Key product characteristics
HHI Dynamics marks a significant upgrade to the previous HHI Insights, having been rebuilt to provide greater analytical depth and broader data coverage. The most significant upgrades are:
- Massively Expanded Coverage: The product now includes full Xetra coverage of over 3,000 instruments and all traded products on Eurex, moving far beyond the previous, more limited scope.
- Unmatched Granularity: HHI Dynamics introduces over 50 new proprietary metrics with a data structure that mirrors the advanced granularity of the Xetra Flows and Eurex Dynamics Suite.
- Exclusive New Insights: For the first time, the product incorporates TES (off-book) trading data for a more complete market view and introduces option instrument-level HHI reporting on Eurex, adding a critical new layer of analysis.
HHI Dynamics in a nutshell
- Provides a commonly accepted measure of market concentration.
- Helps participants assess the quality of available liquidity and identify concentration risk.
- Delivers daily T+1 data for timely access to market participant flows.
- Available for both Eurex and Xetra markets as separate data packages.
- Includes historical data for back-testing, spanning back to July 2017 for Xetra and January 2002 for Eurex.
Use cases
- Assess the quality of liquidity and identify concentration risk across more than 3,000 instruments.
- Generate proprietary metrics and gain additional insights for Macro or Quant-based strategies.
- Create meaningful content for Sellside Research reports on market structure.
- Gain transparency and unique insights into participant flows and market activity.
Data Details
- The index is expressed as a value ranging from 0 (low concentration) to 1 (high concentration).
- Data is aggregated into Agent, MM, Prop and Aggressive, Passive, Auction, and Off-Book distinctions.
- Granularity is mirrored from Xetra Flows V2 and Eurex Dynamics Suite, offering over 50 proprietary metrics.
- The product provides full Xetra coverage of over 3,000 instruments and all traded products on Eurex (except FCUR and OCUR).
- Includes new TES (off-book) trading insights for Eurex.
Access
- The HHI Dynamics data packages are available via the Deutsche Börse Marketplace.
- Subscribers receive the dataset on a daily (T+1) basis.
- Free trials are available on request via the Marketplace.
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