BME Concentration Analytics

BME Concentration Analytics

BME Concentration Analytics (BCA) measures how liquidity is distributed across the order book for each BME-listed equities, helping users quantify concentration vs. dispersion at and around the top of book. Metrics are intended for market quality monitoring, venue insights, and strategy research (e.g., assessing depth distribution and resiliency), measured by the Herfindahl-Hirschman Index (HHI). SIX Market Signal delivers this product as a historical analytics dataset with daily updates, ready for dashboards and quantitative workflows.

Free Historical Trial Data

Prospective clients may benefit from a free trial of BME Concentration Analytics historical data before onboarding the T+1 product. The historical trial dataset is refreshed quarterly on a rolling basis and maintains a minimum three-month delay from the current date. For complimentary access to the historical trial dataset, please contact marketsignal@six-group.com.

Product Guide

Ordering the trial data or T+1 Products

Category:
Analytics
Type:
historical
Workspace:
BME
Dataset Id:
BME_HHI_Insight_EQ
Region:
Spain
Records:
305,735
Newest Record:
10/26/2026
Oldest Record:
01/02/2018
Updated At:
10/26/2026

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Use Cases

  • Concentration monitoring on BME
  • Market-quality and venue surveillance
  • Best-execution analysis
  • Identifying instruments dominated by few participants
  • comparing customer vs. non-customer and aggressive vs. passive concentration
  • Quantitative research on Spanish equity trading

Highlights

Pairs naturally with BME_FLOW_ANALYTICS_EQ.

Provider

BME Logo
Published ByBME

Methods

Example API Request URL

Time Series Query Parameters

You can use any time series query parameters with this dataset.
View the full documentation →

Response Attributes

KeyType
Description
isin* keystringISO 6166 International Securities Identification Number of the instrument.
currency* subkeystringTrading currency of the instrument (ISO 4217).
date* indexstringTrading date the metrics are computed for (YYYY-MM-DD).
tickerstring, nullTicker symbol of the instrument.
nomcompletostring, nullFull instrument name (nombre completo).
nomredstring, nullShort instrument name(nombre reducido).
grupovalstring, nullBME instrument group code(grupo de valores).
tipoproductostring, nullProduct type classification.
hhifloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members. Higher values indicate more concentrated activity.
hhi_buyfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over buy-side volume. Higher values indicate more concentrated activity.
hhi_sellfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over sell-side volume. Higher values indicate more concentrated activity.
hhi_aggressivefloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over aggressive (liquidity-taking) volume. Higher values indicate more concentrated activity.
hhi_aggressive_buyfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over aggressive (liquidity-taking) buy-side volume. Higher values indicate more concentrated activity.
hhi_aggressive_sellfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over aggressive (liquidity-taking) sell-side volume. Higher values indicate more concentrated activity.
hhi_passivefloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over passive (liquidity-providing) volume. Higher values indicate more concentrated activity.
hhi_passive_buyfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over passive (liquidity-providing) buy-side volume. Higher values indicate more concentrated activity.
hhi_passive_sellfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over passive (liquidity-providing) sell-side volume. Higher values indicate more concentrated activity.
hhi_auctionfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase volume. Higher values indicate more concentrated activity.
hhi_auction_buyfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase buy-side volume. Higher values indicate more concentrated activity.
hhi_auction_sellfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase sell-side volume. Higher values indicate more concentrated activity.
hhi_customerfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members for customer (client) flow. Higher values indicate more concentrated activity.
hhi_customer_buyfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over buy-side volume for customer (client) flow. Higher values indicate more concentrated activity.
hhi_customer_sellfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over sell-side volume for customer (client) flow. Higher values indicate more concentrated activity.
hhi_noncustomerfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members for non-customer (proprietary) flow. Higher values indicate more concentrated activity.
hhi_noncustomer_buyfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over buy-side volume for non-customer (proprietary) flow. Higher values indicate more concentrated activity.
hhi_noncustomer_sellfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over sell-side volume for non-customer (proprietary) flow. Higher values indicate more concentrated activity.
trade_volumenumber, nullTotal executed volume for the instrument on the day.
aggressive_trade_volumenumber, nullExecuted aggressive (liquidity-taking) volume.
passive_trade_volumenumber, nullExecuted passive (liquidity-providing) volume.
auction_trade_volumenumber, nullExecuted auction-phase volume.
customer_trade_volumeintegerExecuted volume attributed to customer (client) flow.
non_customer_trade_volumeintegerExecuted volume attributed to non-customer (proprietary) flow.
close_auction_trade_volumeintegerExecuted closing-auction auction-phase volume.
open_auction_trade_volumeintegerExecuted opening-auction auction-phase volume.
volatility_auction_trade_volumeintegerExecuted volatility-auction auction-phase volume.
hhi_auction_closefloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase closing-auction volume. Higher values indicate more concentrated activity.
hhi_auction_close_buyfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase closing-auction buy-side volume. Higher values indicate more concentrated activity.
hhi_auction_close_sellfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase closing-auction sell-side volume. Higher values indicate more concentrated activity.
hhi_auction_openfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase opening-auction volume. Higher values indicate more concentrated activity.
hhi_auction_open_buyfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase opening-auction buy-side volume. Higher values indicate more concentrated activity.
hhi_auction_open_sellfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase opening-auction sell-side volume. Higher values indicate more concentrated activity.
hhi_auction_volatilityfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase volatility-auction volume. Higher values indicate more concentrated activity.
hhi_auction_volatility_buyfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase volatility-auction buy-side volume. Higher values indicate more concentrated activity.
hhi_auction_volatility_sellfloat64Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase volatility-auction sell-side volume. Higher values indicate more concentrated activity.

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