EuroCTP
The official EU equity & ETF consolidated tape - sourced, structured and delivered by BMLL
Product Overview:
EuroCTP is the European Union's official, ESMA-authorised Consolidated Tape Provider for shares and ETFs, established under the MiFIR review to end two decades of fragmented European market data. Operating a single-consolidator model for a five-year term, EuroCTP collects pre- and post-trade data from more than 130 trading venues and Approved Publication Arrangements (APAs) across the EU and consolidates it into one standardised, real-time feed — including, for the first time, an official European Best Bid and Offer (EBBO). EuroCTP began distributing data on 14 September 2026.
BMLL will give clients direct access to the full historical record of EuroCTP's official consolidated output, structured into four core datasets — Trades, Imbalance, EBBO and Market State — normalised to BMLL's standard schemas.
- The complete historical archive of EuroCTP's official consolidated tape output for EU shares and ETFs, growing daily from go-live.
- Four structured datasets spanning the full lifecycle of consolidated tape information: pre-trade reference pricing, trade-by-trade activity, auction imbalance and instrument state.
- Consistent identifiers and normalisation, enabling direct linking between EuroCTP's consolidated records and BMLL's Level 3 order book, reference and analytics data for cross-referencing and backtesting.
- An independent, queryable historical archive suited to research, TCA, compliance and model validation — distinct from EuroCTP's own real-time distribution.
The Four Datasets
Trades - a trade-by-trade record of every transaction reported into EuroCTP by its ~130 contributing venues and APAs, standardised onto a single trade schema. Includes venue-attributed timestamps, price, volume, trade condition flags and consistent identifiers, giving one authoritative view of on- and off-book EU equity and ETF trading activity as published on the official tape.
Imbalance (EFBA + EBAP) - auction imbalance information as published into the consolidated tape ahead of opening, closing and intraday auctions, capturing the EFBA (European Frequent Batch Auctions) and EBAP (European Best Auction Price) fields as defined in EuroCTP's published schema. Gives users visibility into the supply/demand imbalance building on each contributing venue's order book ahead of the uncrossing price and volume.
EBBO - the official European Best Bid and Offer computed by EuroCTP — a single, regulator-mandated pre-trade reference price consolidating the best bid and offer, by price and size, across all contributing lit venues in real time. Archived historically by BMLL, it provides the EU's first equivalent of the US NBBO and the benchmark against which execution quality and market fragmentation can be measured.
Market State (Instrument Status + OMS) - combines venue- and instrument-level trading status (e.g. halts, suspensions, auction phases, opening and closing states) with order/market session state (OMS) information published by contributing venues, giving the market-state context needed to correctly interpret trades, quotes and imbalance data at any point in the trading day.
Use Cases:
Consolidated best-execution benchmarking - Replaces in-house EBBO reconstruction across dozens of European venues with one normalized BMLL feed, supporting MiFIR consolidated-tape-driven best-execution obligations.
Cross-venue TCA - Benchmark individual venue fills against the pan-European consolidated price, rather than a single reference venue.
Infrastructure cost reduction - BMLL and Exegy have already parsed EuroCTP's multicast PCAP feed into a defined schema (EBBO / Trades / Imbalance), removing the need to build a consolidated-tape ingestion pipeline in-house.
Product Description:
- Asset Classes: Equities and ETFs
- Coverage: Europe
- Data available from: September 2026
- Delivery mechanism: API / S3 / SFTP / Snowflake / Databricks / BMLL Data Lab
