Market Quality Metrics® in active and passive ETFs
SIX Swiss Exchange makes a major contribution to transparency - not only by publishing all of the relevant
trading information, but also with our "Market Quality Metrics" (MQM) service.
This pre-trade information tool allows you to check the pre-trade data of all ETFs. With it,
you can view and analyze the historic availability of quotations, daily average spreads and the average
levels of amounts offered on both sides of the order book.
Below you can find the complete history of Market Quality Metrics (MQM) data for Exchange Traded Funds. Files
are provided in CSV format (comma-separated-values) for every trading day along with ZIP archives on
a monthly basis.
The definition of the attributes is as follows - in each case
only the first level of the order book (inside market) is considered:
Time weighted average spread
The spread for given security for a specific time, Ti, is defined as
where APTi is the best (lowest) ask price at this time and
BPTi is the best (highest) bid price. All double-sided
quotes/orders generated by the market maker or participants are used
to calculate the spread value.
Then the time weighted average spread is:
where LengthTi is the length of time this spread is present
in the order book. The spread value is denominated in %.
Spread availability ratio
The percentage of the time where a spread exists during continuous
trading of the product:
Average buy/sell volume
The time averaged buy/sell volume during continuous trading:
Average buy/sell value
The time averaged buy/sell value during continuous trading:
Note: all quotes and orders on the first level of the order book
are taken into account. A quote is an offer from a market maker.
Therefore the average buy/sell value & volume is usually the
quoted offer of the market maker on top level of the order book
but might be in some cases (or for a short time) also be a