Level 2 Quotes (Market-by-Price)
The BMLL Level 2 quotes dataset provides a tick-by-tick view into the depth of the market, providing, aggregated volume of buy and sell orders at up to 10 price levels. Often referred to as Market-by-Price data, it provides insight into the supply and demand dynamics for an instrument more accurately than Level 1 (Best Bid & Offer) data, and allows users to better assess a stock's liquidity, and potential support and resistance zones, enabling more informed trading decisions.
Product Overview:
- 10 levels of market depth, aggregated by price.
- Available tick-by-tick.
- Bid and ask prices, sizes and number of orders.
- 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:
Buy-side - accelerate research, backtesting, and transaction cost analysis (TCA) by using the highest quality consolidated data feed
Sell-side - backtest execution algos and smart order routers using a greater depth of book. Demonstrate enhanced best execution to clients using ten levels of historical data
- Exchanges - contextualise the trading venue landscape at depth by using a Level 2 feed
Product Description:
- Asset Classes: Equities and ETFs
- Coverage: EMEA, Americas and APAC
- Data available from: 2013
- Delivery mechanisms: Azure Storage / S3 / SFTP / Snowflake
- Delivery partners: Factset
- Available via: BMLL Data Feed and BMLL Data Lab
