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Millisecond CBBO

The Millisecond Consolidated Best-Bid-Offer (CBBO) dataset 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.

The Millisecond CBBO dataset is available for all equity markets across Europe, Japan, South Africa, and available soon for Australia and US odd-lots.

Product Overview:

  • 10 levels of market depth, aggregated by price, including primary venues and all secondary lit markets.
  • Bid and ask prices, sizes and number of orders.
  • Original place of listing included.
  • Millisecond timestamps, derived directly from matching engine timestamps.

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, Japan and South Africa
  • Data available from: 2015
  • Delivery mechanism: API / S3 / SFTP / Snowflake

Documentation and Sample datasets: