The Nordic Cost and Order Flow Indicators are delivered daily through HTTPS-fetch over the Internet containing information from the NASDAQ OMX Exchanges in Helsinki, Iceland, Stockholm, and Copenhagen.
 

When measuring liquidity on an order book level NASDAQ OMX uses 6 basic data sets:

• Order coverage
• Implicit spread costs 
• Depth in the order books
• Competition in the order books
• Price quotation indicators
• Round trip measuring of the liquidity



The different indicators can be used for different purposes, for example:

• show the spread or how much depth there have been in a given period.

• analyze how much competition in average there has been and how the competition has been distributed across the buy- and sell-side of a given quoted order book.

• an investor that on a given time seek to trade a given security needs to know for how much of the given period that he can expect to be able to execute his order into a trade.

• if an investor needs to know how much the average price per share would be if he or she would empty the whole liquidity in the orderbook.
 

Benefits and Features

The purpose for NASDAQ OMX to calculate these Cost- and Order Flow Indicators in the Genium Consolidated Feed is to give an insight for investors and other market participants to the liquidity of the individual listed instruments.

It give the users of the product a tool for better decision making when planning to enter new positions at a given time with either low or high implicit transaction costs.

Creating time series with historical data can be used as proxies and for short term forecasting purposes. There are several financial articles claiming that on an average intra-trading day the quoted spreads are falling as the depth and competition are increasing during the day. Also on intra-weekly basis, and as well on intra-monthly basis.


 

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Agreements and Forms
 

To subscribe to the data feed products of NASDAQ OMX, firms are required to be a party to a NASDAQ OMX Global Data Agreement.

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