Data and analytics provider BMLL has launched Trades Plus, a new equities dataset designed to eliminate the complex and time-consuming process of combining trade and quote data, a significant and resource-intensive challenge for quantitative analysts and trading firms.
The new offering, developed in direct response to requests from its Client Product Advisory Board (CPAB), provides a single, analytics-ready dataset by enriching granular Level 1 trade data with historical order book information. The goal is to free up quantitative resources from data preparation and allow them to focus on generating alpha and improving execution quality.Previously, firms have had to undertake the laborious internal process of “stitching” together different data feeds—such as raw trade data and Level 3 order book data—to create a complete picture for transaction cost analysis (TCA), backtesting, and market impact analysis. BMLL aims to deliver this as an off-the-shelf product.
Speaking to TradingTech Insight, Dr. Elliot Banks, Chief Product Officer at BMLL, explains how Trades Plus moves beyond standard trade feeds.
“Our existing Level 1 trade data is already enriched with some information from our Level 3 data. For example, we can determine the aggressive side of an order because if an order was sitting on the bid, we know another order had to come and hit it,” Banks says. “What Trades Plus does is take this to the next level. We take all the trades data and combine it with the order book data to create a whole series of analytics fields. This might include identifying the aggressive side, the participant type – whether it was retail or another category – the EBBO, and the primary quote. Importantly, we then add pre- and post-trade midpoints. So, if you want to build a market impact curve or conduct a mark-out analysis, you have that in one dataset.”
The product’s creation was driven by the realisation that many of BMLL’s clients, from sovereign wealth funds to global asset managers, were all independently struggling with the same data engineering problem.
“It became apparent to us that a number of our customers, who had upgraded from other vendors to our higher-quality Level 1 data, were still facing a significant challenge,” recounts Paul Humphrey, CEO of BMLL. “At our Client Product Advisory Board (CPAB), the conversation revealed a common ‘headache.’ Clients explained that they still had to internally stitch our Level 1 data to other data feeds. It quickly became clear that all of them around the table were solving for the same problem internally. That was the lightbulb moment. If we created this product, which we’ve called Trades Plus, we could save them all, collectively, from going through this laborious process.”
By pre-calculating and combining these data points, BMLL argues it can dramatically reduce the time quants spend on data preparation. The focus can then shift from data wrangling to generating actionable intelligence.
“If I want to understand the market impact of my trades, assess different participant types, understand the impact of block trades, look at spread capture, or perform TCA analysis, it is all available from a single source,” explains Banks. “You don’t need to go to other places. You have one dataset that covers the process end-to-end, saving everyone time and effort. As a user, I can now focus on the value-add: What does that mark-out mean? How does it impact me? What do I need to do to tune my algorithm, select better brokers, or understand the impact of regulatory change? I can do that from a single, clean, ultra-high-quality, trusted dataset.”
BMLL clarifies that Trades Plus is a new, value-add analytics offering and not a replacement for the firm’s existing Level 1 or full-depth Level 3 order book data feeds, which clients use for other specific use cases. The new dataset is a purely historical, T+1 offering, consistent with the company’s existing product suite.
Humphrey concludes that the launch of Trades Plus is proof of the CPAB’s mission to create collaborative industry standards where firms don’t need to compete. “This is an industry first, where a group of clients explained their problems, realised it was a common issue, and we, BMLL, came up with a solution to solve it,” he says.
The Trades Plus dataset is available immediately for European markets via the BMLL Data Lab and Data Feed, with US data scheduled for release in early Q4 2025.
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