Millisecond CBBO

The Millisecond Consolidated Best-Bid-Offer (CBBO) provides a complete view of historical pre-trade data across fragmented equity markets. Combining level 2 quotes data across all venues, the CBBO shows the top 10 price levels of a consolidated lit order book, aggregated by size.

Available for all equity markets across Europe, Japan, South Africa, and available soon for Australia and US odd-lots.

Use Cases:

Execution analysis and TCA - benchmark trades and executions against the best available liquidity in fragmented markets

Strategy and algo backtesting - understand the liquidity truly available across markets to better backtest trading strategies

Market Surveillance - contextualise order and trade behaviour with a complete view of all markets

What’s Included:

  • Historical Level 2 (Market by Price) feed, showing the top 10 price levels across all equity markets, including primary venues and all secondary lit markets, aggregated by price
  • Millisecond timestamps, derived directly from matching engine timestamps

  • Market data available from 2015 (venue dependent)

Access documentation and sample datasets

BMLL Millisecond CBBO Fact Sheet