Millisecond CBBO
The BMLL Millisecond Consolidated Best Bid and Offer (CBBO) dataset offers a millisecond granularity view of the regional order book, aggregated by price level, with up to 10 levels of depth. It allows market participants to understand how markets behave in a specific region and how much liquidity is available to market participants.
The Millisecond CBBO dataset is available for all equity markets across Europe, Japan, South Africa and it will be available soon for Australia and US odd-lots.
Product Overview:
Top 10 price levels aggregated by price across all equity markets in a given region
Includes primary and secondary lit markets considered in the same condition as the primary (i.e. same currency, opol and regulatory framework).
Millisecond granularity
Timestamps at or exceeding venue matching engine precision (nanosecond or microsecond)
Example Use Cases:
- Buy-side - understand liquidity across markets to benchmark brokers and backtest trading strategies.
- Sell-Side - benchmark executions against the best available liquidity in fragmented markets.
- Exchanges - contextualise order behaviour with a complete view of all lit market quotes.
Product Description:
- Asset Classes: Equities and ETFs
- Coverage: Europe
- Data available from: 2015
- Delivery mechanism: API / Azure Storage / S3 / SFTP / Snowflake
- Available via: BMLL Data Feed and BMLL Data Lab
