Level 2 Quotes (Market-by-Price) - Prediction

The BMLL Level 2 Quotes dataset for Prediction Markets provides a tick-by-tick view into the depth of the order book, aggregated by price up to ten levels on each side. Often called Market-by-Price data, Level 2 reveals how supply and demand sits behind the top of book: how thick the probability surface is at each price level, and how that thickness shifts as the event approaches.

BMLL Level 2 for prediction markets uses the Options Data Feed schema with level suffixes from 1 to 10. Where no order exists at a given level, the price field is a float NaN rather than a Parquet null. That is a small but important detail for raw-Parquet consumers and a flag worth raising in technical conversations.

Product Overview

• Up to 10 levels of aggregated depth on each side, tick by tick
• Price, size and number of orders at each level
• Schema fields use 1–10 level suffixes consistent with the BMLL Options Data Feed
• Missing price levels represented as float NaN (not Parquet null), important for raw-Parquet consumers
• Market State joined in for every quote record
• Timestamps at or exceeding venue matching-engine precision (nanosecond or microsecond)

Example Use Cases

• Quant Research — Study the probability surface: how depth sits around the consensus, how it shifts before scheduled events, how it thins around settlement.
• Sell-Side & Brokers — Backtest execution algorithms against realistic resting liquidity for clients trading event contracts.
• Market Structure Analysis — Compare resting depth across MICs to understand where institutional flow concentrates within the CME prediction venues.

Product description