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Risk Alerts

Risk Alerts

Risk Alerts inform market participants in real-time about exceptional price and order book behavior of the most important and liquid Eurex futures.

Product universe

Risk Alerts are provided initially for the following Eurex futures:

? DAX? Futures (FDAX)
? EURO STOXX 50? Index Futures (FESX)
? Euro-Bund Futures (FGBL)


Calculation details

Alerts are provided for three measures: price range of traded prices, bid-ask spread and order book resilience 20. If a certain threshold is exceeded, an alert message is sent out that contains the following information: type of alert and type of threshold exceeded.

Alert types

  • Maximum price range: Price range is the difference between the maximum and minimum price traded during the current second.
  • Maximum bid-ask spread: Bid-ask spread is the difference between the best ask and best bid (synthetic levels included).
  • Minimum order book resilience 20: Order book resilience looks deeper into the order book and measures the volume required to change the best prices (bid or ask) by 20 ticks. An alert will be sent, when the number of contracts to be traded in order to move the price by 20 ticks is below a certain statistically determined threshold.

Data availability

The Risk Alerts information product is disseminated via (a) the Eurex MIC (multi-interface-channel), (b) the 10 GB Eurex market data connection as well as (c) Deutsche B?rse’s data feeds CEF? Core and CEF ultra+ Eurex.

Technical information

The required bandwidth for this information product is ~ 128 kbps.

Further information

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Market Status

XEUR

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Parts of the trading system are currently experiencing technical issues

The trading system is currently experiencing technical issues

Production newsboard

The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.

An instant update of the Market Status requires an enabled up-to date Java? version within the browser.

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