Key features for our clients
- The Xetra Auction Simulator allows the backtesting of strategies executed in auctions
- The tool, which is part of the Xetra intraday package, lets the market participants evaluate the scaling potential of strategies
- The Auction Simulator simulates opening, intraday, and closing auction outcome involving synthetic orders, based on the pre-uncross (dark) level 3 order books
- Simulation of market or limit orders and of different order submission times
Data methodology and details
- Placement of simulation order with specified side, price (or market), quantity, and priority (time of order placement)
- Return of unperturbed and perturbed auction results including the filled quantity of the simulation order
- Uncrossing logic including edge cases of T7 is accurately reproduced
- API retrieves list of available dates, instruments for a given date, auctions for a given instrument and date as well as historical auction results
- Simulation via GUI or API
- Note: Volatility extensions are not modelled
Product packages and data universe
- DAX/MDAX/SDAX constituents.
- All scheduled auctions (opening, intraday, closing)
- History from July 2017
- T+1 (DAX), T+3 (MDAX), T+5 (SDAX)
- Simulation of market or limit orders
- Simulation of different order submission times
Access
- The Xetra Auction Simulator is available within the A7 Analytics Platform and included in the Xetra Intraday Package
- > Trial access upon request
If you are interested in more information, please contact analytics@deutsche-boerse.com.
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