Pan-European equity trading exchange operator Aquis Exchange is collaborating with BMLL, a provider of historical Level 3 data and analytics, to deliver liquidity analytics that will provide its members with insights into market structure dynamics.
Using BMLL’s granular Level 3 data and analytics, Aquis can now provide its members with third-party, independent verification on the availability of passive liquidity on its own venues versus other European exchanges. Through the collaboration, the exchange aims to unlock valuable trading opportunities for its members, increasing fill probabilities at a better rate and with minimum market impact.
“This is part of our long-term strategy to engage clients more with what we call execution consulting, looking at their trading dynamics, comparing their trading to their peer group – anonymously, obviously – and offering them data that will help them optimise their trading,” says David Stevens, Chief Revenue Officer of Aquis. “It’s all about enhancing client outcomes and proving the unique characteristics of the Aquis venue.”
BMLL provides full order book transparency by capturing all individual orders and messages from 65 venues across equities, ETFs and futures, and bringing the data together in one harmonised format. This data drives insights into a wide range of metrics, including order fill probability, order resting time, and order queue dynamics.
“By using BMLL Level 3 Data and advanced analytics we are now able to demonstrate to our members that Aquis offers superior trading outcomes for both passive and aggressive strategies,” says Stevens. “In addition, we are able to evidence our ability to consistently be present at the ‘European Best Bid and Offer’ (EBBO), regularly ranking in the top 2 across European exchanges.”
“Aquis is an incredibly modern exchange,” says Paul Humphrey, CEO of BMLL. “They recognise that their client base is getting more and more sophisticated by the day, and, as the level of sophistication grows, they have adopted a data-driven approach to satisfying their clients’ changing needs.”
Through the collaboration, BMLL provides Aquis with a toolkit that enables activity to be monitored not just on Aquis itself, but across all competitor exchanges where stocks are also listed. “That means they can deliver analytics to their clients and explain, in a consultative way, how to improve their performance,” says Humphrey. “And we’ve been working together over the last six months to determine which are the most appropriate metrics that Aquis can use to help their clients most.”
“This is very much a client-led initiative, developed in response to client demand,” adds Stevens. “And it’s a service that we are continuing to build up in collaboration with clients and in collaboration with BMLL. We view ourselves as a unique venue, but we also want to differentiate ourselves by our service orientation. So from a client perspective, this effort is only going to grow.”