Boerse Stuttgart. Research Database. User Guide

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2 Boerse Stuttgart Research Database User Guide Version:

3 Document History Version Date Author(s) Description Stephan Meyer Original version Stephan Meyer Stephan Meyer Stephan Meyer Felix Fritz Felix Fritz Data Updates, Field Changes Felix Fritz Minor corrections Benedikt Notheisen Minor corrections Benedikt Notheisen Minor corrections Boerse Stuttgart Research Database User Guide Page 3 of 12

4 Table of Contents 1. Introduction Abstract Referenced Documents Structure of the Document Data Data Description Availability Sample Data Request FAQ Boerse Stuttgart Research Database User Guide Page 4 of 12

5 1. Introduction 1.1 Abstract This user guide provides an overview over available research data from Boerse Stuttgart and outlines all necessary information to request data from Boerse Stuttgart. It also contains a description of available data (e.g. attributes and time periods). 1.2 Referenced Documents ID Name Description 1 Proposal_Template_Stuttgart Stock Exchange_V1.2 Template for describing the purpose of the project and the required data. 2 Data_Usage_Agreement_V1.4 Declaration about the usage of the data and transmission rights. 1.3 Structure of the Document Chapter 2 provides details on available research data from Boerse Stuttgart. Chapter 3 explains how researchers can submit a research proposal in order to obtain data from Boerse Stuttgart. Chapter 4 concludes with a selection of frequently asked questions. Boerse Stuttgart Research Database User Guide Page 5 of 12

6 2. Data Boerse Stuttgart provides order flow data at Boerse Stuttgart as well as master data for the description of financial instruments traded at Boerse Stuttgart. Quote data is not included. We describe the data in more detail within the following subchapters. The available data is updated on a regularly basis, which means that most recent data cannot always be provided. 2.1 Data Description Table 1 describes the different attributes of order flow data from Boerse Stuttgart for research purposes. Order Flow Data Name Ordernumber Timestamp Description Unique order identification number Timestamp of a order status change Code Identification code for the order status (see Table 2) ISIN BuySell Size Limit LimitType StopLimit Tradeprice Tradequantity Tradevalue International Securities Identification Number K = Buy, V = Sell Order size Limit of the order SL = Stop-loss, SB= Stop-Buy, EG=Event-driven Stop-limit Trade price Trade size Trade turnover of an executed order Table 1: Specification of Boerse Stuttgart order flow data Every order has a designated code included, which provides information about the order status. The available data contains the following codes: Boerse Stuttgart Research Database User Guide Page 6 of 12

7 Codes ID Description 001 Order submission 003 Order modification 005 Order cancellation 011 Order execution Table 2: Identification of order events Table 3 describes the different attributes of masterdata available from Boerse Stuttgart for research purposes. Masterdata Name ISIN WKN ProductName Type 1 Underlying UnderlyingType Percentnotice Optiontype KO IssuerName UnderlyingName Country Description International Securities Identification Number German Wertpapierkennnummer (a unique identfier for an instrument) Name of the product Product type (AZE = Certificates, WAR = Warrants, KO = Knock-out products, EXO= Exotic products, AKA = Bonds) Underlying Type of the underlying (e.g. STO = Stock, IND = Index, FON = Fund, CUR = Currency, FUT = Future, BSK = Basket, COM = Commodity) Provides information whether the product is noted in percent (n = no, j = yes). If so, sizes of order data are multiplied by 100 Option type (call or put) Provides information about the existence of a knock-out barrier Name of the issuer Name of the underlying Country 1 As of replaced by a hierarchical product type code (cf. Reference [3]). Necessary information will be provided. Boerse Stuttgart Research Database User Guide Page 7 of 12

8 Description UnderlyingRic FirstTradingDay LastTradingDay KOTime Coupon Currency SubscriptionRatio Cap LastEvaluationDay StrikePrice KnockoutBarrier ExcerciseType SecurityLevelValidFrom SecurityLevel BonusLevel Description of the product Reuters Identification Code First trading day at Boerse Stuttgart Last trading day at Boerse Stuttgart Timestamp of the knock-out breach Coupon payment Currency (e.g. EUR = EURO) Subscription rate Cap Last evaluation day Strike price Knock-out barrier Execution type (e=european, a=american) Days on which the security barrier is valid Security level Bonus level Table 3: Specification of Boerse Stuttgart master data 2.2 Availability Data is not available before 2009 (see table 4 for the exact periods). Masterdata is provided as combined monthly snapshots, which are taken on a fixed day per month. On this day, information on all tradable securities is inserted into the research database. Therefore, products with a trading period of less than one month may not be available. This may happen for products with a knock-out barrier which have been knocked-out a short time after issuance. Data for non- German stocks is available from February As of daily masterdata updates are available, a complete history of dynamic fields (e.g. for open-end products) is not provided, however. Data Start End Order flow data End of month before last Master data End of month before last Table 4: Availability of the data Boerse Stuttgart Research Database User Guide Page 8 of 12

