Level 2 Quotes (Market by Price) - Futures

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

  • Implied prices identified where provided by the exchange, and the Implied contribution to each price levels 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 2 Quotes - Futures Data Schema
CSV Download BMLL L2 - Futures EMEA Sample Datasets
CSV Download BMLL L2 - Futures Americas Sample Datasets
CSV Download BMLL L2 - Futures APAC Sample Datasets