Time series analytics at 30-minute and 1-minute frequencies, derived from BMLL Level 3 Data. Providing the most granular market view without capturing and processing full-depth order books.
- Market quality - compare venue quality across fragmented markets to optimise smart order routers and assess regulatory change
- Venue performance - understand venue liquidity over time to develop compliance models, execution algorithms, or to benchmark and compare exchanges
- Market microstructure - understand precisely how the market behaves to feed into market surveillance models or generate new sources of alpha
Coverage across Europe, the Americas and Asia
Analytics available from 2016 (venue dependent)
All daily analytics are deliverable via API/SFTP
Also available via the following BMLL partners:
Users can select over 300 analytics from 8 metric groups, or choose from any of our most popular metric bundles.