BMLL delivers Level 3 data to Kepler Cheuvreux for order book analytics and algo performance

Rick Steves

The solution covers more than 6.5 years of harmonised historical data from 65 venues and combines it with easy to use APIs and analytics libraries in a secure cloud environment. 

BMLL has partnered with Kepler Cheuvreux to provide its Quant Research and Algo Development Teams with access to the BMLL Data Lab and granular Level 3 Data to carry out in-depth order book analytics and optimise algo performance.

Kepler Cheuvreux is a European financial services company specializing in research, execution, advisory, and asset management services, and tapped BMLL so that Kepler’s Quant Researchers are able to “spend 80% of their time generating market leading order book research rather than cleansing and harmonising data sets”. The BMLL Data Lab integrates with production tools and workflows, allowing users to efficiently turn research into actionable results.

Kepler’s Algo Development Team will also gain access to high quality, granular Level 3 data to backtest trading strategies, and improve algo development and alpha generation. The Level 3 Data and Analytics solution is delivered as Data Science as a Service, directly into existing workflows to ensure ease of access and enhanced speed to output.

New frontiers in market microstructure research

Ksenya Rulik, Head of Quant Research at Kepler Cheuvreux, said: “We are delighted to start our journey towards new frontiers in market microstructure research, supported by the great technology of the BMLL Data Lab.”

Jean François Perreton, Head of Algorithmic Trading Quant at Kepler Cheuvreux, added: “As a multi-local agency broker, a deep understanding of order book dynamics for every venue and how it relates to market impact is of paramount importance. By leveraging BMLL Level 3 Data capabilities, we intend to derive unique insights that will put us at the forefront of algorithmic trading innovation.”

Paul Humphrey, Chief Executive Officer at BMLL, concluded: “We are delighted to work with Kepler Cheuvreux and support their algo development and order book analytics. We have significantly invested into our Data Science as a Service offering to unlock the predictive power of pricing data; we have done the heavy lifting when it comes to data engineering, so that our customers can focus on their business.”

BMLL’s Data Lab caters sophisticated quants and researchers seeking alpha and actionable insight that are easy to integrate into quantitative research processes and production pipelines.

The solution covers more than 6.5 years of harmonised historical data from 65 venues and combines it with easy to use APIs and analytics libraries in a secure cloud environment. Users are able to perform scalable research without the burden of data sourcing, data curation or data engineering.

BMLL offers banks, brokers, asset managers, hedge funds and global exchange groups immediate and flexible access to the most granular Level 3, T+1 order book data and advanced analytics.

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