BMLL Adds Global Futures Data

Data and analytics provider BMLL has extended its offering with the availability of global futures data as an asset class package.

The new product brings together full-depth order book data for all major futures asset classes in a harmonised format within a scalable compute environment, the company says, adding this allows users to accelerate their speed and quality of output by spending less time gathering, organising and cleaning data, and more time deriving predictive insights and back test strategies to generate alpha more predictably.

The BMLL data warehouse allows quants to analyse full-depth order book data for all major futures asset classes from the CME, Eurex and ICE venues in a single harmonised format. This opens up the ability to do complex, level 3 data analysis at scale across venues and markets. This analysis includes the ability to conduct simulations such as model calibrations and testing of latency curves and market impact to define optimal order size and placement in a fully configurable framework.

The new data covers FX, equity, government bond, shirt term interest rate, commodities and digitial assets futures.

“Packaging our futures product is a natural evolution to our core equities offering,” says Paul Humphrey, CEO, BMLL Technologies. “As major trends such as the Libor transition and the explosion in retail trading in the futures environment take centre stage, the ability to analyse these complex and diverse data sets is vital. Because we harmonise level 3 futures data into a readily usable format, our clients can profit from unparalleled predictability at their fingertips.”

Dr Elliot Banks, CPO, BMLL Technologies, adds, “The sheer size of the futures market requires a scalable, cloud based platform that can provide the insight and analytics needed for the ever increasing data demands of market participants. Our customers, regardless of size, can leverage the BMLL Data Lab to run analyses on specific futures packages. With our harmonised data and the BMLL Data Lab, they can now look at multiple years of trading history on CME, Eurex and ICE in a consistent format, and they can quickly and easily test strategies.”