BMLL marks move into fixed income with Level 3 futures data

Dan Barnes

BMLL, a provider of historical Level 3 data and analytics, has expanded its product offering to include global futures, now available as asset class packages. BMLL reports its ‘Level 3 Futures Data’ product brings together full-depth order book data for major futures asset classes in a harmonised format within a scalable compute environment.

This is designed to help brokers, asset managers, hedge funds, futures commission merchants (FCMs) and software vendors to accelerate their speed and quality of output by spending less time gathering, organising and cleaning data, and more time deriving predictive insights and backtesting strategies to generate alpha more predictably.

Futures datasets can be large, complex, and highly interconnected and so gaining meaningful insight from beyond the top of the order book can requires significant computational workloads.

BMLL’s scalable compute environment is built to simplify working with this data set, allowing researchers to tackle large scale research queries quickly more and efficiently.

Most futures contracts traded on a single venue typically have comparable and connected contracts on other exchanges. The BMLL data warehouse is designed to let quants analyse full-depth order book data for all major futures asset classes from the CME, Eurex and ICE venues in a single harmonised format. This potentially opens up the ability to do complex, Level 3 Data analysis at scale across venues and markets. This analysis includes the ability to conduct simulations such as model calibrations and testing of latency curves and market impact to define optimal order size and placement in a fully configurable framework.

BMLL Level 3 Futures Data covers major futures asset classes, including:
• Equity Indices Futures: more predictive alpha from across Equity Index Futures (main, mini and micro) and underlying equities & ETFs can be generated in a single harmonised format;
• Government Bond Futures: trading strategies in the major government bond contracts across all three major exchanges can be analysed and tested;
• Short-Term Interest Rate Futures: predictability of fills can be enhanced through the unparalleled queue dynamics within BMLL Level 3 Data;
• Commodities Futures: research and analysis of benchmark spread strategies can be improved at the most granular level across all exchanges;
• Digital Assets Futures: analysis of how Crypto Futures and ETFs are impacting the cash markets by uploading private data;
• FX Futures: FX hedging strategies can be optimised through improved venue and contract selection as well as key market quality and impact metrics.

Paul Humphrey, CEO, BMLL Technologies.

Paul Humphrey, CEO, BMLL Technologies, said, “Packaging our futures product is a natural evolution to our core equities offering. As major trends such as the LIBOR transition and the explosion in retail trading in the futures environment take centre stage, the ability to analyse these complex and diverse data sets is vital. Because we harmonise Level 3 Futures Data into a readily usable format, our clients can profit from unparalleled predictability at their fingertips.”

Elliot Banks, CPO, BMLL Technologies.

Elliot Banks, CPO, BMLL Technologies, added, “The sheer size of the futures market requires a scalable, cloud based platform that can provide the insight and analytics needed for the ever increasing data demands of market participants. Our customers, regardless of size, can leverage the BMLL Data Lab to run analyses on specific futures packages. With our harmonised data and the BMLL Data Lab, they can now look at multiple years of trading history on CME, Eurex and ICE in a consistent format, and they can quickly and easily test strategies.”

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