BMLL Level 3 Analytics

Bringing unparalleled insight to South Africa capital markets.

Q: Do you know the typical size of auction location, and how it varies during up days and down days? Are you able to see the size executed in the closing auction relative to the day's volume?

Q: Do you have a clear view on how liquidity patterns change across stocks and on different days? Do you know liquidity around BBO profiles for individual stocks?

Q: Do you understand the complexities of trading outside of SA - e.g., in MiFID II environment? What are the different trading mechanisms beyond the lit venues and where can you find liquidity and price improvements?

As a market participant, you need this insight on the markets you trade. BMLL has created 3 data bundles specifically for South Africa market participants using 200 metrics derived from Level 3 data across JSE Main, AltX and A2X as well as every recognised exchange for dual-listing (ASX, LSE, NYSE, TSE, Nasdaq, ENXT AMS, ENXT BRU & SIX).

Now you can access:

  • Auction Analytics, showing any correlations between market direction and volatility in the pre-auction trading and theoretical close

  • South Africa Liquidity Analytics, providing a clear view of how liquidity patterns change across different stocks and venues over time

  • Cross-Listed Liquidity Analytics, delivering transparency into the complexities of trading South African stocks outside of South Africa, across Europe and US complex trading regimes

Market participants trading South African Equities and ETFs benefit from BMLLs' deep analytical data:

Market Share by Venue for Each Active ZA Instrument

Market Share by Trade Type for Each Active SA Instrument

Auction Analytics Data Bundle

Daily Classified Trades

Daily Classified Trades provides the clearest view of daily trading volumes across complex, fragmented markets. Aggregating multiple trading mechanisms, such as RFQ, periodic auctions and conditional trading, into a single consistent consolidated tape.

Daily Classified Trades maps every trade type across all equity exchanges, secondary markets and trade reporting facilities into a daily traded volume dataset. It contains consistent trade types and execution venues, identifies addressable liquidity and marks key regulatory thresholds such as European LIS.