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European Historical Consolidated Tape (EHCT)

The European Historical Consolidated Tape (EHCT) provides a Millisecond Consolidated Best-Bid-Offer (CBBO) dataset and every trade, delivering a complete view of historical pre and post trade data across the European equity markets. Combining level 2 quotes data across all lit exchanges and MTFs, the EHCT shows the top 10 price levels of a consolidated lit order book, aggregated by size, as well as every trade across European exchanges, MTFs and APAs.

Product Overview:

  • 10 levels of market depth, aggregated by price, including primary venues and all secondary lit markets.

  • Bid and ask prices, sizes and number of orders.

  • Millisecond timestamps, derived directly from matching engine timestamps.

  • All trades across Lit Exchanges, MTFs and APAs, with exchange timestamps, consistent normalisation and complete MMT flags (where available), and exchange trade condition codes included.

  • Reference data providing clear linking of securities across multiple exchanges.

  • A normalised view of trade information across all major European equity venues.

  • Nanosecond or microsecond precision timestamps for trades.

  • Time of trade and publication are included for delayed trade reporting.

  • Amended or cancelled trades included.

  • Aggressor side identified for lit trading using BMLL Level 3 order book data.

Millisecond Consolidated Best-Bid-Offer (CBBO) data includes a complete view of historical pre-trade data across fragmented equity markets. Combining level 2 quotes data across all venues, the CBBO shows the top 10 price levels of a consolidated lit order book, aggregated by size. The Millisecond CBBO dataset is available for all equity markets across Europe.

Trades data contains a trade-by-trade view of the market, across multiple execution venues and trading mechanisms (including on and off exchange, lit and dark liquidity sources e.g. OTC, SIs and Dark). By incorporating trade amendments, high-granularity timestamps, and consistent trade condition codes, the Trades dataset provides the most detailed view of historical trading activity available.

Use Cases:

  • Buy-side - understand liquidity across markets to benchmark brokers and backtest trading strategies, perform TCA and execution analysis, and generate alpha.
  • Sell-Side - benchmark executions against the best available liquidity in fragmented markets, backtest execution algorithms, improve smart order routers and demonstrate best execution, track liquidity fragmentation and remain informed of changes to market structure.
  • Exchanges - contextualise order behaviour with a complete view of all lit market quotes, analyse market share across fragmented venues and mechanisms.

Product Description:

  • Asset Classes: Equities and ETFs
  • Coverage: Europe
  • Data available from: 2017
  • Delivery mechanism: API / S3 / SFTP / Snowflake