SIX Flow Analytics (SFA)

Insights into the order flow on SIX Swiss Exchange

by market participant groups per day and security

Coverage

Most liquid instruments

Blue Chip Shares
Mid / Small-Cap Shares
ETFs
ETPs

Aerial view of a dam, symbolizing the two sides of the CSDR coin: data quality for cash penalty calculation and reconciliation for settlement reporting, highlighted in the "Two Sides of the CSDR Coin" webinar.

Order Flow Analysis

Net Traded Volume breakdown

Per instrument and trading day

Flow breakdown

Aggressive, passive, and auction

Market Participant grouping

Customer and non-customer flow

Trading Capacity breakdown:

Principal vs. risk-less principal trades

Fields

Field name	Definition
date	Date in YYYY-MM-DD format
isin	ISIN code
currency	Trading currency
group	ID for symbol grouping (board only)
trading_segment_id	ID for trading segment
trade_imbalance_customer	Buy minus sell number of shares executed of customers
aggressive_trade_imbalance_customer	Buy minus sell number of shares aggressively executed of customers during continuous trading
passive_trade_imbalance_customer	Buy minus sell number of shares passively executed of customers during continuous trading
auction_trade_imbalance_customer	Buy minus sell number of shares executed of customers during the auctions and Trading-At-Last
trade_volume_customer	Total buy and sell number of shares executed of customers
aggressive_trade_volume_customer	Total buy and sell number of shares aggressively executed of customers during continuous trading
passive_trade_volume_customer	Total buy and sell number of shares passively executed of customers during continuous trading
auction_trade_volume_customer	Total buy and sell number of shares executed of customers during the auctions and Trading-At-Last
trade_volume	Total buy and sell number of shares executed
aggressive_trade_volume	Total buy and sell number of shares aggressively executed during continuous trading
passive_trade_volume	Total buy and sell number of shares passively executed during continuous trading
auction_trade_volume	Total buy and sell number of shares executed during the auctions and Trading-At-Last
trade_value	Total buy and sell value executed denominated in trading currency
aggressive_trade_value	Total buy and sell value aggressively executed during continuous trading denominated in trading currency
passive_trade_value	Total buy and sell value passively executed during continuous trading denominated in trading currency
auction_trade_value	Total buy and sell value executed during auctions and Trading- At-Last denominated in trading currency

Delivery

T+1 delivery
SFTP
CSV format

Historical data since January 2014

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