NEWS, INSIGHT AND EVENTS
9 June, 2022
Aggregated metrics to better understand the market
A selection of 7 aggregated metrics to better understand the market, including Volatility, TWA Spread, Quote to Trade, Mean Resting Time, Notional Liquidity Around BBO, Fill Probability and Auction Dislocation.
7 June, 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.
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.
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.
23 March, 2022
Drivers and effects of Stock Market fragmentation - insights on SME stocks
Using the BMLL Data Lab, academics at Goethe University Frankfurt examined the effects of market fragmentation on trading and market quality of small and medium enterprise (SME) stocks.
9 March, 2022
Level 3 insights - European and US trading landscapes: how they compare and contrast
Understanding the key differences in fragmentation, regulation and market microstructure between the US and European equities & ETFs markets improves decision making for global market participants.