F.A.Q.

Last modification: September 17, 2019

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DAILY MARKET DATA

BEDOFIH HIGH FREQUENCY DATA

Data information

DAILY MARKET DATA

BEDOFIH HIGH FREQUENCY DATA

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General information

DAILY MARKET DATA

First you have to fill out the contact form, indicating your contact information, your institution and the data you are interested in getting an access to. EUROFIDAI staff will then send you the access conditions. Contribution fees are required to get access to the data, the amount is defined depending on the number of databases and the number of years subscribed.
Also, EUROFIDAI offers researchers technical assistance, in order to shorten the time required for these steps. Experienced with the content and functioning of our own databases, we can provide an ad hoc service, tailored to specific needs. 

A trial account for a limited duration and with a limited access to the databases can be set up on demand, just fill the trial account request form and we will send you a login and password. With a trial account, you can consult the extraction results but the download is not permitted.

It is not possible to change the password in the website. Also it is not possible to choose your own password. In order to generate an over password please follow the “I forgot my password” process by clicking to the link below : https://www.eurofidai.org/en/user/password

Not all of EUROFIDAI's data is readily accessible via the internet. If you are looking for specific data, do not hesitate to contact us: Daily stocks and EUROFIDAI benchmark indices for the Asia/Pacific/Middle-East area, Subscription rights, Interest rates, Forward exchange rates, Securities listed in other countries (e.g. European securities listed in the USA), Valuation of mutual funds by all European suppliers, Warrants, And more

In order to shorten the time required for research, EUROFIDAI offers researchers technical assistance and ad hoc service, tailored to specific needs.

BEDOFIH HIGH FREQUENCY DATA

EUROFIDAI (European Financial Data Institute) is a public academic research Institute funded by the CNRS (French National Center for Scientific Research), located in the city of Grenoble in France. BEDOFIH is the name of the High Frequency Financial Database project developed by EUROFIDAI and funded by the French government under the frame of the «Excellence facilities» (Equipex) program.

BEDOFIH collects high-frequency data (order/trade messages and market reference data) from the major European Exchanges. The main suppliers for BEDOFIH are the London Stock Exchange (LSE), the Deutsche Börse (XETRA), the pan-European securities exchange Bats Europe (formerly BATS Chi-X Europe) and Euronext Paris via the Autorité des Marchés Financiers (AMF).
Because the database is regularly updated, for further information regarding the period covered for each market please check the High frequency data section.

To get access to a data sample or to ask questions regarding the BEDOFIH database, please contact us by completing the contact form available on our website.

The BEDOFIH database does not provide limit order book files to users.

The BEDOFIH database does not include order or trade messages with such information.

The BEDOFIH data are provided in .csv files that are structured by day and by security.

The data are available directly in the user’s browser (WEBDAV) or from a web browser.

BEDOFIH can provide researchers with a sample for each market. To ask for a sample use the form available on our website.

The BEDOFIH database includes a detailed documentation that describes each variable, together with message examples.

The BEDOFIH database can be used only for academic research purposes. The fees charged by BEDOFIH to individual research users is to cover the costs for the access services (i.e., maintenance and update of the BEDOFIH infrastructure as well the BEDOFIH datasets). The minimum order size is 1 year of data per market wanted (January to December). All instruments listed on the chosen market are included. For more questions on the fees please contact the BEDOFIH team.

BEDOFIH offers a unique European High Frequency financial database, incorporating the major European financial markets. The database includes information about orders, trades, and events. The data files are carefully extracted from the historical record of the Exchange and subsequently decrypted and processed to a friendly user format (by day and by security in .csv files). 
Researchers can use the data to rebuild the order book at the desired frequency and market depth. Note also that the BEDOFIH database includes several variables of particular research interest; for example, the BEDOFIH AMF Euronext Paris database includes a unique flag for each message that characterizes the trader in terms of using High Frequency algorithms.

