New RTAs: Intraday Volatility Forecast
Goran Janus
30 September 2015
Deutsche Börse Group
Real-Time Analytics (RTA) – increasing insight into trading
mechanics …
 Analytical key figures providing insight into trading mechanics based on
private and/or public order and trade information and distributed in real-time
 Low message rates as figures are calculated in co-location and only signal
is transmitted – message reduction by more than factor 1.000 compared to
order book data
 Optimised data distribution due to non-standard co-location setup of
RTA engine plugged via fast exchange connection
Inbound granular market data streams
Inbound granular market data
streams
Analytical
engine
Exchange
participant
Outbound RTA
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Deutsche Börse Group
… consisting of four different types of key figures
Description
 Figures describing the order book mechanics derived
directly from granular order book and trade data (trades
and quotes), e.g. number of arrived/cancelled orders, VWAP
for agent trades, number of buy-/sell-triggered trades
RTA basic
RTA
advanced
Eurex
market
signals
Eurex® IOC
Liquidity
Indicator for
Options
 Insight into the liquidity of more than 70 Eurex options
based on not publicly available immediate-or-cancel order data
Risk
Alerts
 Key figures based on granular order book data supporting
trading risk management, e.g. Eurex Risk Alerts, Order
book resilience
23 Nov. 2015
Intraday
Volatility
Forecast
23 Nov. 2015
 Model based forward looking Intraday Volatility Forecast for
DAX®, EURO STOXX 50® and Euro-Bund with forecast
windows of multiples of 10 sec, 1 min, 10 min)
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Deutsche Börse Group
New RTA will provide real-time Intraday Volatility Forecast for
DAX®, EURO STOXX 50® and Euro-Bund
DAX® index
Illustrative
𝝈𝑴
 Capture much of the
variation in near term
price movement
 Measure realised
volatility and forecast
volatility based on
futures quotes for
 Next 10 seconds
 Next minute
 Next 10 minutes
𝝈𝑚
𝝈𝒔
Volatility forecast
 𝝈𝒔 : 10 seconds
 𝝈𝒎 : 1 minute
 𝝈𝑴 : 10 minutes
Time
 Based entirely on
public data
 Eurex EMDI
 Trading calendars
 AlphaFlash® event
schedule
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Deutsche Börse Group
Model components (1/2): model is calibrated with historical time
series of average realised volatility
Volatility measure
Historical calibration
Realised volatility
1.80%
1.60%
1.40%
1.20%
1.00%
0.80%
0.60%
0.40%
0.20%
0.00%
Jun-14
 Volatility measure based on best bid,
best ask futures data
 Averaging approach applied based on
time grid with 10 millisecond spacing
Aug-14
Oct-14
Dec-14
Feb-15
 Forecast model calibrated to last
three months of historical data
 Dynamic model update every week
Deutsche Börse Group
Model components (2/2): elements of Volatility Forecast model
Volatility
measurement
Choice of measure
Forecast
model
Short-term memory
 Average realised volatility
 Dedicated model captures shortterm dynamics
Intraday seasonality
 Predictive variables for repeating
intraday pattern
 Long-term memory modelled in
intraday seasonality
Scheduled news
 Impact forecast for selected
scheduled events
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Deutsche Börse Group
Intraday Volatility Forecast in action
DAX® volatility forecast versus DAX future trading on 25 June 2014
Trades
 Price (in €)
 Contracts per trade
(number, 2nd axis)
Realised volatility,
per 1 minute bin
Time
 Forecast (in %)
 Observed (in %)
Time
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Deutsche Börse Group
Product scope
Real-Time Analytics
Publishing
frequency
Reference period
Average realised
volatility
Every second
 Last second
 All higher bin sizes may be
aggregated from 1-second bins
Forecast
10-second bin
Every 5 seconds
 Next ten seconds
 Plus the following four 10-second
bins
Forecast
1-minute bin
Every 30 seconds
 Next minute
 Plus the following four 1-minute bins
Forecast
10-minute bin
Every 5 minutes
 Next 10 minutes
 Plus the following two 10-minute bins
Product scope
Initially
 DAX®
 EURO
STOXX 50®
 Euro-Bund
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Deutsche Börse Group
Technical information
 Product launch on 23 November 2015
 The Intraday Volatility Forecast and Risk Alerts will be distributed via separate multicast
addresses using the same messages layout as the already launched Eurex® IOC Liquidity
Indicator for Options
 The required bandwidth per each new service is below 200 kbps
 Both services can be tested in simulation between 5 Oct 2015 and 20 Nov 2015 –
from 19 Oct 2015 to 6 Nov 2015 calculated figures will be based on production data
 Further information on model components for the Intraday Volatility Forecast can be found
under the following link:
http://www.eurexchange.com/exchange-en/about-us/news/IWQW-Study-components-ofintraday-volatility-/1719582
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Deutsche Börse Group
Technical provision
All users
Eurex participants
General data flow for new Eurex market signals
Eurex T7 trading system
Public
Eurex reference
and market data interfaces
Eurex connectivity
MIC or 10 GB
Market data channel
Multicast
service
A/B
CEF connectivity
CEF®
CEF®
Core and
ultra+ Eurex
Eurex
market
signals
Multicast
service
A/B
Calculation
engine
TCP service
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Deutsche Börse Group
Pricing and subscription
 Monthly charge for the Intraday Volatility Forecast is €300 per participant/MD+S customer,
independent from the number of connections the data is configured on
 Monthly charge for the Risk Alerts is €50 per participant/MD+S customer, independent from the
number of connections the data is configured on
 MD+S customers: the Intraday Volatility Forecast and Risk Alerts will be available via CEF® Core
and via CEF® ultra+ Eurex feed and can be ordered in the closed user group MD+S interactive
under https://sso.deutsche-boerse.com/cas/login?sso_l=en
 Eurex participants: the Intraday Volatility Forecast and Risk Alerts can be ordered in the Eurex
member section under https://member.eurexchange.com/
 Eurex Market Signals are generally not offered to multi-member service providers
 Multi-member service provider interested in the Eurex® IOC Liquidity Indicator for Options can
subscribe to the data by signing a MD+S contract agreement
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Thank you for your attention!
Contact: Goran Janus
Market Signals
Deutsche Börse AG
60485 Frankfurt/Main, Germany
Phone +49 69 2 11-1 29 28
E-Mail [email protected]
http://www.deutsche-boerse.com