Bayesian Machine Learning on the Limit Order Book

Access to the historical limit order book for all global liquid securities at L3 resolution along with associated metadata. This AMI contains the interface to this AWS hosted multi-petabyte dataset, along with the software framework required to perform analysis on it. This framework integrates use of big-data tools and applies a world-leading machine learning library designed at Cambridge and MIT universities. The library allows limit order books to be represented as a probabilistic graphical model, enabling pattern recognition at massive scale. Additionally, the library is implemented... Read more


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    Delivery Method

    Software as a Service (Read more)



    Highlights

    • Unparalleled access to the limit order book
    • Scalable to hundreds of thousands of processing cores
    • Massive economies of scale along with significant time savings

    Product Description

    Access to the historical limit order book for all global liquid securities at L3 resolution along with associated metadata. This AMI contains the interface to this AWS hosted multi-petabyte dataset, along with the software framework required to perform analysis on it. This framework integrates use of big-data tools and applies a world-leading machine learning library designed at Cambridge and MIT universities. The library allows limit order books to be represented as a probabilistic graphical model, enabling pattern recognition at massive scale. Additionally, the library is implemented to provide "off the shelf"algorithms for functionality such as iceberg order detection, implied order generation, market impact minimization, book imbalance metrics and labelling orders with unique user IDs.

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    Support Details

    Support available 24 hours a day

    http://www.bmlltech.com

    Refund Policy

    We do not support refunds, but you can cancel at any time.

    Pricing Details

    From $10 per user per hour + (AWS and data and 3rd party software charges.)

    Recent Product Reviews

    11/05/2014

    Impressive, but still under development

    I am a quant in a French investment bank and handle limit order book data on a daily basis, using it...

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