BMLL Technologies, a cloud-based Capital Markets Data-Engineering-as-a-Service company, has launched a new Derived Data Service which enables market participants to consume bespoke metrics derived from the most granular message-by-message exchange data directly into their trading systems both at speed and at scale.
Level 3 (L3) data displays all the individual messages in the limit order book (LOB) and provides traders and researchers with unparalleled visibility into the workings of the market. These datasets are large and complex, so most firms don’t have the computing infrastructure to derive meaningful analytics from them. The technical challenges they face include too much noise in their data, non-normalised data sets across venues, complications with legacy infrastructure, severely constrained quant resource, and a lack of execution performance analytics tools.
Prior to the BMLL Derived Data offering, L3 data was only accessible to a handful of the most sophisticated trading firms, who spent millions of dollars to maintain an edge via data arbitrage.
The BMLL Technologies’ Derived Data Service delivers analytics on hard-to-access L3 data at speed and scale, in multiple delivery formats and directly to a firm’s production environment; this removes the need for customers to maintain a complex and costly computing environment to run these types of calculations in-house. BMLL’s Derived Data Service helps firms gain a competitive edge by optimising their trading strategies through increased levels of insights and transparency, improving performance while lowering execution costs. Typically, the BMLL Derived Data capability can process 225 billion messages in a matter of hours rather than days at a significantly reduced cost.
“Our goal is to democratise and broaden access to derived metrics and analytics from Level 3 data for market participants, their research and quant teams,” says Ben Collins (pictured), Head of Sales at BMLL Technologies. “We have already carried out the hugely complex engineering tasks necessary to integrate data, hardware and analytics into a single managed platform that operates both at scale and at speed. Our clients can outsource the processes of data curation, normalisation, and data engineering for derived data to us, allowing them to make more informed decisions and focus on alpha generation and execution efficiency.”
Designed in response to specific client requests, the BMLL Derived Data Service provides a collaborative framework for completely customisable time-series data sets and uses the most granular tick-by-tick data from primary equity and derivatives exchange, delivered in a range of market standard formats.
Elliot Banks, Chief Product Officer at BMLL Technologies, adds: “What is unique to the service is that public exchange data can be combined with a client’s private data to create bespoke derived data. This derived data can support decisions throughout the trade lifecycle, including pre-trade decisions, real-time feedback, and post-trade reporting. Built by world-class data scientists, the platform is flexible and scalable, allowing a client’s data strategy to be enhanced or accelerated at relatively low cost.”
