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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Aggressor side on Eurex

Author	Topic: Aggressor side on Eurex (4 messages, Page 1 of 1)
Ringbinder -Interested User- Posts: 6 Joined: Feb 16, 2014	Posted: Aug 10, 2015 10:59 AM Msg. 1 of 4 Are trades at the bid and ask on your current Eurex feed identified by use of a specific Aggressor side identifier or are they inferred by other means?
DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004 DTN IQFeed/DTN.IQ/DTN NxCore	Posted: Aug 10, 2015 11:28 AM Msg. 2 of 4 IQFeed doesn't currently include an Aggressor indicator/identifier. Customers often infer buy/sell pressure by comparing the bid/ask price at the time of the trade to the trade price. Jay Froscheiser Vice President, Active Trader Products
Ringbinder -Interested User- Posts: 6 Joined: Feb 16, 2014	Posted: Aug 10, 2015 11:39 AM Msg. 3 of 4 Thanks for your prompt reply. Is such an identifier not available from the exchange feed? On page 99 of http://www.mds.deutsche-boerse.com/blob/7652/f2b7f1bdd8613d14cf13d47f5b567872/eurex-market-and-reference-data-interfaces-data.pdf it has 28731 > AggressorSide N Aggressor- Side (enum) Side of the incoming order, which created the trade. Only present for MDEntryType=2. Value Description 1 Buy 2 Sell
DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004 DTN IQFeed/DTN.IQ/DTN NxCore	Posted: Aug 10, 2015 02:00 PM Msg. 4 of 4 The raw feed from the exchange has this information but it isn't available as part of IQFeed since IQFeed is widely used in third party software (most of which wouldn't be able to do anything with this information). We are constantly enhancing our feed and API's, so your desire to see this information is good to hear and will be noted for future development. Jay Froscheiser Vice President, Active Trader Products