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  • Asset Class
  • Data Type
  • Region
  • Delivery Mechanism

Daily Analytics

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

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.

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 / SFTP
  • Delivery partners: CloudQuant

Documentation and Sample datasets: