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.

Use Cases:

Buy-side - understand addressable liquidity to better navigate trading conditions

Sell-side - analyse market structure to improve execution performance and optimise smart order routers

Exchanges - track regulatory changes, monitor peers and analyse market share across multiple execution venues and trading mechanisms

What’s Included:

  • A normalised view of all trades across every venue, aggregated daily by venue and trading mechanism

  • Corrections, amendments and cancellations incorporated

  • 21 trading mechanisms across 42 markets covering 800,000+ listings

  • Coverage includes all BMLL Equities venues

  • Market data available from 2017 (venue dependent)

  • Delivery mechanism: REST API / Python SDK / SFTP / Snowflake


Trade Classifications definitions

ClassificationDescription
Lit ContinuousStandard on-book continuous trading with pre-trade transparency (includes icebergs with visible parts)
Lit Opening AuctionTrade occurring during the lit trade auction
Lit Intraday AuctionTrade occurring during a scheduled intraday auction
Lit Closing AuctionTrade occurring during the closing auction
Auction On DemandTrade occurring in a periodic auction
Closing PriceTrade occurring on a venue using a mechanism that warranties closing price
Post Trade UncrossingAuction occurring after the close (CBOE 3C)
Dark Below LISTrade occurring on a dark venue or fully hidden order with a size smaller than LIS
Dark Above LISTrade occurring on a dark venue or fully hidden order with a size larger than LIS
Dark Conditional Below LISInferred dark volume with a quantity below LIS executed on a hybrid mechanism such as Turquoise UNCROSS+ Turquoise Block Discovery
Dark Conditional Above LISInferred dark volume with a quantity above LIS executed on a hybrid mechanism such as Turquoise UNCROSS+ Turquoise Block Discovery
Request For Quote Below LISTrade occurring on a request for quote venue with a size smaller than LIS
Request For Quote Above LISTrade occurring on a request for quote venue with a size larger than LIS
Off Book On ExchangeOff-book trades occurring on the exchange
SI Addressable Below LISAny trade executed on a systematic internaliser where liquidity was classified addressable and size was below LIS
SI Addressable Above LISAny trade executed on a systematic internaliser where liquidity was classified addressable and size was above LIS
SI Non-Addressable Below LISAny trade executed on a systematic internaliser where liquidity was classified non-addressable and size was below LIS
SI Non-Addressable Above LISAny trade executed on a systematic internaliser where liquidity was classified non-addressable and size was above LIS
Benchmark PriceOTC trades with an MMT BENC flag set on
Special PriceOTC trade classified as a SPECIAL_PRICE in BMLL Normalisation (non-price forming trades, dividends, physical delivery)
OTCVanilla OTC trades occurring off-venues

Find out more:

BMLL Market Lens: European Liquidity Maps

BMLL Market Lens: US Liquidity Maps


Access to documentation and datasets here