Level 1 Quotes

Derived directly from BMLL’s Level 3 Data, BMLL Level 1 Quotes is a market-leading Level 1 dataset.

BMLL conducts industry-leading normalisation and harmonisation processes, ensuring the cleanest order book data for traders, quants and researchers across the capital markets.

Use Cases:

Buy-side - accelerate your research, backtesting, and transaction cost analysis (TCA) by using the highest quality consolidated data feed

Sell-side - backtest your execution algos and smart order routers. Demonstrate best execution to clients using historical data based on the top of the order book

Exchanges - contextualise the trading venue landscape by using a Level 1 feed

What’s Included:

  • Highly granular Level 1 tick history data for 75+ equity venues

  • Top of order book, aggregated by price, available tick-by-tick

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

  • Nanosecond or microsecond precision timestamps, based on order matching engines

  • Data available from 2013 (venue dependent)

  • Delivered by Flat File

Access documentation and sample datasets