WHAT IS LEVEL 3 DATA?
BMLL historic data brings together full depth Level 3 Data from 75 venues, in 3 asset classes, in 1 harmonised format. BMLL Level 3 Data captures 6 years of every insert, modify, execute or delete order book message, available at a T+1 basis at tick level granularity.
BMLL clients harness the power of nano-second, message-by-message data, with unlimited cloud computing power and a full suite of analytics libraries. This fullest picture of market quality, liquidity and order book dynamics empowers clients to make better informed decisions on the markets they trade and the venues they run. They drive increased flow to their traders, back-test and launch new products, and generate alpha more predictably.
LEVEL 1 VS BMLL LEVEL 3
BMLL Level 3 Data provides full transparency of the order book, derived from every single insert, modify, execute or delete order message across every venue, available at daily and intra-day resolution. The behaviour of each individual order is available, including order fill probability, order resting time, order queue dynamics and predictive capabilities.
DATA SCIENCE AS A SERVICE
We provide packet capture Level 3 Data from 75+ venues across Equities, ETFs & Futures with no need for additional licences.
Our cloud engineering dramatically improves research and analysis performance, and enhances speed to output. There is no information loss due to a single harmonised data schema across all venues and asset classes, and our simple Python low-code environment means you can easily access the data and derive meaningful analytics.
The data engineering is done, so you can focus on your business.
75+ VENUES FROM 21 EXCHANGE GROUPS: EQUITIES, ETFS AND FUTURES
BMLL collects raw data from global exchanges, trading venues and trade reporting facilities covering Equities, Futures and ETFs. We harmonise this data into a consistent information-rich format consistent across all these and other venues.
HARMONISATION VS NORMALISATION
BMLL data delivers consistency, including all venue specific fields which are kept within the schema. All information is captured and harmonised into a single format. Quants are freed to spend 100% of their time on deriving actionable insights.
EQUITIES
BMLL Equities data captures the fullest picture of market quality, liquidity and order book dynamics. Create data packages to suit your needs or select analytics packages.
Suggested equities analytics bundles include Millisecond CBBO, Level 2 Quotes, Granular Trades, Daily Analytics and Intraday Analytics.
ETFs
With BMLL Level 3 Data, ETF issuers can better compete for asset allocation from investors and liquidity provision from market makers.
BMLL Level 3 Data provides key performance indicators of market makers, facilitates more flow to ETFs by highlighting performance vs peers, and helps identify venues where ETFs are trading well.
FUTURES
BMLL Futures data brings together full depth Level 3 Data from ICE, CME and Eurex in a harmonised format within a scalable compute environment.
BMLL Level 3 Futures data covers all 6 major futures asset classes: Equity indices, Fixed Income / Government Bonds, Short Term Interest Rates (STIRs), FX, Commodities and Digital Asset's.
No-code quant analytics tool
BMLL Vantage is an intuitive no-code visual application, bringing exceptional granular insight to all market participants by providing over 500 metrics derived from BMLL Level 3 Data, covering European, US and APAC Equity and ETF venues.
Scalable Python Research Sandbox
A scalable Python research environment which provides direct access to a harmonised data warehouse for sophisticated quants and researchers seeking actionable insight and alpha.
API and FTP delivery of the data and analytics
Data and analytics derived from Level 3 historic order books, providing insights to better inform trading decisions, delivered directly to your production systems.