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  • Asset Class
  • Data Type
  • Region
  • Delivery Mechanism

Intraday Analytics

Time series analytics, at 30-minute and 1-minute frequencies, are derived from BMLL Level 3 Data. Intraday Analytics provide the most granular market analytics without capturing and processing full-depth order book data.

Product Overview:

  • Intraday analytics are calculated and derived from BMLL Quotes and Trades data.
  • Users can analyse and assess price, liquidity and order book characteristics across markets, exchanges and instruments.

Use Cases:

  • Buy-side - understand market behaviour to develop new trading strategies and conduct execution analysis.
  • Sell-side - compare venue quality across fragmented markets to optimise smart order routers and assess regulatory change.
  • Exchanges - understand venue liquidity over time to benchmark and compare exchanges.

Product Description:

  • Asset Classes: Equities and ETFs
  • Coverage: EMEA, North America and APAC
  • Data available from: 2016
  • Delivery mechanism: API / SFTP
  • Delivery partners: CloudQuant

Documentation and Sample datasets: