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Level 2 Quotes
The BMLL Level 2 quotes dataset offers a tick-by-tick view of the order book, aggregated by price level with up to 10 levels of depth. It provides an in-depth understanding of historical market activity across global exchanges and asset classes, enabling users to make 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.
- Nanosecond or microsecond precision timestamps, based on order-matching engines.
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: API / S3 / SFTP / Snowflake
- Delivery partners: Factset