Technical information

  • How does one extract data?
    • For stocks, mutual funds, other indices, EUROFIDAI benchmark indices and exchange rates: you must first obtain the EUROFIDAI code associated with the wanted instrument (from the “Codes research” tab). You then use the EUROFIDAI code to extract data (from the “Data extraction” tab). Please consult the user guide for each databases to proceed.
    • For corporate events, data extraction is done from the issuer code or from the instrument code (ISIN, VALOREN, or EUROFIDAI). Therefore, you must first obtain one of these codes from the “Codes research” tab and then proceed to the extraction.
       
  • What is a EUROFIDAI code?

A EUROFIDAI code is a unique identifier associated with an instrument and a trading place that enables following the instrument during its trading history. The EUROFIDAI code is built according to a homogeneous structure for all instruments. 
On the one hand, a EUROFIDAI code tracks the whole transaction history of the security, regardless of whether the security has experienced a delisting, reorganization or change of ISIN code, etc. On the other hand, it provides information on the security’s trading places, not only the principal trading place, but the secondary trading places as well. 

THE CONSTRUCTION OF EUROFIDAI CODE 

Whatever the instrument, the EUROFIDAI code is made up of fifteen numeric digits, the first number characterizes the instrument type (1 for stocks, 2 for mutual funds, 3 for other indices and EUROFIDAI indices and 5 for exchange rates). The last five numbers correspond to the stock exchange, the data provider, the country or the geographical area depending on the instrument type. 
For stocks, other indices, EUROFIDAI indices and mutual funds, the structure of the EUROFIDAI code is identical. More precisely, the first three numbers of the code correspond to the instrument nature: 110 for a stock, 120 for a subscription right, 200 for a mutual fund, 300 for a traditional index, 301 for an equally-weighted EUROFIDAI index (general or sector), 302 for a value-weighted EUROFIDAI index (general or sector), 311 for the size factor, 312 for the book-to-market factor, 313 for the momentum factor, 321 for the smallcap portfolio, 322 for the midcap portfolio, 323 for the bigcap portfolio, 331 for the Value portfolio, 332 for the Neutral portfolio, 333 for the Growth portfolio, 334 for the negative book-to-market portfolio, 341 for the low momentum portfolio, 342 for the medium momentum portfolio and 343 for the high momentum portfolio.

GENERAL STRUCTURE OF EUROFIDAI CODE
The last five numbers of the EUROFIDAI code correspond: for stocks to the stock exchange, for traditional indices to the stock exchange or the provider, for EUROFIDAI indices to the country or the geographical area and for mutual funds to the stock exchange, the provider or the currency in which the net asset value is expressed. 
For stocks, mutual funds and traditional indices, the seven intermediate numbers of the EUROFIDAI code correspond to a unique identifier. For EUROFIDAI indices, these seven numbers are “0000000”, except for sector indices where they represent the associated sector. 
For exchange rates, the structure of the EUROFIDAI code is as follows: the first number is 5000, the next six digits represent the codes of base currency and counter currency and finally, the last five ones correspond to the exchange rate provider.

 

On the “Codes Research” tab, enter your codes list by clicking on the “List of ISIN Codes (submit a file)" button, then click on the “Search” button.

For code research or data extraction, the results file is downloaded in .csv format. However, when you open the results file in Excel, it makes assumptions about the data type based on the cell content: the default number format that Excel applies for large numbers is the scientific format. The EUROFIDAI code is a fifteen digit number. The scientific format can cause damage: the EUROFIDAI code is rounded and will become inconsistent and unusable for the purposes of data extraction. The scientific format displays a number in exponential notation. For example, a 4-decimal scientific format displays 500081433320251 as 5,0008E+14, which is 5,0008 times 10 to the 14th power. 
In general, there is not an easy way to control the format Excel applies when opening a .csv file. When applying corrections to the results file you may damage the EUROFIDAI code. If you want to make corrections, you must format this code (in the Excel “number” format expressed as a whole number without decimal places). 
However, every time you save and close the file, Excel applies the scientific format. Therefore, remember to correct the format code whenever you modify and close the file. It is very important to respect this point. 
This formatting operation has to be applied to all variables containing EUROFIDAI codes. The results file can have several variables containing EUROFIDAI codes. In particular, you may be confronted with this problem for stocks (permanent code for the principal trading line) and for spot exchange rates (the EUROFIDAI code of initial exchange rate and the inverted exchange rate). 
This kind of problem will not occur if you open the results file in text editor (for example in Notepad, Notepad++ or Wordpad) or in another spreadsheet such as Calc (for LibreOffice or OpenOffice).

