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Market data

  • Orders
  • Trades
  • Reference data
  • Nanosecond, microsecond or millisecond accuracy (depending on markets)
  • Computed variables: liquidity and realized variance

Data structure: .csv files, one file per instrument and per day for each market data category.

To get more precise information on the data included in the EUROFIDAI (BEDOFIH) High frequency database, please consult our documentations.

Markets Overview

Title
London stock exchange (LSE)

since 2001

Instruments

  • Stocks
  • Exchange-traded funds
  • Exchange-traded products
  • Retail bonds (UK gilts and retail-size corporate bonds)

Title
Turquoise

since 2017 (forthcoming)

Instruments

  • Stocks
  • Exchange-traded funds
  • Exchange-traded notes
  • Exchange-traded commodities
  • Depositary receipts
  • European rights issues

Title
CBOE Europe BXE (BATS)

since 2010

Instruments

  • Stocks
  • Exchange-traded funds
  • Exchange-traded notes
  • Exchange-traded commodities

Dark market flags

Title
CBOE Europe CXE (Chi-X)

since 2012

Instruments

  • Stocks
  • Exchange-traded funds
  • Exchange-traded notes
  • Exchange-traded commodities

Dark market flags

Title
CBOE Europe DXE

since 2019

Instruments

  • Stocks
  • Exchange-traded funds
  • Exchange-traded notes
  • Exchange-traded commodities

Dark market flags

Title
Deutsche Boerse Xetra

2010-2020

Instruments

  • Stocks
  • Exchange-traded funds
  • Exchange-traded notes
  • Exchange-traded commodities

Title
Euronext Paris

2009-2022

Instruments

  • Stocks
  • Bonds
  • Structured products (warrants, certificates and exchange-traded funds)

HFT flag (2009-2017)

Title
Eurex (derivatives markets)

2010-2021

Instruments

  • Options
  • Futures