Volume Weighted Best Bid & Offer - VBBO
VBBO is a real-time data feed, providing for any security traded in Equiduct PartnerEx, the Volume Weighted Best Bid and Offer for Retail Market Size (RMS) (~7,500€) and Standard Market Size (SMS) (Always equal or greater than 7,500€ as defined by ESMA) where defined. VBBO is calculated on the basis of a virtual order book formed from consolidated visible pre-trade level 2 data from relevant markets. The VBBO data product provides pre-trade transparency for the PartnerEx execution facility.
This is a real time feed relating to the Equiduct order book called HybridBook. Data includes:
a) Level 2 pre-trade transparency in Market-By-Order via ITCH and Market-by-Price via FIX
b) Time & Sales via ITCH and FIX
c) Level 1 data: Best Bid/Offer, Open, High, Low, Close, Volume and Last Trade via FIX
Market By Limit
Market By Limit is a real-time market depth feed covering Equiduct instruments created by Equiduct from the consolidation of applicable bid and offer prices from relevant markets including Equiduct. The aggregated data feed includes:
a) Level 2 book depth aggregated quantities at limit prices without venue names
b) Time & Sales: Equiduct trades plus volume weighted price and aggregated volume of trades from other venues.
The Market By Limit data product provides pre-trade transparency for the PartnerEx execution facility to a more granular level than the VBBO.
How to get it
All the above Market Data products are available directly from Equiduct or via our established Market Data Vendors, such as Bloomberg (stock symbol with suffix "BQ") or Thomson Reuters (stock symbol with suffix ".EDv").
Equiduct Market Data is available via ITCH and FIX. Click here to download the Technical Specifications.