There is no limit in the file size to search a EUROFIDAI code or extract data.

The results file is a text file (more precisely, in “.csv” format). As this file is in “.csv” format, you can open it in Excel. This remark applies to all EUROFIDAI databases, except for corporate events where a detailed extraction will be in “.txt” format. 

Data information

You can find this list in the presentation page of the database under consideration. You just have to click on the link “Data overview: Download”. It gives you an overview of the database content. This file includes the list of all available instruments in our database, and specific information associated with them (name, source or stock exchange, the number of available observations and the availability period). 

Selection of stocks depending on the stock exchange and/or sector.

To get this instrument list, you must select the stock exchange and/or sector in the “Codes research” tab of the European stocks database. 

Selection of other indices depending on provider.

To get this instrument list, you must select the provider in the “Codes research” tab of the other indices database. 

Selection of mutual funds negotiated on the over-the-counter market depending on issuer domicile and/or investment type.

To get this instrument list, you must select the issuer domicile and/or the investment type in the “Codes research” tab of the database of mutual funds negotiated on the over the counter market. 

Selection of mutual funds quoted on official markets depending on stock exchange and/or issuer domicile and/or investment type.

To get this instrument list, you must select the stock exchange and/or the issuer domicile in the “Codes Research” tab of the database of mutual funds quoted on official markets. 

Selection of exchange rates depending on base currency and/or counter currency and/or provider.

To get this instrument list, you must select the base currency and/or the counter currency in the “Codes research” tab of the exchange rates database.

Selection of corporate events depending on issuer domicile and/or corporate events type.

To get this instrument list, you must select the issuer domicile and/or the corporate events type in the “Codes research” tab of the corporate events database. 

You could obtain this information in the file listing all instruments which you can dowload on the presentation page of each database. 

On the “Codes Research” tab, enter the ISIN code or the instrument name, then select the information you want. Finally, click on the “Search” button. 

Note that some ISIN codes are copyrighted, particularly those with the prefix “AN”, “BM”, “BS”, “CA”, “KY “US” or “VG”) 

  • Stock

 

We only provide information for common stocks. For other instruments we can provide a personalized extraction upon request.

We have classified the trading lines of a security as “principal” or “secondary”.

A security in EUROFIDAI’s stock database can have more than one trading line if it is traded on more than one markets or has temporary alternatives (e.g. secondary stocks). The principal trading line is, by definition, the trading line with the biggest number of quotations on the stock market of the issuer country. 
(for more information, see Stocks User guide page 34) 

The information about stock eligibility for SRD is not available in our online database. EUROFIDAI can provide these data upon request. The variable is available since 2000 and indicates whether the stock is eligible for SRD, for SRD long only, or whether it is not eligible for SRD. To obtain these data, please contact us using the contact form.

 

The list of currencies and currency pairs available in our exchange rates database is accessible on the Exchange rates user guide (p12). The list is also available using the "codes Research" tab. You can click on “List” in order to select the base currency and the counter currency. 

This option gives a simplified result, providing one single code selected by EUROFIDAI and on single quotation (per say and per exchange rate type) instead of listing all codes and/or quotations from different contributors (suppliers or places). The selected EUROFIDAI code is the one with the most observations.

This category created by EUROFIDAI can be a useful tool for the user in the preliminary step of data extraction. It is a short summary of our database content: for each requested instrument, the results file presents corporate event types available for this instrument and information dates. It is useful because corporate event research is done (in the “data extraction” part) based on the issuer code and the corporate event type.

