 2010-15 by instrument reference data by day

orders, trades, .csv files EURONEXT PARIS 2609 microsecond market event 2010-15 by instrument (AMF) reference data* by day * The AMF data-set can include, on demand, a unique HFT flag for orders and trades.

** For the period 2010-12, before the merger of BATS and Chi-X under a common trading platform, the BEDOFIH database includes data only for BATS.