Daily Classified Trades
Daily Classified Trades provides the clearest view of daily trading volumes across complex, fragmented markets. Aggregating multiple trading mechanisms, such as RFQ, periodic auctions and conditional trading, into a single consistent consolidated tape.
Daily Classified Trades maps every trade type across all equity exchanges, secondary markets and trade reporting facilities into a daily traded volume dataset. It contains consistent trade types and execution venues, identifies addressable liquidity and marks key regulatory thresholds such as European LIS.
Use Cases:
Buy-side - understand addressable liquidity to better navigate trading conditions
Sell-side - analyse market structure to improve execution performance and optimise smart order routers
Exchanges - track regulatory changes, monitor peers and analyse market share across multiple execution venues and trading mechanisms
What’s Included:
A normalised view of all trades across every venue, aggregated daily by venue and trading mechanism
Corrections, amendments and cancellations incorporated
21 trading mechanisms across 42 markets covering 800,000+ listings
Coverage includes all BMLL Equities venues
Market data available from 2017 (venue dependent)
Delivery mechanism: REST API / Python SDK / SFTP / Snowflake
Trade Classifications definitions
| Classification | Description | |
| Lit Continuous | Standard on-book continuous trading with pretrade transparency (includes icebergs with visible parts) | |
| Lit Opening Auction | Trade occuring during the lit opening auction | |
| Lit Intraday Auction | Trade occurring during a scheduled intraday auction | |
| Lit Unscheduled Auction | Trade occurring during an unscheduled intraday auction | |
| Lit Closing Auction | Trade occurring during the closing auction | |
| Auction On Demand | Trade occurring in a periodic auction | |
| Closing Price | Trade occurring on a venue using a mechanism that fixes to the official close price | |
| Post Trade Uncrossing | Auction occurring after the close (CBOE 3C) | |
| Dark Below LIS | Trade occurring on a dark venue or fully hidden order with a size smaller than LIS | |
| Dark Above LIS | Trade occurring on a dark venue or hidden order with a size larger than LIS | |
| Dark Conditional Below LIS | Inferred dark volume with quantity below LIS executed on hybrid mechanism such as Turquoise UNCROSS+ Turquoise Block Discovery | |
| Dark Conditional Above LIS | Inferred dark volume with quantity above LIS executed on hybrid mechanism such as Turquoise UNCROSS+ Turquoise Block Discovery | |
| Request For Quote Below LIS | Trade occurring on a request for quote venue with a size smaller than LIS | |
| Request For Quote Above LIS | Trade occurring on a request for quote venue with a size larger than LIS | |
| Off Book On Exchange | Off book trades occurring on the exchange | |
| SI Addressable Below LIS | Any trade executed on a systematic internaliser where liquidity was classified addressable and size was below LIS | |
| SI Addressable Above LIS | Any trade executed on a systematic internaliser where liquidity was classified addressable and size was above LIS | |
| SI Non-Addressable Below LIS | Any trade executed on a systematic internaliser where liquidity was classified non-addressable and size was below LIS | |
| SI Non-Addressable Above LIS | Any trade executed on a systematic internaliser where liquidity was classified non-addressable and size was above LIS | |
| Benchmark Price | OTC trades with a MMT BENC flag set on, or that occur fixed with a benchmark price | |
| Special Price | OTC trade classified as a SPECIAL_PRICE in BMLL Normalisation (non-price forming trades, dividends, physical delivery) | |
| Over the Counter (OTC) | Vanilla OTC trades occurring off-venues |
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