OrangeVBBO (Volume weighted Best Bid and Offer)
OrangeVBBO – the pan-European benchmark
For each liquid instrument covered by the OrangeVBBO, our innovative system calculates the Volume weighted Best Bid and Offer for both the Standard Market Size (SMS) and the Retail Market Size (RMS). The OrangeVBBO is the same price you would attain were you to make the ideal partial executions in all of the reference markets.
OrangeVBBO inclusion criteria
Our OrangeVBBO includes most liquid equity instruments admitted for trading on the London Stock Exchange, NYSE Euronext and Deutsche Börse.
All securities included in the OrangeVBBO must meet the Equiduct Trading criteria for liquidity, which may change periodically. Criteria for inclusion may require, for example, that a security:
- is traded on at least two markets
- consistently makes available both Level I (high level snapshot) and Level II (market depth) data
- has both bid and offer
- has the requisite market depth to allow the calculation of SMS and RMS
- demonstrates that its prices are not sedentary, i.e. that there is some movement on either the price or trade volumes
- has a bid/offer spread within a specified range limit
The OrangeVBBO is available free of charge for two price points from this website, direct from Equiduct Systems or from one of our Market Data Vendor partners. For example Bloomberg (stock symbol with suffix "BQ") and Thomson Reuters (stock symbol with suffix ".EDv").
