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Asset Class
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Data Type
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Region
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Delivery Mechanism
Level 3
The BMLL Level 3 dataset offers an order by order view of the order book. Showing every single update to the order book, it provides an in-depth understanding of the historical market activity, enabling users to make more informed trading decisions.
Product Overview
Every order update in the order book for the entire day
Executions and orders joined together, to see precisely how each order has evolved
Normalised market state codes
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 every order in the book. Demonstrate enhanced best execution to clients using full depth level 3 data
- Exchanges - contextualise the trading venue landscape at depth by using order level dynamics
- Market surveillance - see every order behaviour and use it to detect spurious trading patterns
Product Description
- Asset Classes: Equities and ETFs
- Coverage: Americas, APAC and EMEA
- Data available from: 2013
- Delivery mechanisms: S3
- Available via: BMLL Data Feed and BMLL Data Lab