Trades - Prediction

The BMLL Trades dataset for Prediction Markets is the definitive factual record of executed activity across all four CME prediction-market venues. It captures every print (including corrections, amendments and cancellations) and lines them up under a single normalised schema that matches BMLL Trades for futures and options.

Because the price of a binary contract is the implied probability of the outcome, each trade is also a direct observation of what real capital believed at that moment. That makes the Trades package the cleanest source of probability time-series data available in regulated US markets.

Product Overview

• Price, size and execution timestamp for every trade, on every event contract, every day
• Exchange trade-condition codes preserved alongside the normalised representation
• Amended and cancelled trades flagged and retained, with no silent rewrites of history
• Aggressor side identified using BMLL Level 3 order book reconstruction
• Settlement-date conventions handled for sports contracts (weekend prints arrive in the Monday file)
• Timestamps at or exceeding venue matching-engine precision (nanosecond or microsecond)

Example Use Cases

• Probability Signal Research — Treat the prints as a time series of implied probabilities. Calibrate models, study how priced probability drifts before macro releases, earnings windows, and sporting events.
• Cross-Asset Alpha — Compare the binary print path against the underlying CME futures (ES, NQ, CL, GC, BTC, EUR/USD) for lead-lag and dislocation signals.
• Event-Driven Backtesting — Build histories of Fed decisions, payrolls, CPI, earnings, sporting outcomes, all with regulated, exchange-grade prints.

Product description