Level 2 Quotes

Derived directly from BMLL’s Level 3 Data, BMLL Level 2 Quotes is a market-leading Level 2 (Market by Price) 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 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

What’s Included:

  • Highly granular Level 2 tick history data (Market by Price) for 75+ equity venues

  • 10 levels of market depth, 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)

Also available via the following BMLL partners:

FactSet


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