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Xetra Auction Simulator on A7 Analytics Platform Modeling the market impact of large orders in auctions

Key features for our clients

  • The Xetra Auction Simulator allows the backtesting of strategies executed in auctions
  • The tool, which is part of the Xetra intraday package, lets the market participants evaluate the scaling potential of strategies
  • The Auction Simulator simulates opening, intraday, and closing auction outcome involving synthetic orders, based on the pre-uncross (dark) level 3 order books
  • Simulation of market or limit orders and of different order submission times

Data methodology and details

  • Placement of simulation order with specified side, price (or market), quantity, and priority (time of order placement)
  • Return of unperturbed and perturbed auction results including the filled quantity of the simulation order
  • Uncrossing logic including edge cases of T7 is accurately reproduced
  • API retrieves list of available dates, instruments for a given date, auctions for a given instrument and date as well as historical auction results
  • Simulation via GUI or API
  • Note: Volatility extensions are not modelled

Product packages and data universe

  • DAX/MDAX/SDAX constituents.
  • All scheduled auctions (opening, intraday, closing)
  • History from July 2017
  • T+1 (DAX), T+3 (MDAX), T+5 (SDAX)
  • Simulation of market or limit orders
  • Simulation of different order submission times


  • The Xetra Auction Simulator is available within the A7 Analytics Platform and included in the Xetra Intraday Package
  • Trial access upon request

If you are interested in more information, please contact