Bayesian Machine Learning on the Limit Order Book
- Sold by: BMLL Technologies
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)
Support
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.
Resources
Support Details
Support available 24 hours a day
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...
