Eurex Exchange

Eurex Exchange disseminates full depth-of-book data for their exchange through their EOBI (Enhanced Order Book Interface) Feed, which Databento receives over UDP multicast in our FR2 data center.

The latest EOBI Specification is available from Eurex website.

Trading hours

The regular trading hours for Eurex are:

• 08:00 CET to 17:30 CET (European hours)
• 17:30 CET to 22:00 CET (U.S. hours)

The extended trading hours for Eurex are:

• 01:00 CET to 08:00 CET (Asian hours)

Extended (Asian) trading hours only include a subset of instruments, including European indices, interest rate futures, and cryptocurrency futures.

Timestamps

Eurex EOBI messages received by Databento include multiple timestamps with nanosecond precision. As with all of our datasets, we also collect a ts_recv timestamp when the packet was received by our capture server. More details about our timestamps are available in our timestamping guide.

EOBI RequestTime field is not available for the off-market trades (EOBI message TES Trade Report), manual and auction trades (EOBI message Trade Report), and cross request (EOBI message Cross Request). Thus ts_event is populated with TransactTime field, which corresponds to the time when the transaction was processed by the exchange's matching engine.

The ts_event for passive trade messages (EOBI messages Partial Order Execution and Full Order Execution) is populated with the RequestTime from the aggressive order.

Definition normalization

Definition records are sourced daily from Reference Data Interface snapshot. Definition records for intra-day instruments are sourced from EOBI incremental feed.

Symbology

Raw symbols are sourced from SecurityDesc string field. The semantics varying according to the type of instrument (secsubtype in the normalized message). The table below describes each instrument type, based on the venue's documentation.

The acronyms from the table above correspond to:

• SM: Settlement method (CS for cash, PS for Physical).
• ES: Exercise style (EU for European, AM for American).
• VN: Version number of an option. The version changes as a result of corporate events.
• IST: Standard strategy type for complex instrument, as detailed in the Trading parameters document.
• SEQ-NO: Unique sequence number of 6 characters per product.
• QSF: Quantity scaling factor of scaled simple instruments.
• YYYYMMDD: Contract date.
• MONYY: Contract month-year.
• YYMMDD: Creation date.
• O, N, V, D, F: Identify different strategy types.
• I: Identify inter-product spreads instruments.
• T: Identify strip instruments.
• C: Identify commodity strip instruments .

Expirations

Eurex only provides date-granularity expiration data in MaturityDate field from the reference data. As a result, the expiration field in the definition schema will always be at UTC midnight, even when the instrument expires during or after the trading day.

Eurex also provides the MaturityMonthYear field in the reference data, which corresponds to the instrument expiration month, and may be in a different month than the MaturityDate field. The MaturityMonthYear field is mapped to the fields maturity_year and maturity_month in the definition schema (maturity_day is not populated).

Statistics normalization

Databento provides the following statistics:

• Opening price: Published on the instrument's first trade (or in the end of the day if no trade occurs).
• Trading session high price: Published at the end of the day.
• Trading session low price: Published at the end of the day.
• Close price: Published at the end of the day.
• Cleared volume: Published at the end of the day.
• Settlement price: Published during the day, as soon as they are available. Different products have different schedules.
• Adjusted Open Interest : Published daily around 13:30:00 CET.

The end-of-day statistics are published around 20:00:00 CET, when the session transitions into a closed state. Some instruments might have end-of-day statistics on a different schedule.

Manual trades do not affect price statistics.

Stat flags

Settlement price statistics normalize the field tag 731-SettlPriceType to the stat_flags field.

Off-market trades

Trades reported in TES Trade Report and in Trade Report (with MatchType equal to ManualTradeEntry) EOBI messages are considered off-market.

Off-market trades have their publisher_id set to XEUR.EOBI.XOFF to distinguish them from on-exchange trades, which have their publisher_id set to XEUR.EOBI.XEUR.

This distinction is also reflected on the OHLCV schemas - if an interval contains both on-market and off-market trades for an instrument, two OHLCV messages will be published for that instrument on that interval, one with XEUR.EOBI.XEUR as the publisher_id and one with XEUR.EOBI.XOFF.

Order Identifier

EOBI does not provide an order identifier (order_id) field. Instead, it relies on two fields to uniquely identify an order of a given instrument: TrdRegTSTimePriority (priority timestamp) and Side.

Databento normalizes the order_id field in MBO schema by combining both priority timestamp and side. To extract the priority timestamp from the order_id, the most-significant bit can be masked, as below:

priority_timestamp = order_id & 0x7FFFFFFFFFFFFFFF