Change of name, class action, issue/change of capital structure, split/reverse split/consolidation, securities assimilation, company reorganization, and redenomination of nominal currency, debtor change, purchase/repurchase/exchange, listing/delisting/suspension, liquidation/bankruptcy, settlement proceedings, meeting/general meeting, dividend payment and other events.

Note that corporate events contained in the EUROFIDAI European Corporate events Database are classified into 51 subclasses. The number of available variables (information date, effective date, capital type etc.) depends on the subclass of the event of interest. It means that a specific variable may not be consultable for some subclasses as a variable that is informative for one subclass of events may be meaningless for another.

Please note that when there is no information for a variable, we discard it instead of assigning a default value, for instance, "." or "NA". 

The data frequency for NAV depends on the type of mutual funds. Very often, the quotation is daily but for some mutual funds, the quotation is given with another frequency (monthly for instance).

Mutual Fund - Structure of EUROFIDAI Code

The primary fund code corresponds to the EUROFIDAI code without the last five digits, which represent the stock exchange or the currency in which the net asset value is expressed. Indeed, a mutual fund can be traded on several stock exchanges or its net asset value can be expressed in different currencies. In this case, the fund has as many EUROFIDAI codes as stock exchanges and currencies. But, additional information associated with the fund is not specific to a stock exchange or a currency. Therefore, instead of a EUROFIDAI code, the primary code is proposed in the result files for “further information”.

EUROFIDAI provides information on mutual funds (name, nature, status, investment type, type of target investors, inception date, expiration date, expiration reason, manager name, manager address, number of observations, availability period), information on fund issuer (name, type, status, legal form, domicile, expiration date, expiration reason, original issuer name, original issuer domicile), minimum amount of subscription for the fund, country in which the fund complies with the legal requirements for being sold, actual and planified fees (management fees, performance fees, custody fees...), investment policy (type of financial assets, countries, sectors or companies in which the fund may invest according to its initial statement), fund asset allocation (type of financial assets, countries, sectors or companies in which the fund invests) and institutions related to the fund issuer (it can be for example a depositary bank, an auditor, an administrator or this institution can have the function of fund management). 

Funds characteristics presented in the “Codes research” tab are included in the variables grouped under the heading "General characteristics" on the “Further information” tab, but with one difference: the first variables correspond to the most recent information, while the second ones are historical data

The EUROFIDAI mutual funds database contains additional information concerning general characteristics of funds, fund classification, related institution, management fees, minimum amount of subscription, authorized sale country, investment policy, fund asset allocation, benchmark and tax/regulation/reporting.

The heading “other indices" covers several types of indices: in particular, equity indices, commodity indices and economic indices. They are provided by an external source or a stock exchange, in contrast with the EUROFIDAI indices, that we build.

The EUROFIDAI index value is calculated in a standard way: with cumulative daily returns for the daily index and with cumulative holding returns on the holding period. The index value is then corrected, such that the index value at the period end is equal to 100. To do this, we apply a factor multiplying the index value at the period beginning and 100 divided by the index value at the period end.

EUROFIDAI indices are composed of ordinary shares (main trading lines). The country and sector indices are computed either without foreign securities or with foreign securities. The Europe indices are computed only without the foreign stocks.

They correspond to the weighted average of common stock returns and are calculated by country (general EUROFIDAI indices) or by country and sector (sector EUROFIDAI indices). For general and sector-based indices, we provide value-weighted or equal-weighted indices. The equal-weighted EUROFIDAI market portfolio weights each common stock with the same weight. The value-weighted EUROFIDAI market portfolio weights each common stock by its last market capitalization available at the end of the last year. To have homogeneous indices, equal-weighted and value-weighted indices are calculated from the same sample of securities. 

The sector classification is divided into ten sectors: Energy, Materials, Industrials, Consumer Discretionary, Consumer Staples, Health Care, Financials, Information Technology, Telecommunication Services and Utilities. 

