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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 the US (incl. odd-lots), Europe, Japan, South Africa, and available soon globally.
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.
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: US (incl. odd-lots), Europe, Japan and South Africa
- Data available from: 2015
- Delivery mechanism: API / S3 / SFTP / Snowflake
- Available via: BMLL Data Feed and BMLL Data Lab