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

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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