Historical order book data is vital, today it just got easier to access

BMLL is the only firm that offers granular historic order book data in a completely harmonised and information rich format alongside a comprehensive suite of analytics and the cloud resources needed to calculate these insights

Sell-side needs modern approach to Order Management Systems (OMS)

Gaining access to granular data from past order books is a vital analytical method for trading, and today, its availability just became more accessible as data and analytics firm BMLL Technologies has made five years of granular, Level 3 order book data available to its US customer base and European funds trading US stocks.

As the demand for data driven insights to improve trading decisions is continuously increasing, so is the need for new, alternative and granular data sets that help industry participants navigate market volatility while maintaining a competitive advantage. However, the technical lift and scalable compute power required to ingest huge amounts of data and derive meaningful insights is significant. To achieve these insights, a large proportion of quants spend 80% of their time cleansing and harmonising data, before they can use it to improve trading decisions and backtest strategies for alpha generation.

BMLL is now able to offer five years of Level 3 data for US markets and European funds trading US stocks. These data sets enable participants to understand how markets behave and unlock the full potential of the predictive power of pricing data over a sufficiently long time horizon to capture a wide spectrum of market scenarios, without the need for complex in-house data cleansing and engineering capabilities. This ability has previously been the preserve of large systematic funds with in-house capabilities to generate, analyse and ingest these levels of data.

Paul Humphrey, CEO of BMLL Technologies, said: “The race for speed is over and the industry is waking up to the predictive power of historic data. We all understand the value of pre-trade or real-time data and the costs associated with it. But predictability only comes from a deep understanding of how the market behaves; it comes from historic Level 3 order book data that includes every single order sent to an exchange over the last five years, the fill probability as well as average resting time of an order.”

Dr Elliot Banks, CPO of BMLL Technologies, added: “The primary use for our data is to find alternative sources of alpha generation. Having five years of Level 3 data means you have the ability to look beyond what happened in the market over the last 18 months. You can analyse long term cycles and trends, back test your strategies and look at the decision making processes that every market participant made to actually trade. That is absolutely critical if you want to find inferences and go beyond the top of the order book.”

BMLL is the only firm that offers granular historic order book data in a completely harmonised and information rich format alongside a comprehensive suite of analytics and the cloud resources needed to calculate these insights, all easily delivered and accessible in daily workflows.

BMLL’s 5 years of data is available to market participants in two different formats. Python-native quants can access BMLL’s Data Lab, our data science platform that allows users to access Level 3 harmonised order book data, process it at scale, and find inferences by drilling down into every single message.

Alternatively, our BMLL Data Feed can be easily consumed via API or FTP delivery straight into users’ research and production systems, delivering metrics such as average resting time of an order or fill probability at a particular level of the order book.

The immediate outcome of using BMLL’s Data Lab and Data Feed is that data scientists no longer need to spend 80% of their time cleaning and harmonising the data. That time can now be spent actually creating value.

Ben Collins, Head of Sales, commented: “The ability to derive meaningful insights from Level 3 data requires a dedicated, scalable environment and compute power.  To date, only a handful of high frequency trading firms have had the infrastructure to curate this level of data and analytics. At BMLL, we have done the heavy lifting for our clients. We bring together the full depth, historic order book data, the scalable, cloud-based, compute power and unrivalled data science to deliver unique analytics in a cost-effective manner.”

Read this next

Digital Assets

BlockDAG Presale Raises $9.9M as Batch 5 Nears Sell-Out Amid Bonk’s Fluctuating Trading Volume & Spell’s Bullish Price

Explore BONK’s trading volume, SPELL’s market shifts, and why BlockDAG’s 10,000 ROI makes it an ideal crypto for savvy investors in 2024.

Digital Assets

Cathie Wood’s sponsored Bitcoin ETF sees historic $200 million inflows

The ARK 21Shares Bitcoin ETF (ARKB), co-sponsored by Cathie Wood’s ARK Invest, registered historic inflows exceeding $200 million on Wednesday, signaling a robust appetite among investors for Bitcoin-centric investments.

Digital Assets

Sam Bankman-Fried might see his 25-year sentence halved

Sam Bankman-Fried, the founder of the failed cryptocurrency exchange FTX, was sentenced to 25 years in federal prison by a Manhattan court on Thursday. This comes after he was convicted of defrauding customers and investors, with Judge Lewis Kaplan highlighting the potential future risks posed by Bankman-Fried.

Technical Analysis

EURJPY Technical Analysis Report 28 March, 2024

EURJPY currency pair under the bearish pressure after the pair reversed down from the major resistance level 164.25, which also stopped the sharp weekly uptrend at the end of last year,

Digital Assets

BlockDAG’s Presale Hits $9.9M, MultiversX & MINA Price Predictions Show Green

Read about BlockDAG’s promising $10 prediction and insights on MultiversX Price Prediction as MINA’s potential unfolds.

Digital Assets

Rockstar Co-Founder and All-star Line Up Join Advisory Board to Take Metacade into Post Beta Orbit

Metacade, the revolutionary Web3 gaming platform, prepares to streak out of beta with a slew of ground-breaking initiatives that will redefine the way blockchain games are developed.

Retail FX

Prop firm The Funded Trader shuts down, claims relaunch in April

Prop trading firm The Funded Trader has ceased all operations, with claims for a relaunch in the near future.

Digital Assets

Ethereum-Based Tokenized Real Estate Platform USP Launches On Republic

How This Californian Startup Is Revolutionizing Real Estate Investment through Ethereum-Based Tokenization.

Digital Assets

Sui Spikes in Weekly DEX Volume, Joins Top 10 of All Blockchains

March DEX volume on Sui stands at over $2.88B – up more than 49% from February – with decentralized exchange Cetus and wholesale liquidity layer DeepBook leading.

<