Auction Imbalance
The BMLL Auction Imbalance dataset provides order-book imbalance data during the price discovery phase of venue opening and closing auctions leading up to the auctions execution phase (the cross). It allows for easy analysis of price formation during the auction period.
Product Overview:
- Includes imbalance side, and quantity, indicative and reference prices, and number of shares paired at the reference price
BMLL Market State provides a normalised representation (of which there are 14 distinct values) of the trading phase the market is in, on a per-listing basis. Alongside this we present the exchange description to ensure maximum fidelity.
Timestamps at or exceeding venue matching engine precision (nanosecond or microsecond)
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