We distinguish two types of factors and specific EUROFIDAI indices: factors (size, book-to-market and momentum) on the one hand and, on the other, associated portfolios. For a complete and accurate definition, you can refer to the sections on factors and portfolios respectively

Every year, we compose three terciles for stocks with the last market capitalization of the last year. Three size portfolios are constructed by distinguishing between firm sizes (smallcap, midcap and bigcap). The return of each size portfolio is the value-weighted mean of stock returns.

Four book-to-market portfolios are formed on the book-to-market at the end of December each year. Thus, we construct four portfolios: the first one with negative book-to-market (for bankrupt firms), the second one with the lowest third of positive book-to-market (for “Growth” securities), the third one with the middle third of positive book-to-market (for “Neutral” securities) and the fourth one with the highest third of positive book-to-market (for “Value” securities). The return of each book-to-market portfolio is the value-weighted mean of stock returns.

Each month, we split the sample into three terciles according to prior 2-12 returns and build three momentum portfolios. The first momentum portfolio consists of securities with low past returns, the second of stocks with medium past returns and the third of securities with high past returns. The return of each momentum portfolio is the value-weighted mean of stock returns.

The size factor (SF) is formed annually and is obtained as follows. Each year we sort firms based on the market capitalization at the end of the preceding year. From the median of market capitalizations, we divide the sample into two classes of firm size. Furthermore, each year we sort firms by the book-to-market available at the end of the preceeding year and split the sample in three terciles. To construct the size factor, we use six value-weighted portfolios. The portfolios are the intersections of two portfolios formed on size and three portfolios formed on book-to-market. The size factor is formed in the same way as the book-to-market factor. The difference between the size factor and the book-to-market factor is from the definition of the factor return. The return of the size factor is the average return on the three small capitalization portfolios minus the average return on the three big capitalization portfolios. In other words, 

SF = 1/3 (Small Value + Small Neutral + Small Growth) - 1/3 (Big Value + Big Neutral + Big Growth)

The book-to-market factor (BMF) is formed annually and is obtained as follows. Each year we sort firms based on the market capitalization at the end of the preceding year. From the median of market capitalizations, we divide the sample into two classes of firm size. Furthermore, each year we sort firms by the book-to-market available at the end of the current year and split the sample in three terciles. To construct the book-to-market factor, we use six value-weighted portfolios. The portfolios are the intersections of two portfolios formed on size and three portfolios formed on book-to-market. The book-to-market factor is formed in the same way as the size factor. The difference between the size factor and the book-to-market factor lies in the definition of the factor return. The return of the book-to-market portfolio is the average return on the two Value portfolios minus the average return on the two Growth portfolios. In other words, 

BMF = 1/2 (Small Value + Big Value) – 1/2 (Small Growth + Big Growth)

The momentum factor (MOM) is formed annually and is obtained as follows. Each year we divide the sample into two classes by firm size based on the firm’s market capitalization at the end of the preceding year. At the same time, we sort firms by the annual return of the previous year and then form three portfolios. The previous annual return breakpoints are the 33rd and 66th percentiles. To construct the momentum factor we use six value-weighted portfolios. The portfolios are the intersections of the two portfolios based on size and the three portfolios based on prior returns. The return of the momentum factor is the average return on the two highest prior returns portfolios minus the average return on the two lowest prior returns portfolios. In other words, 

MOM = 1/2 (Small Size High Return + Big Size High Return) - 1/2 (Small Size Low Return + Big Size Low Return)

BEDOFIH HIGH FREQUENCY DATA

Euronext Paris  is an organized market located in Paris, member of the NYSE Euronext group. The Paris market offers both order driven as well as quoted driven (market making) trading services.

The AMF (Autorité des Marchés Financiers) processes the raw data from the Euronext Paris market historical record and, in turn, the BEDOFIH project acquires and processes the AMF Euronext Paris database.  The AMF-BEDOFIH Euronext Paris database contains orders, trades and market event data for all assets admitted to trading on Euronext Paris and for which the AMF is the competent supervisory authority. The database includes three main source files of data:

  • Order details (e.g., order type, order size, order price, etc.)
  • Transaction details (e.g., size of trade, price of trade, etc.)
  • Market event data (e.g., trading halt).   

