Level 3 (Market-by-Order) - Prediction

The BMLL Level 3 dataset for Prediction Markets is the most granular view available of CME Event Contracts. It carries every single order message (insert, modify, execute and cancel) for every event contract on every trading day across XCBT, XCEC, XCME and XNYM. Each order carries a unique identifier, so analysts can track its full lifecycle from posting to fill or cancellation.

Level 3 is the foundation that the rest of the prediction-markets feed derives from. Level 1 and Level 2 are built from it; Trades inherit their aggressor classification from it; Statistics are reconciled against it. For clients doing market-microstructure research, queue-position analysis or fill-probability modelling on prediction markets, this is the only fidelity that supports the work.

BMLL delivers the equivalent of CME's MDP 3.0 PCAP data without the parsing effort. The raw feed is decoded, normalised and harmonised against the same schema BMLL uses for the rest of its options and futures data.

Product Overview

• Every order insertion, update, execution and cancellation, captured order by order
• Unique order IDs allow precise tracking of every order's lifecycle
• Executions joined to their originating orders, showing exactly how each order resolved
• Aggressor side derived directly from the order book for every trade
• Exchange sequence numbers preserved, supporting full deterministic replay of the order book
• Normalised against the BMLL Options Data Feed schema (consistent with futures and options)
• Timestamps at or exceeding venue matching-engine precision (nanosecond or microsecond)

Example Use Cases

• Market Microstructure Research — Order queue dynamics, fill probability, cancellation patterns and informed-flow detection on a binary, probability-priced order book.
• Probability Surface Reconstruction — Rebuild the full strike ladder of any underlying at any moment. The strike ladder is an implied CDF for the underlying outcome.
• Execution Research — Backtest smart-order routers and execution logic against the precise state of the book at every event time.
• Surveillance — Detect spurious order patterns and reconstruct precise market state for any regulatory enquiry.

Product description