BMLL Technologies Limit Order Book Analytics

Analytics on a global, multi-asset class, deep-history, multi-petabyte limit order book data set

Technical solution validated by AWS

BMLL Technologies Limit Order Book Analytics can be rapidly deployed on AWS

Investment firms are increasingly required to make and justify decisions based on empirical data science. In order to stay competitive, they need to ensure this is done using the most relevant data sets, while exploiting the latest advances in statistical science.

BMLL Technologies provides a web-based platform that combines a global, multi-asset class, multi-petabyte limit order book data set with a Jupyter and Python front end. Limit Order Book Analytics is driven by scalable Spark clusters with a range of advanced analytics based on machine learning.

BMLL Technologies is an APN Advanced Technology Partner and has achieved AWS Financial Services Competency. Competency Partners have industry expertise, solutions that align with AWS architectural best practices, and staff with AWS certifications.

Solution highlights

Utilize Limit Order Book Analytics for a series of applications

Core platform: API access to a curated object store through a logical data model combined with scalable computing power and value-add analytical toolboxes

Order execution: Transaction cost analysis driven by machine learning provides actionable intelligence, including broker recommendations, counter-signaling, and trade timing

Market abuse and trade surveillance: An application delivered to the desktops of compliance officers and traders that allows them to detect manipulative patterns in their own order flows as well as the wider market, while ensuring that fills lie within user-defined tolerances

Limit order book simulation: A distributed simulation and back testing environment for aggressive and passive orders allowing for transaction costs and market impact with advanced features, including synthetic data generation for a limit order book based on a feature space from historical data to enable trade execution based on reinforcement learning

BMLL solution architecture

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