BMLL Trades Plus
BMLL Trades Plus is a powerful, enriched historical dataset that goes beyond raw trade records to deliver deep execution insights. By combining granular trade data with BMLL’s level 3 insights and quote based analytics, Trades Plus saves you coding effort and computation time with data you can use immediately to accelerate your research.
- Unlock execution intelligence – Benchmark trades against best execution standards (e.g. arrival price, VWAP), calculate quote-driven analytics such as spread capture, price improvement, and build out pre and post-trade markouts to analyse adverse impact trends.
- See every trade in context – Filter trades using enriched classifications and flags (e.g. identify hidden/dark, aggressor side, odd-lot, block, retail trades, MMT fields), analyse addressable volume consistently using BMLL’s normalised trade classifications globally across complex, fragmented markets.
- Gain a complete picture – One easy-to-use table combining disparate datasets, such as data from the US consolidated tape (SIP) alongside proprietary data from each US venue feed. Quickly compare order book analytics or attributes for trades on an individual venue (BBO) versus the region-specific tape e.g. NBBO, CBBO.
Combined global trades and analytics dataset
BMLL Trades Plus takes your analysis further, transforming trade records into actionable intelligence for producing detailed transaction cost analysis (TCA), developing trading strategies, and identifying liquidity provision opportunities.
- Buy-Side – Manage TCA and best execution reporting at scale, calculating execution performance against the trading venue BBO or relevant regional consolidated tape. Evaluate block trading and participant type concentration across trading venues.
- Sell-Side – Optimise algos and SORs with lit vs dark heat maps and track liquidity fragmentation. Analyse price trajectories and impact of adverse selection using markouts based upon clock and volume-based intervals, the latter normalising for liquidity characteristics across stocks and ‘ticking’ on transacted volume.
- Exchanges – Monitor liquidity trends, changes in fee structures, and discover opportunities for the provision of unique liquidity, understand the competitive landscape, assess execution quality and benchmark market share across venues, mechanisms and order books.
Powered by the Global Leader in Level 3 Data
Global Coverage: All trades across global exchanges (primary and secondary markets) and trade reporting facilities in a simple, normalised format.
Fully Normalised: Consistent normalisation for market state messages enables fast, seamless cross-venue analysis. Leverage nanosecond timestamp granularity and trade amendments for accuracy and consistency.
- Deep History: Trade data from 2014. Please refer to our market data coverage page for more details.
- Delivery mechanism: API / S3 / SFTP / Snowflake
- Available via: BMLL Data Feed, BMLL Data Lab
| Data Feature | Industry Standard Trades | BMLL Trades | BMLL Trades Plus |
| Trade-by-trade data | ✅ | ✅ | ✅ |
| Amendments & cancellations | ✅ | ✅ | ✅ |
| High-precision timestamps | ✅ | ✅ | ✅ |
| MMT flags & exchange condition codes | - | ✅ | ✅ |
| Aggressor side identification sourced from level 3 | - | ✅ | ✅ |
| Trade classifications (e.g. dark above LIS, auctions) | - | - | ✅ |
| Trade flags (e.g. retail, block, odd-lot) | - | - | ✅ |
| Order book analytics (e.g. spread capture, clock & volume-based marks-outs, price improvement) | - | - | ✅ |
| Participant type & broker IDs | - | - | ✅ |
