Level 2 Quotes
Derived directly from BMLL’s Level 3 Data, BMLL Level 2 Quotes is a market-leading Level 2 (Market by Price) dataset.
BMLL conducts industry-leading normalisation and harmonisation processes, ensuring the cleanest order book data for traders, quants and researchers across the capital markets.
Use Cases:
Buy-side - accelerate your research, backtesting, and transaction cost analysis (TCA) by using the highest quality consolidated data feed
Sell-side - backtest your execution algos and smart order routers using a greater depth of book. Demonstrate enhanced best execution to clients using ten levels of historical data
Exchanges - contextualise the trading venue landscape at depth by using a Level 2 feed
What’s Included:
Highly granular Level 2 tick history data (Market by Price) for 75+ equity venues
10 levels of market depth, aggregated by price, available tick-by-tick
Nanosecond or microsecond precision timestamps, based on order matching engines
Data available from 2013 (venue dependent)
Delivered by SFTP / Snowflake (coming soon)
Also available via the following BMLL partners: