BME Concentration Analytics
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
- Signed SIX Analytics Agreement: For the trial data and/or the Analytics T+1 Product the signed Analytics Agreement is required.
- SIX Analytics General Terms and Conditions
- Order Form: Filled out order form
- Affiliate List: Subsidiaries, and any holding company of the User and any Subsidiary of such holding company. For the purpose of this definition, a subsidiary means a company in which the Distributor owns directly or indirectly more than 50% (fifty percent).
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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
Methods
https://api.marketsignal.six-group.com/v1/data/CORE/BME_HHI_Insight_EQ?token=<your token>https://api.marketsignal.six-group.com/v1/data/CORE/BME_HHI_Insight_EQ/:isin?token=<your token>https://api.marketsignal.six-group.com/v1/data/CORE/BME_HHI_Insight_EQ/:isin/::mic?token=<your token>- https://api.marketsignal.six-group.com/v1/data/CORE/BME_HHI_Insight_EQ/ES0113900J37
- https://api.marketsignal.six-group.com/v1/data/CORE/BME_HHI_Insight_EQ/ES0113900J37?from=2026-07-01&to=2026-07-31&format=csv
Time Series Query Parameters
You can use any time series query parameters with this dataset.
View the full documentation →
Response Attributes
| Key | Type | Description |
|---|---|---|
isin* key | string | ISO 6166 International Securities Identification Number of the instrument. |
currency* subkey | string | Trading currency of the instrument (ISO 4217). |
date* index | string | Trading date the metrics are computed for (YYYY-MM-DD). |
| ticker | string, null | Ticker symbol of the instrument. |
| nomcompleto | string, null | Full instrument name (nombre completo). |
| nomred | string, null | Short instrument name(nombre reducido). |
| grupoval | string, null | BME instrument group code(grupo de valores). |
| tipoproducto | string, null | Product type classification. |
| hhi | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members. Higher values indicate more concentrated activity. |
| hhi_buy | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over buy-side volume. Higher values indicate more concentrated activity. |
| hhi_sell | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over sell-side volume. Higher values indicate more concentrated activity. |
| hhi_aggressive | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over aggressive (liquidity-taking) volume. Higher values indicate more concentrated activity. |
| hhi_aggressive_buy | float64 | Member-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_sell | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over aggressive (liquidity-taking) sell-side volume. Higher values indicate more concentrated activity. |
| hhi_passive | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over passive (liquidity-providing) volume. Higher values indicate more concentrated activity. |
| hhi_passive_buy | float64 | Member-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_sell | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over passive (liquidity-providing) sell-side volume. Higher values indicate more concentrated activity. |
| hhi_auction | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase volume. Higher values indicate more concentrated activity. |
| hhi_auction_buy | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase buy-side volume. Higher values indicate more concentrated activity. |
| hhi_auction_sell | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members computed over auction-phase sell-side volume. Higher values indicate more concentrated activity. |
| hhi_customer | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members for customer (client) flow. Higher values indicate more concentrated activity. |
| hhi_customer_buy | float64 | Member-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_sell | float64 | Member-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_noncustomer | float64 | Member-concentration Herfindahl-Hirschman Index of trading concentration across members for non-customer (proprietary) flow. Higher values indicate more concentrated activity. |
| hhi_noncustomer_buy | float64 | Member-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_sell | float64 | Member-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_volume | number, null | Total executed volume for the instrument on the day. |
| aggressive_trade_volume | number, null | Executed aggressive (liquidity-taking) volume. |
| passive_trade_volume | number, null | Executed passive (liquidity-providing) volume. |
| auction_trade_volume | number, null | Executed auction-phase volume. |
| customer_trade_volume | integer | Executed volume attributed to customer (client) flow. |
| non_customer_trade_volume | integer | Executed volume attributed to non-customer (proprietary) flow. |
| close_auction_trade_volume | integer | Executed closing-auction auction-phase volume. |
| open_auction_trade_volume | integer | Executed opening-auction auction-phase volume. |
| volatility_auction_trade_volume | integer | Executed volatility-auction auction-phase volume. |
| hhi_auction_close | float64 | Member-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_buy | float64 | Member-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_sell | float64 | Member-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_open | float64 | Member-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_buy | float64 | Member-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_sell | float64 | Member-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_volatility | float64 | Member-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_buy | float64 | Member-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_sell | float64 | Member-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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