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Asset Class
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Data Type
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Region
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Delivery Mechanism
Auction Imbalance
The auction imbalance dataset offers data from a range of exchanges, allowing for easy analysis of price formation during the auction period.
Product Overview:
- Upstream exchanges provide harmonised auction imbalance messages, which are included as we receive them.
Example Use Cases:
- Buy-side - Strategy backtesting, alpha generation.
- Sell-side - Algo wheel optimisation, Market microstructure analysis.
- Exchanges - Market microstructure analysis.
Product Description:
- Asset Classes: Equities and ETFs
- Coverage: EMEA, Americas and APAC
- Data available from: 2017
- Delivery mechanisms: Azure Storage / S3 / SFTP / Snowflake
- Available via: BMLL Data Feed and BMLL Data Lab