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DSCP flag statistics

26 Jun 2020

DSCP flag statistics

Eurex has produced statistics about how many EOBI market data packets would have the DSCP flag set in production, especially for options market data. Please refer to Eurex circular 034/2020. The data files are all semicolon separated files like shown below.
Most columns are self-explanatory. The column COUNTER is the number of packets per instrument and minute where the DSCP flag would have indicated an improved bid/ask spread. Note, that for option products, only orders (not quotes) are taken into account for this calculation. The column CATEGORY is either “S” for simple or “C” for complex instruments. The data files were produced using the production EOBI market data of from January to March 2020.
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