Trades

BMLL Trades provides a complete trade-by-trade view of the market, capturing every trade across multiple execution venues and trading mechanisms (including OTC, dark, and continuous trading). By incorporating trade amendments, using the highest-granularity exchange timestamps, and providing consistent trade condition codes, the BMLL Trades product provides the most detailed view of historical trading activity available.

Use cases:

Buy-side - backtest strategies, generate alpha and perform TCA and execution analysis

Sell-side - backtest execution algorithms, improve smart order routers and demonstrate best execution

Exchanges -
analyse market share across fragmented venues and mechanisms

What’s Included:

  • A normalised view of trade information across all major European equity venues

  • MMT flags (where available) and exchange trade condition codes included

  • Nanosecond or microsecond precision timestamps, based on order-matching engines. Both time of trade and publication are included for delayed trade reporting

  • Amended or cancelled trades included

  • Aggressor side identified for lit trading using BMLL’s Level 3 order book data

  • Coverage includes all European primary and secondary markets plus trade reporting facilities, including off-book, conditional and periodic auction mechanisms

  • Data available from 2017 (venue dependent)

  • Delivered by SFTP / Snowflake (coming soon)

Access documentation and sample datasets