Dataset
Documentation
Sample Dataset
Level 2 Quotes
- Description
- A tick-by-tick view of the order book, aggregated by price level with up to 10 levels of depth. It provides an in-depth understanding of historical market activity, enabling users to make more informed trading decisions.
- Format Available
SFTP
S3
Azure Storage
Snowflake
Level 3
- Description
- Every insert, modify, execute or delete order book message, available at a T+1 basis at tick level granularity.
- Format Available
S3
Azure Storage
Trades
- Description
- Trade by trade dataset, normalised across all venues
- Format Available
S3Â
SFTP
Azure Storage
Snowflake
Millisecond CBBO
- Description
- A millisecond view of the consolidated order book aggregated by price level with up to 10 levels of depth.
- Format Available
API
SFTPÂ
S3
Azure Storage
Snowflake
Daily Classified Trades
- Description
- Trade information across all equity exchanges, trade reporting facilities, MTFs and Approved Publication Arrangements (APAs) in a simple, normalised format aggregated daily per symbol. It provides a simplified view of trading volumes across multiple trading systems.
- Format Available
API
SFTP
S3
Azure Storage
Snowflake
Nasdaq Data Link
Deutsche Börse
Auction Imbalance
- Description
- The auction imbalance dataset offers data from a range of exchanges, allowing for easy analysis of price formation during the auction period.
- Format Available
SFTP
S3
Azure Storage
Snowflake
Market State
- Description
- The current trading status and the exchange's rules determine the specific value of the market trading phase, which is represented by a normalised numerical value with 14 possible options.
- Format Available
SFTP
S3
Azure Storage
Snowflake
National Best Bid Offer (NBBO)
- Description
- Tick-by-tick view of the order book, aggregated by price level. It provides an in-depth understanding of historical market activity across global exchanges and asset classes (where supported), enabling users to analyse activity to make more informed trading decisions.
- Format Available
API
SFTP
S3
Azure Storage
Snowflake
Daily Reference
- Description
- Comprehensive list of reference data for all instruments available within the BMLL universe. It is updated daily and allows users to easily identify specific securities in other BMLL Data Feed products.
- Format Available
SFTP
S3
Azure Storage
Snowflake
Daily Analytics
- Description
- Daily metrics derived from level 3 order and trades data. It provide detailed insight and understanding of the full depth orderbook, without having to directly pull, manage and query petabytes of level 3 data.
- Format Available
API
SFTP
S3
Azure Storage
Snowflake