Level 1 Quotes - Futures

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

  • Implied prices identified where provided by the exchange, and the Implied contribution to BBO size is identified

  • 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)

Product Description

  • Asset Classes: Futures

  • Coverage: Americas, APAC and EMEA

  • Data available from: 2017

  • Delivery mechanisms: SFTP / S3 / Azure Storage / Snowflake

  • Available via: BMLL Data Feed and BMLL Data Lab
PDF Level 1 Quotes - Futures Data Schema
CSV Download BMLL L1 - Futures EMEA Sample Datasets
CSV Download BMLL L1 - Futures Americas Sample Datasets
CSV Download BMLL L1 - Futures APAC Sample Datasets