BME launches three new analytics products with information on market participant activity

24 June, 2024

Flow Analytics & HHI Insights provides metrics that allow clients to better understand the behaviour of BME's markets at the order level
The Broker Own Ranking service will provide each market member with metrics such as the daily ranking of their trading against the rest of the market

BME has launched three new analytics end-of-day information products, with useful information for market members. The three new products are Flow Analytics, HHI Insights and Broker Own Ranking. The first two offer analytical information on the activity flows of BME market participants, while the third provides information, granularized for each listed share, on the member's own daily activity ranking as well as metrics on their own trading relative to that of the market. These products will be available as of June 24.

Both Flow Analytics and HHI Insights offer metrics that allow clients to better understand the behaviour of BME's markets at the order level. Specifically, the Flow Analytics file reports order flow based on activity type, whereby the net order flow is buys minus sells. HHI Insights, on the other hand, is an indicator that measures market concentration also using buys and sells. in the different phases of the market. The metrics consist of a combination of the following elements:

Order type: passive / aggressive.
Market phase: continuous market, TAL or auction (open, close or volatility).
Data: volume or cash.
Type of operation: on own account or on behalf of third parties.

The HHI Insights product includes the degree of concentration using the Herfindahl-Hirschman index function.

As for the product Broker Own Ranking, BME currently offers members, once a month, the monthly activity ranking, which includes the volume of activity of all members and their ranking. This product is now being expanded with information that offer a series of daily metrics of every equity instrument listed that can be obtained from the member's own daily activity compared to the rest of the market. Among others, the daily ranking of the trading activity with respect to the rest of the market or specific metrics of the activity such as hit-ratio, percentage of participation by market phase, Aggressive/Passive Ratio, Top 1 Resting Time, etc. This product is tailor-made for each market member, who will only receive information on its own trading activity.

BME Market Data is dedicated to the processing, generation and marketing of information from BME's different Regulated Markets and Multilateral Trading Systems, as well as the development of value-added services aimed at the securities markets industry. It also offers specialized products covering all the financial instruments listed on BME, both through the offer of real-time content and end-of-day and historical products. In addition, BME offers different connectivity and information access solutions tailored to the needs and objectives of its Clients and Market Members.