Daily Analytics

Daily time series analytics derived from BMLL Level 3 Data. The BMLL Data Feed provides the most granular view of the market, without having to capture and process full-depth order books.

Use Cases:

  • 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 how the market truly behaves to develop market surveillance models or generate new sources of alpha

What’s Included:

  • 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:

CloudQuant


Users can select over 300 analytics from 14 metric groups, or choose from our most popular metric bundles.


Access documentation and sample datasets

BMLL Daily Analytics Fact Sheet