BMLL Market Lens: The View From The Feed | Sector Metrics Edition
By combining the precision and transparency of Cboe Europe Indices with the granularity of BMLL Level 3 Data, market participants can easily carry out detailed sector, regional or market cap analysis to make the most informed decisions.
Using Cboe Europe Indices, below is a selection of aggregated metrics which demonstrate the difference in the behaviour of specific sectors, including Consumer Services, Energy, Finance, Technology and Utilities.
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The standard deviation of the log returns of the mid-price of the lit order book on a venue during continuous trading, Using a sampling frequency of 1 minute. The volatility is annualised assuming a standard 8.5 hours in a trading day and 252 trading days in a year.
The time weighted mean bid-ask spread of the day, given in basis points relation to the time-weighted mean mid-point price.
Quote to Trade
The ratio of quotes to trades. The number of quotes is calculated as the number of messages which did not signify an order execution. The number of trades is calculated as the number of aggressive executions, where simultaneous partial executions of a single order are counted as a single trade.
Mean Resting Time
The mean time, in seconds, that an order placed at the 1st level of the book will sit on the book before being totally or partially filled.
The time weighted average notional amount up to 30 basis points around the BBO.
The probability that an order placed at the 1st level of the book will be filled within 60 seconds.
The change (in basis points) between the mid-point price 1 minute prior to the end of continuous trading and the closing price of the auction on the Regulated Market.
The BMLL Data Feed is an API feed containing over 400 market metrics derived from the full Level 3 order book, including every single insert, modify, execute or delete order message across every venue, available at daily and intraday resolution.
All venues where Cboe Indices list have been considered when calculating these metrics. The values are aggregated by using a weighted mean of the considered metric with the lit trade notional of that listing. On each bar chart, the white whiskers span the 25th to the 75th percentile, also weighted by the lit trade notional, to show the distribution width.
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