9 September, 2021
BMLL MARKET LENS: The View From The Feed

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.

Below are a selection of aggregate metrics used by BMLL clients to better understand the market. Contact us to find out more about how the BMLL Data Feed can supplement your market insight.

 

Quote to Trade: 

Chart
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.

 

TWA Spread:

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The time-weighted mean bid-ask spread of the day, given in basis points relative to the time-weighted mean mid-point price.

 

Volatility: 

Chart

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.

 

Auction Dislocation:

The absolute 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.

 

Notional Liquidity Around BBO:

ChartThe time weighted average notional up to 30bps away from the BBO, measured in Euros.

 

Fill Probability:

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The probability that an order placed at the 1st level of the book will be filled within 60 seconds.

 

Index sources are Cboe Indices for European indices, and Nasdaq 100 for US. 

Methodology:

  • Values are aggregated by using a weighted mean of the considered metric with the lit trade notional of that listing.
  • The Notional Liquidity has been converted to Euros from all other currencies. The conversion rate uses the daily rate published by the ECB.
  • The bars span from the 25th to the 75th percentile of the given quantity, also weighted by the lit trade notional.

 

Click here to request a demo of the BMLL Data Feed, get access to the BMLL metrics library or to find out how BMLL can enhance your data and analytics.

 

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