Daily Analytics
The BMLL Data Feed: Daily Analytics provides daily metrics derived from level 3 order and trades data. It provides detailed insight and understanding of the full depth orderbook, whilst freeing users from the need to obtain, manage and query petabytes of level 3 data.
Product Overview:
Daily time series analytics are calculated and derived from Quotes and Trades data.
Users can analyse and assess price, liquidity and order book characteristics across markets, exchanges and instruments.
Example Use Cases:
- Buy-Side - understand market behaviour to develop new trading strategies and conduct execution analysis.
- Sell-Side - compare venue quality across fragmented markets to optimise smart order routers and assess regulatory change.
- Exchanges - conduct effective analysis by understanding the evolution of order book performance.
Product Description:
- Asset Classes: Equities and ETFs
- Coverage: EMEA, North America and APAC
- Data available from: 2016
- Delivery mechanism: API / Azure Storage / S3 / SFTP / Snowflake
- Delivery partners: CloudQuant
- Available via: BMLL Data Feed and BMLL Data Lab
