NEWS, INSIGHT AND EVENTS
IEX’s Ronan Ryan and John Ramsay talk with BMLL’s Paul Humphrey and Dr Elliot Banks in Ep. 72 ‘What’s historical data anyway?’.
BMLL Vantage democratises access to Level 3 order book data and analytics through an intuitive visualisation tool, thereby removing the need to code in order to derive meaningful insights.
Using BMLL Data, Phil Mackintosh, Chief Economist, Nasdaq, examines how the system of round lots and 1-cent ticks in the U.S. creates inefficiency as stock prices rise and fall.
Using BMLL Data, Phil Mackintosh, Chief Economist, Nasdaq, analyses 'Average Spread at Notional Depth' when comparing Nasdaq and NYSE market quality.
Using BMLL data, SIX highlights the trade-off between fill probability and adverse selection utilising Order Book Imbalance (OBI) state and a Crumbling Quote Signal (CQS).
Using BMLL Data, Euronext runs cross-venue market quality analyses to demonstrate how its venues perform compared to its peers.
This study - using BMLL data - aims to provide an insight into the structure of the main order books in which Spanish securities are traded. Some metrics such as ‘fill probability’ represent the interaction between aggressive and passive orders.
Kepler Cheuvreux works with BMLL to boost its order book analytics and improve algo performance. The collaboration will free up Kepler’s quant researchers to spend more time on research and less time on data management.
Using BMLL Data, Euronext provides analysis comparing the market quality metrics in 2020 during the first wave of the Covid-19 outbreak and the recent market turmoil in 2022 caused by the Ukraine-Russia crisis.
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