BMLL Tech’s order book data for US stocks goes back 5 years

BMLL Technologies announced that five years of granular, Level 3 order book data is now available to its US customer base and European funds trading US stocks. Having five years of Level 3 data means firms have the ability to look beyond what happened in the market over the last 18 months and analyze long term cycles and trends, backtest their trading strategies and improve their decision-making.

Paul Humphrey, CEO of BMLL Technologies, said in a statement: “The race for speed is over and the industry is waking up to the predictive power of historic data. We all understand the value of pre-trade or real-time data and the costs associated with it. But predictability only comes from a deep understanding of how the market behaves; it comes from historic Level 3 order book data that includes every single order sent to an exchange over the last five years, the fill probability as well as average resting time of an order.”

Python-native quants can access BMLL’s Data Lab, the data science platform, or via API or FTP delivery straight into users’ research and production systems. The immediate outcome of using BMLL’s Data Lab and Data Feed is that data scientists no longer need to spend 80% of their time cleaning and harmonizing the data.

Elliot Banks, chief product officer, of BMLL Technologies, said in a statement: “The primary use for our data is to find alternative sources of alpha generation. Having five years of Level 3 data means you have the ability to look beyond what happened in the market over the last 18 months. You can analyse long term cycles and trends, back test your strategies and look at the decision making processes that every market participant made to actually trade. That is absolutely critical if you want to find inferences and go beyond the top of the order book.”

Read the full release

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