News, Insight and Events

3 October, 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.

26 September, 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.

19 September, 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.

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.

12 September, 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.

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.

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.

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?

20 August, 2024

The Great Sell-Off: A Deeper Look at Wall Street’s Dramatic Fall

This August, America’s leading share indices tumbled in volatile trading just weeks after they scaled record highs, bringing about Wall Street’s worst day in almost two years. Nazed Mannan looked at what really took place.