Daily load patterns of six global exchanges as recorded by vwd/Infront Financial Technology

This data set provides fine-granular statistics on trading traffic generated by six global exchanges over the course of two days in February 2019 for a set of representative feeds and recorded by the systems of vwd Vereinigte Wirtschaftsdienste GmbH (now known as Infront Financial Technology GmbH).

Please note that these numbers represent only limited market segments of the actual exchange and the measured feeds might provide different products and instrument types.

The exchanges are identified as AU = Sydney, FFM = Frankfurt am Main (GER), HK = Hong Kong (CN), Q = NASDAQ (USA), TK = Tokyo (JPN), UK = London (UK).

The data set consists of six (6) files in comma-separated values (CSV) format with one tab as separator.

Each file contains a list of timestamped (GMT+1) statistics that represent the update rate per second averaged to the granularity of one minute as received from the respective exchange at each point in time. Format: [UNIX timestamp] \t [updAvg].

Please cite this conference paper when using this data:

Frischbier, S., Paic, M., Echler, A., Roth, C. (2020). Managing the Complexity of Processing Financial Data at Scale - An Experience Report. In: Boy, G., Guegan, A., Krob, D., Vion, V. (eds) Complex Systems Design & Management. CSDM 2019. Springer, Cham. https://doi.org/10.1007/978-3-030-34843-4_2