European Equities Market Volume Summary User Guide
Back to European Equities Market Volume Summary
The European Equities Market Volume Summary is divided up into categories based on the MMT flags received through our trade data providers. This page describes for each preset which flags are considered for each category.
The full MMT specification can be found on the FIX Trading Community site.
Preset: Venue, Addressable Market and New Markets
Category: Displayed
Includes trades where MMT level 1 is Central Limit Order Book or Any Other, Including Hybrid.
Only includes trades where MMT level 2 is Continuous Trading or At Market Close Trading.
Category: Non-displayed
Includes trades where MMT level 1 is Dark Order Book.
Only includes trades where MMT level 2 is Continuous Trading or Unscheduled Auction.
Category: Auctions
Includes trades where MMT level 1 is Central Limit Order Book, Quote Driven Market,
Periodic Auction, Request for Quotes, or Any Other, Including Hybrid.
Only includes trades where the MMT level 2 is one of the auction types.
Subcategories correspond to each of the auction values in MMT level 2, except for Periodic Auctions,
which has its own subcategory.
Category: Request for Quotes
Includes trades where MMT level 1 is Request for Quotes and MMT level 2 is Continuous Trading.
Category: Off-book Off-exchange
Includes trades where MMT level 1 is Off Book and MMT level 2 is Trade Reporting (Off Exchange).
For the presets mentioned in this section only Cboe Europe APA is shown in this category.
Category: Off-book Systematic Internaliser
Includes trades where MMT level 1 is Off Book and MMT level 2 is Trade Reporting (Systematic Internaliser).
For the presets mentioned in this section only Cboe Europe APA is shown in this category.
Preset: Off-book
Category: On-exchange
Includes trades where MMT level 1 is Off Book and MMT level 2 is Trade Reporting (On Exhcange).
Category: Off-exchange
Includes trades where MMT level 1 is Off Book and MMT level 2 is Trade Reporting (Off Exchange).
Category: Systematic Internaliser
Includes trades where MMT level 1 is Off Book and MMT level 2 is Trade Reporting (Systematic Internaliser).