Cboe Europe Equity Flow Analytics delivers daily, instrument-level trading analytics across Cboe Europe venues, pairing two complementary datasets: Flow and HHI (Market Concentration).
- Market Flow (Flow Data): Daily, instrument-level executed flow summary publishing buy volume, sell volume, and net flow per instrument per day, split by MiFID II Trading Capacity buckets: DEAL / MTCH / AOTC. It also includes market context such as TRADE_COUNT and TOTAL_VOLUME, with net flow = BUY_VOLUME − SELL_VOLUME (per bucket).
- Privacy suppression: if TRADE_COUNT < 10, null out Flow fields #7–15.
- Market Concentration (Herfindahl-Hirschman Index, or HHI Data): Daily instrument-level concentration metrics using HHI (0–1), with views across all trades, buy vs. sell, and aggressive vs. passive subsets, plus supporting context such as TOTAL_VOLUME and distinct counterparties by side.
- Privacy suppression: if TRADE_COUNT < 10, null out HHI fields #5–13 and #15–16.
Together, Flow + HHI help distinguish directional pressure (Flow) from breadth/fragility of liquidity (HHI).
Licensing & Redistribution Rights
This dataset is proprietary to Cboe Global Markets. External redistribution of this data is strictly prohibited.
Subscription Details
| Type | Delivery Schedule | File Organization | Content | Delivery Method |
| End-of-Day | Typically between 10 and 11pm London Time | Two zipped csv files per exchange, per day | Daily, instrument-level Market Flow and Market Concentration for Cboe Europe Venues BXE/CXE/DXE |
|
File Specifications & References
Historical Data Availability
|
Dataset |
Exchange(s) |
Historical Start Date |
|
Flow Data |
BXE |
2015-08-21 |
|
CXE |
2015-08-21 |
|
|
DXE |
2019-08-08 |
|
|
HHI Data |
BXE |
2016-06-01 |
|
CXE |
2016-06-01 |
|
|
DXE |
2019-10-01 |
Disclaimer
This dataset includes aggregated statistics based on MiFID II / MiFIR “trading capacity” classifications (e.g. DEAL, AOTC, MTCH) generated within Cboe’s trading systems. The dataset is provided to [professional] clients for informational and analytical purposes only. It does not constitute investment advice, legal advice, or a regulatory determination. This dataset is not a regulatory reporting service and does not generate, validate, submit, or reconcile any regulatory reports. It is not approved, certified, or validated by any regulator or competent authority. Nothing in the dataset should be interpreted as meeting any regulatory reporting, recordkeeping, or compliance obligation. Trading capacity classifications are generated within Cboe’s trading systems using MiFID II / MiFIR trading capacity terminology. Cboe does not represent that these classifications correspond to any participant’s internal classification, intent, or regulatory assessment.
Trading capacity classifications reflect Cboe’s trading workflows and applicable reporting conventions and may be subject to amendment, correction, or restatement. Aggregated outputs may differ from other sources due to differences in scope, timing, methodology, or post trade processing. The dataset should not be relied upon as a definitive statement of any participant’s role, intent, business model, or compliance status. Outputs are provided solely in aggregated and anonymised form and are not intended to identify any firm, client, or transaction. Subscribers must not attempt to re identify any market participant or infer confidential information from the dataset, whether alone or in combination with other data.
The Dataset may be amended, corrected, or restated to reflect updates or corrections within Cboe’s systems or post-trade processes. Historical data may change. Cboe shall have no liability in respect of reliance on superseded versions of the Dataset.
