The Millisecond Consolidated Best-Bid-Offer (CBBO) provides a complete view of historical pre-trade data across fragmented equity markets. Combining level 2 quotes data across all venues, the CBBO shows the top 10 price levels of a consolidated lit order book, aggregated by size.
Available for all equity markets across Europe, Japan, South Africa, and available soon for Australia and US odd-lots.
Execution analysis and TCA - benchmark trades and executions against the best available liquidity in fragmented markets
Strategy and algo backtesting - understand the liquidity truly available across markets to better backtest trading strategies
Market Surveillance - contextualise order and trade behaviour with a complete view of all markets
- Historical Level 2 (Market by Price) feed, showing the top 10 price levels across all equity markets, including primary venues and all secondary lit markets, aggregated by price
Millisecond timestamps, derived directly from matching engine timestamps
Market data available from 2015 (venue dependent)
Delivered by API / SFTP / Snowflake (coming soon)