News, Insight and Events

3 May, 2023

Do you know where your VWAP curve is? A glimpse of the shifting volume profiles in the US before and after the pandemic

During the lockdown period of the pandemic, from March 2020 to February 2022, Investors were more dependent on the morning trading hours, including the open and the hour following. In this article, we looked at the changing landscape of volume curves in the top 500 stocks by market capitalization in the US markets for three periods.

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26 April, 2023

Data & Analytics: The building blocks for differentiation

In the recent Data & Analytics Race webinar moderated by The TRADE, we explored how historical data helps firms gain deeper insights across the trade lifecycle to deploy more sophisticated strategies and gain a trading advantage.

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31 March, 2023

Rolling with the punches | How granular insights enable participants to reduce the cost of trading during the roll

To explore the impact of the roll period, we use the BMLL Data Lab to analyse 45 pairs of WTI outright futures contracts across four years. By comparing Level 1 with Level 3 metrics, we demonstrate how Level 3 metrics provide earlier warnings when rolling occurs in the order book.

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23 March, 2023

Examining the Impact of Increased Market Volatility on US Treasury Bond Trading

In the wake of the collapse of several major US banks, including Silicon Valley Bank (SVB), bond futures markets saw increased activity across March 2023, using BMLL Futures Data, we examine how treasury bond future contracts were impacted.

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7 March, 2023

South African markets embark on a fragmentation journey

Dr Elliot Banks, Chief Product Officer, BMLL, discusses the South African market, fragmentation, and how granular data is essential for institutional investors in navigating the close.

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7 March, 2023

Case Study - Berenberg’s TIA, The Next Frontier in Execution Analysis

Jason Rand, Global Head of Electronic Trading, Berenberg, discusses how democratising access to quantitative execution analytics and data visualisations leads to better trading outcomes for participants.

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24 February, 2023

Speaker Interview: Dr Elliot Banks, Chief Product Officer, BMLL talks with Quant Strats

An exclusive speaker interview ahead of Quant Strats 2023 with Dr Elliot Banks, Chief Product Officer, BMLL where he discusses the biggest challenges facing data scientists in 2023, and how funds can get new systematic strategies into production quickly.

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1 February, 2023

Level 3 data: A portfolio manager’s key to liquidity risk measure in times of uncertainty

Amid challenging and volatile markets and negative stock performance in 2022, how can portfolio managers control portfolio liquidity risk effectively and maximise the returns from these investment decisions?

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18 November, 2022

European and US Trading Landscapes: A deeper look at how market microstructure has changed in 2022

This article analyses the differences between US and European microstructure through the lens of key topics in 2022, and examines their impact on market share, auction volumes, tick sizes and fragmentation.

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30 September, 2022

The impact of the LIBOR to SOFR transition on liquidity pockets

How traders can find the best liquidity throughout the complex: the phasing out of LIBOR is having a major impact on futures contracts previously referenced to that rate. We are taking a closer look at how this affects Eurodollar futures.

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18 May, 2022

Geopolitical events strain wheat futures market microstructure - taking a deeper look

Market conditions remain highly volatile. This is to be expected during such unprecedented market conditions, but different asset classes are affected in different ways. Here we examine what is happening in the order book for CME wheat futures.

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20 April, 2022

Inside the SIP and the microstructure of odd-lot quotes

This article examines the potential impact of recent SEC proposals through the use of Level 3 market data, which provides deep and important insights into the way markets and specific securities are trading across venues.

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