9 2.3 Sample The following paragraph represents a data sample of available order flow data: ; :09:07.830;001;DE000BN1U777;V; ;4.6900;SL; ;NULL;NULL;NULL Orderflow Data (example) Name Value Ordernumber Timestamp :09: Code 001 ISIN BuySell DE000BN1U777 V Size Limit LimitType SL StopLimit Tradeprice Tradequantity Tradevalue NULL NULL NULL The following paragraph presents a data sample of available master data: DE000CM8AFZ0;CM8AFZ0;Bonus-Zertifikat Pro;AZE;DE ;IND;n;CALL;;Commerzbank AG, Frankfurt am Main;DAX;Gehoert zur Gruppe der Bonus-Zertifikate. Bonus Zertifikate liefern am Laufzeitende eine attraktive ;.GDAXI; ; ;;;EUR;0.01;; ;0;;e; ; 4600;5400 Masterdata (example) Name ISIN Value DE000CM8AFZ0 Boerse Stuttgart Research Database User Guide Page 9 of 12

10 WKN ProductName Type Underlying UnderlyingType Percentnotice Optiontype CM8AFZ0 Bonus-Zertifikat Pro AZE DE IND n Call KO IssuerName UnderlyingName Country Description UnderlyingRic Commerzbank AG, Frankfurt am Main DAX DEU Gehoert zur Gruppe der Bonus-Zertifikate. Bonus Zertifikate.GDAXI FirstTradingDay LastTradingDay KOTime Coupon Currency EUR SubscriptionRatio 0.01 Cap LastEvaluationDay StrikePrice 0 KnockoutBarrier ExcerciseType e SecurityLevelValidFrom SecurityLevel 4600 BonusLevel 5400 Boerse Stuttgart Research Database User Guide Page 10 of 12

11 3. Data Request In order to apply for research data from Boerse Stuttgart, it is necessary to submit a research proposal (reference [1]) which includes detailed research questions and a project description. The researcher provides Boerse Stuttgart with specifications of the requested data (i.e. a period and a list of instruments). Boerse Stuttgart does not guarantee for correctness, completeness or up to date reliability of the information provided. Boerse Stuttgart is also not obligated to process requests. For orderflow data, Boerse Stuttgart typically provides transaction data (i.e. order executions) only. On a small scale, orderflow data containing order submissions, modifications, and cancellations might be provided if the researcher has sufficiently demonstrated the necessity of such data for her/his research project. Proposals should be sent electronically or in writing to: Baden-Württembergische Wertpapierbörse GmbH Achim Fecker Börsenstraße Stuttgart achim.fecker.extern@boerse-stuttgart.de Boerse Stuttgart reserves the right to decline any data request without stating a reason. Possible reasons for declining your data request are: insufficient project description false information about the sender insufficient documentation of the requested data non-availability of the requested data disregarding the proposed project lack of relevance of the project from the viewpoint of Boerse Stuttgart Boerse Stuttgart Research Database User Guide Page 11 of 12

12 4. FAQ 1. Who can I contact if I have any questions about the proposal process and the structure of the database? Baden-Württembergische Wertpapierbörse GmbH Achim Fecker Börsenstr Stuttgart achim.fecker.extern@boerse-stuttgart.de 2. To whom do I need to send my proposal? Baden-Württembergische Wertpapierbörse GmbH Achim Fecker Börsenstraße Stuttgart achim.fecker.extern@boerse-stuttgart.de 3. How long does it take to address my proposal? We answer to your proposal in a timely manner. Overall, it depends on the number of data requests which are currently processed. 4. How about passing on the data? Data is only allowed to be used by the applicant within the context of the accepted proposal. All activities beyond those research questions have to be discussed with Boerse Stuttgart. 5. Is it possible to retrieve different periods for different ISINs? Due to the technical structure of the database, we only provide one period for all required instruments. 6. How do I get the data? Depending on the size of your request, we either send it via or on a storage device by mail. In both cases data will be encrypted. The password will be sent to you separately. 7. What are the reasons for declining my proposal? Possible explanations can be found in chapter What s the file type of the data? Data is provided as comma delimited file (.csv) and is compressed using standard procedures. Boerse Stuttgart Research Database User Guide Page 12 of 12