Dataset
Documentation
Sample Dataset
Level 1 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

API

SFTP (Parquet)

Snowflake

Level 2 Quotes (Market-by-Price)
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 (Market-by-Order)
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

BMLL Trades Plus
Description
Enriched historical dataset that goes beyond raw trade records to deliver deep execution insights. By combining granular trade data with BMLL’s level 3 insights and analytics, Trades Plus saves you coding effort and computation time with data you can use immediately to accelerate your research.
Format Available

S3

SFTP

Azure Storage

Snowflake

Trades
Description
Trade by trade dataset, normalised across all venues
Format Available

S3 

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

SFTP 

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 provides 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

Level 1 Quotes - Futures
Description
Tick-by-tick view of the best available prices in the market at a given time in the past. It represents the "top of the order book" and is often referred to as the Best Bid and Offer (BBO).
Format Available

Azure Storage

SFTP 

S3

Snowflake

Level 2 Quotes (Market by Price) - Futures
Description
Tick-by-tick view into the depth of the market, providing, aggregated volume of buy and sell orders at up to 10 price levels
Format Available

Azure Storage

SFTP 

S3 

Snowflake

Level 3 (Market-by-Order) - Futures
Description
Level 3 dataset delivers PCAP-level detail without the engineering effort. The dataset is the most granular and comprehensive normalised market data feed available allowing deep market microstructure analysis and is essential for the most sophisticated market participants.
Format Available

Azure Storage

SFTP

S3

Snowflake

Trades - Futures
Description
Granular, chronological record of every single trade that has been executed in the market for a given instrument, available across multiple execution venues and trading mechanisms, including on and off exchange, lit and dark liquidity sources
Format Available

Azure Storage

SFTP

S3

Snowflake

Market State - Futures
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

Azure Storage

SFTP

S3

Snowflake

Daily Reference - Futures
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

Azure Storage

SFTP

S3

Snowflake

Daily Future Statistics
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

Azure Storage

SFTP

S3

Snowflake