Trades - Futures

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 futures venues

• Linked Trades identified where supported by the venue (e.g. ASX24’s combinationTradeId

• Participant IDs included where provided by the venue

• Trades which originate from an implied order identified

• 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

Product Description

• Asset Classes: Futures

• Coverage: Americas, APAC and EMEA

• Data available from: 2017

• Delivery mechanisms: SFTP / S3 / Azure Storage / Snowflake

• ​​Available via: BMLL Data Feed and BMLL Data Lab