Putting the ‘buy’ into ‘build versus buy’
When Optiver undertook a new quantitative trading project several years ago, we quickly ran into a problem: Where to source the data? Quant strategies rely heavily on historical prices to detect patterns and identify and execute trades, making solid market data a must. But in Europe, where liquidity is fragmented across more than two dozen countries and exchanges, this data can be particularly challenging to collect.
This is the story of how Optiver became, first, customers of BMLL’s Level 3 historical data and, later on, investors. It’s also the story of how companies like BMLL, with the help of Optiver, are finally putting the ‘buy’ into the age-old ‘build versus buy’ question when it comes to historical market data.