Trades
The BMLL Trades dataset provides the definitive factual record of past trading activity. It is a granular, chronological record of every single trade that has been executed in the market for a given instrument, available across multiple execution venues and trading mechanisms, including on and off exchange, lit and dark liquidity sources. By incorporating trade amendments, high-granularity timestamps, and consistent trade condition codes, the BMLL Trades dataset provides the most detailed view of historical trading activity available.
The core content of trade data includes:
Timestamp: The precise time the trade occurred, often with microsecond or nanosecond precision.
Ticker Symbol: The identifier for the security traded.
Trade Price: The price at which the trade was executed.
- Trade Volume: The number of shares or contracts exchanged.
Product Overview:
Price, volume and time of execution and publication for every trade in a given market
Exchange trade condition codes, and MMT flags (where available) included
A normalised view of trade information across all major equity venues
BMLL Market State provides a normalised representation (of which there are 14 distinct values) of the trading phase the market is in, on a per-listing basis. Alongside this we present the exchange description to ensure maximum fidelity.
Timestamps at or exceeding venue matching engine precision (nanosecond or microsecond)
Amended or cancelled trades included
Aggressor side identified for lit trading using BMLL Level 3 order book data
Example Use Cases:
Buy-side - backtest strategies, perform TCA and execution analysis, and generate alpha
Sell-side - backtest execution algorithms, improve smart order routers and demonstrate best execution, track liquidity fragmentation and remain informed of changes to market structure.
Exchanges - analyse market share across fragmented venues and mechanisms.
Product Description:
Asset Classes: Equities, ETFs and Futures
Coverage: Americas, APAC and EMEA
Data available from: 2017
- Delivery mechanisms: Azure Storage / S3 / SFTP / Snowflake
- Available via: BMLL Data Feed and BMLL Data Lab
