7 November, 2024
View From The Feed - Futures
Using BMLL’s granular Level 3 Data, explore the micro-structure for a variety of future assets. The metrics used to describe the market state include Liquidity, Volatility, Iceberg order (CME produce only), and more. You can access the full picture of an individual future product, in a six month time span.Read more
30 October, 2024
EDGA Equities Exchange migrates to Maker-Taker Model: the impact on market microstructure
From November 1, 2024, CBOE’s EDGA® Equities Exchange will shift from an "inverted" marketplace to a "maker-taker" (m-t) model.Read more
24 October, 2024
BMLL Market Lens: US Liquidity Maps
BMLL Market Lens: US Liquidity Maps provide insight into the US equity markets with a view of the top 500 US stocks across the major trading and execution venues over a 13-month period.Read more
17 October, 2024
BMLL Market Lens: European Liquidity Maps
BMLL Market Lens: European Liquidity Maps provides insight into the fragmentation of European equity markets via a view of all Cboe Europe All Companies index constituents across the major European trading and execution venues over a 12-month period.Read more
10 October, 2024
Aggregated metrics to better understand the market
A selection of 7 aggregated metrics to better understand the market, including Volatility, TWA Spread, Quote to Trade, Mean Resting Time, Notional Liquidity Around BBO, Fill Probability and Auction Dislocation.Read more
18 September, 2024
Plotting at the Triple Witching Hour: how the Closing Auction has changed
In this article, Daniel Friensener, Quant Analyst, compares the closing auction for 2023 and 2024 across global markets, and examines the changes when it comes to a Triple Witching day.Read more
11 September, 2024
€STR Wars Part III: Return of the €STR
Analysis of futures linked to the Euro short-term rate (€STR) contract, and the importance of understanding this liquidity in order to minimise the cost of trade, find liquidity and hedge efficiently.Read more
10 September, 2024
Normalisation: a dirty word or a differentiator for success?
Trading practitioners and quants need access to high quality data that captures all information, but importantly is also consistent and easy to use. Dr Elliot Banks takes a deeper look at what good data normalisation really means, and why it matters.Read more
4 September, 2024
How to Become a ‘Quant’ Overnight
In the Capital Markets world, it is generally accepted that it is necessary to have Python proficiency and access to certain third-party terminals to construct, identify and articulate vital deep market microstructure insights. But will this still be the case in the future?Read more