Level 1 Quotes
The BMLL Level 1 Quotes dataset provides a 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). Users gain a clear view of historical market activity at the top-of-the-order across global exchanges and asset classes.
Product Overview:
- Top of the order book, i.e. total volume available at the best price.
- Available tick-by-tick.
- Bid and ask prices, sizes and number of orders at the best price.
- BMLL Market State provides a normalised representation (of which there are 14 distinct values) of the trading phase the market is in, on a per-listing basis. Alongside this we present the exchange description to ensure maximum fidelity.
- Timestamps at or exceeding venue matching engine precision (nanosecond or microsecond).
Example Use Cases:
- Research
- Backtesting low/medium frequency trading strategies, execution algorithms and smart order routing rules
- Transaction cost analysis (TCA)
- Best execution reporting
- Contextualise the trading venue landscape by using a Level 1 feed
Product Description:
| Asset classes | Equities and ETFs |
| Coverage | EMEA, Americas and APAC |
| Data available from | 2013 |
| Delivery mechanism | Azure Storage/ S3 / SFTP / Snowflake/ Databricks |
| Available via | BMLL Data Feed and BMLL Data Lab |
