Futures Data Overview

BMLL Level 3 Futures Data brings together full depth level 3 data from ICE, CME and Eurex in a harmonised format within a scalable compute environment. Accelerating the speed and quality of output for researchers, quants and traders, helping them go beyond the top of the orderbook to solve meaningful quantitative research problems. 

SCALE

The BMLL Data Lab allows users to scale their compute power to quickly and efficiently derive predictive insight without needing a complex data science environment. Whatever asset class you are trading, you need an environment that will scale with research needs and deliver unprecedented results.



DATA

Enhance the depth of your research and derive more predictive insight by measuring how implied orders, rolls, spreads and outrights are all interlinked. Analyse the interplay between the different contract's order books at the most granular level in a simple, easy to use format. Leverage the predictability of Level 3 analytics vs. using a Level 1 or Level 2 metric to get better alpha and execute your trades better. 



HARMONISATION

BMLL Level 3 Futures Data is harmonised into a single multi-venue format that enables quants and traders to easily analyse the competitive and complementary contracts across exchanges. Accelerate your speed to output by not rebuilding your code each time you trial a new contract or market. ICE, CME & Eurex are all formatted into the same format as our Equities & ETFs data allowing your researchers to combine these into their research needs. 



SIMULATION

Upload your private data to munge with BMLL's Level 3 Futures Data, calibrate your model and define your latency curves & market impact. Back-test the simulation and define optimal order size and placement, analyse temporary vs. permanent market impact. Schedule the daily calibration and deploy the new features into your production systems.



UPLOAD

Upload your private data onto the BMLL Data Lab and munge it with BMLL Level 3 Futures Data to analyse the full picture of your trading landscape. Spend more time deriving alpha and less time munging data with our nanosecond precision timestamps. Get predictive insights quicker by analysing cash, futures and ETF data in a single harmonised Level 3 format.



LEVEL 3 DATA AT YOUR FINGERTIPS: WATCH NOW

 

QUICKLY AND EASILY TEST STRATEGIES: WATCH NOW