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 database includes stocks, bonds, and structured products (warrants, certificates, and exchange-traded funds).

The database includes timestamps that are accurate up to the microsecond.

Traders are classified in three categories: High Frequency Trader (HFT), Non High Frequency Trader (NON-HFT) or Mixed (i.e., both HFT and NON HFT) trader. According to the AMF, a trader is classified into 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 orders modified or canceled (i.e., total modifications or cancellations).

Yes, using the AMF dataset it is possible to build the order book at the desired frequency and market depth. Moreover, because the AMF-BEDOFIH database includes both hidden and visible orders, it is possible to re-build both the visible and the non-visible order book. 

Cboe Europe Equities (formerly Bats Europe) is a Recognised Investment Exchange (RIE) in the U.K.. Cboe offers trading in the UK, Austrian, Belgian, Danish, Dutch, Finnish, French, German, Italian, Irish, Norwegian, Portuguese, Spanish, Swedish and Swiss equities, Exchange Traded Funds, Exchange Traded Commodities, Exchange Traded Currencies and Depositary Receipts.

The BEDOFIH Bats/CHI-X intraday database includes the entire trading and order message history for Bats and CHI-X markets. In particular, the BEDOFIH database provides three basic types of data:

  • Add Order Messages (details of order submissions; order size, order price, etc.)
  • Order Cancel Messages (details of order cancellations)
  • Executed Order Messages, necessary to rebuild the Order Book at the desired depth and frequency .

These messages include all information about the changes in the queuing price limits on the order book. Additionally, the BEDOFIH Bats/CHI-X database provides users with information about off-book transactions that occur during the day (e.g., dark trades).

The database includes stocks, exchange-traded funds, exchange-traded commodities, and exchange-traded notes.

The database includes timestamps that are accurate up to the millisecond.

Yes, using the BEDOFIH Bats/CHI-X database it is possible to build the order book at the desired frequency and market depth. 

The London Stock Exchange (LSE) is an organized market, based in the center of London, which operates daily a wide range of equity, derivatives and bond trading sessions. Note that apart from the order driven system, the LSE provides, also, market making quotations (‘Mandatory quoting’).

The BEDOFIH LSE intraday database includes the entire trading and order message history for the LSE market. In particular, the BEDOFIH database provides three basic files:

  • Orders 
  • Trades 
  • Off book trades

These files are necessary to re-build the Order Book at the desired depth and frequency (LSE Rebuild Order Book Service) , as they 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 database includes stocks, exchange-traded funds, exchange-traded products, and retail bonds (UK gilts and retail-size corporate bonds).

The database includes timestamps that are accurate up to the millisecond (with the MIFID II changes in 2018, increased accuracy becomes gradually available).

Using the BEDOFIH LSE database it is possible to build only the visible order book at the desired frequency and market depth (iceberg orders appear only as limit orders at the peak).  

XETRA is the electronic trading system operated by the Deutsche Börse Group. 

The BEDOFIH-XETRA intraday database involves four streams of data

  • (a) Instrument reference stream (IRD files)
  • (b) Snapshot stream (IMSI files)
  • (c) Delta/Incremental stream (IMDI files)
  • (d) All Trade Price Stream (ATP files)

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. The snapshots include up to the 20 best limit buy and sell depths. 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). Thus, users can treat this information to continuously update the global picture of the order book; in case of data loss, users can consult (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 re-build book process.

The database includes stocks, exchange-traded funds, exchange-traded commodities, and exchange-traded notes.

The data are accurate up to the microsecond from 11/2012 and up to the millisecond before 11/2012.

Using the BEDOFIH XETRA message streams it is possible to build the order book at the desired frequency and up to the 20th best market depth (The XETRA system provides all changes in the state of the order book up to the best 20 limits).

 

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