Level 3 (Market-by-Order)
The BMLL Level 3 dataset delivers PCAP-level detail without the engineering effort. The dataset is the most granular and comprehensive normalised market data feed available. It provides the full, disaggregated depth of the order book, showing every individual order on the book and, crucially, all subsequent messages related to the order, such as executions, modifications, and cancellations. Level 3 data allows for deep market microstructure analysis and is essential for the most sophisticated market participants. Analysts can study order queue dynamics, fill probability, and the trading strategies of other anonymous participants.
Product Overview:
All order details, including the price, size, and side of the order
Every order insertion, update and cancellation in the order book for the entire day
Executions and orders joined together to see precisely how each order has evolved.
Unique Order IDs provide an identifier for every order placed in the market.
A globally normalised data schema including market state and trade condition codes
Timestamps at or exceeding venue matching engine precision (nanosecond or microsecond)
Exchange sequence numbers, allowing for the precise replay of every order book
Example Use Cases:
- Buy-side - accelerate research and trading strategy backtesting, 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, ETFs and Futures
- Coverage: Americas, APAC and EMEA
- Data available from: 2013
- Delivery mechanisms: S3 / Azure Storage
- Available via: BMLL Data Feed and BMLL Data Lab
