Intraday Analytics

Time series analytics at 30-minute and 1-minute frequencies, derived from BMLL Level 3 Data. Providing the most granular market view without capturing and processing full-depth order books.

Use Cases:

  • Market quality - compare venue quality across fragmented markets to optimise smart order routers and assess regulatory change
  • Venue performance - understand venue liquidity over time to develop compliance models, execution algorithms, or to benchmark and compare exchanges
  • Market microstructure - understand precisely how the market behaves to feed into market surveillance models or generate new sources of alpha

What’s Included:

  • Coverage across Europe, the Americas and Asia

  • Analytics available from 2016 (venue dependent)

  • All daily analytics are deliverable via API / SFTP

Also available via the following BMLL partners:

CloudQuant


Users can select over 300 analytics from 8 metric groups, or choose from any of our most popular metric bundles.


Access documentation and sample datasets

BMLL Intraday Analytics