6 January, 2022
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 is a selection of aggregated 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.

We use Cboe Indices for European Indices and the Nasdaq 100 for the US index. Across an index, the values are aggregated by using a weighted mean of the considered metric with the lit trade notional of that listing. The Notional Liquidity and Trade Notional has been converted to Euros from all other currencies. The conversion rate uses the daily rate published by the ECB. On each bar chart, the white whiskers span the 25th to the 75th percentile, also weighted by the lit trade notional, to show the distribution width.

 

Volatility

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 in a year.

December Volatility

TWA Spread

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

December Spreads

Quote to Trade

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.

December QuoteToTrade

Mean Resting Time

The mean time, in seconds, that an order placed at the 1st level of the book will sit on the book before being totally or partially filled.

December MeanRestingTime

Liquidity

The time weighted average notional amount up to 30 basis points around the BBO.

December LiquidityAroundBBO

Fill Probability

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

December FillProbability

Auction Dislocation

The 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.

December AuctionDislocation

 

 

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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