BMLL is the leading, independent provider of harmonised, historical Level 3 data and analytics across global equity and futures markets.
BMLL provides historical Level 3 data and analytics to the world's most sophisticated capital market participants. BMLL clients, including banks, brokers, asset managers, hedge funds and global exchanges, can access BMLL's order book data and analytics enabling them to derive predictive insights, backtest strategies to generate alpha and gain an understanding of how markets behave.
Available Datasets:
| bmll_auction_analysis_eu | BMLL Auction Analysis EuroStoxx 600 - Auction analysis – Get insight about the behavior of the closing auction. A |
| bmll_auction_analysis_us | BMLL Auction Analysis Russell 3000 - Auction analysis – Get insight about the behavior of the closing auction. |
| bmll_execution_market_impact_eu | BMLL Execution Market Impact EuroStoxx 600 - Market impact due to the execution of individual orders (rather than parent orders) |
| bmll_execution_market_impact_us | BMLL Execution Market Impact Russell 3000 - Market impact due to the execution of individual orders (rather than parent orders) |
| bmll_liquidation_cost_eu | BMLL Liquidity Cost Analytics EuroStoxx 600 - Understand the cost of executing a trade aggressively on the book. Metrics covered: Trade imabalance, Sweep to Fill. Understand and view addressable single & multi-instrument liquidity analytics and performance across all lit markets, dark pools and OTC venues. |
| bmll_liquidation_cost_us | BMLL Liquidity Cost Analytics Russell 3000 - Understand the cost of executing a trade aggressively on the book. Metrics covered: Trade imabalance, Sweep to Fill. Understand and view addressable single & multi-instrument liquidity analytics and performance across all lit markets, dark pools and OTC venues. |
| bmll_liquidity_around_bbo_eu | BMLL Liquidity Around BBO EuroStoxx 600 - Statistics around the depth of the order book, separated by side. Includes the number of orders, volumes and value within numbers of levels and bps of BBO. Understand and view addressable single & multi-instrument liquidity analytics and performance across all lit markets, dark pools and OTC venues. |
| bmll_liquidity_around_bbo_us | BMLL Liquidity Around BBO Russell 3000 - Statistics around the depth of the order book, separated by side. Includes the number of orders, volumes and value within numbers of levels and bps of BBO . Understand and view addressable single & multi-instrument liquidity analytics and performance across all lit markets, dark pools and OTC venues. |
| bmll_liquidity_classification_eu | BMLL Liquidity Analytics EuroStoxx 600 - A simple breakdown of traded volumes into 4 easy buckets – lit addressable / dark/grey liquidity, non- accessible and non-addressable liquidity. Understand and view addressable single & multi-instrument liquidity analytics and performance across all lit markets, dark pools and OTC venues. |
| bmll_liquidity_classification_us | BMLL Liquidity Analytics Russell 3000 - A simple breakdown of traded volumes into 4 easy buckets – lit addressable / dark/grey liquidity, non- accessible and non-addressable liquidity. Understand and view addressable single & multi-instrument liquidity analytics and performance across all lit markets, dark pools and OTC venues. |
| bmll_ohlc_bars_analytics_eu | BMLL Final Executed and Midprice for Open High Low and Close OHLC - EuroStoxx 600 |
| bmll_ohlc_bars_analytics_us | BMLL Final Executed and Midprice for Open High Low and Close OHLC - Russell 3000 |
| bmll_order_fill_behaviour_ebbo_eu | BMLL Understand how individual orders are behaving on the order book. Metrics include Fil Probability, Mean Resting Time. Use the most granular Level 3 historical ‘market dynamic’ datasets available to identify critical market characteristics during venue selection processes - EBBO EuroStoxx 600 |
| bmll_order_fill_behaviour_non_ebbo_eu | BMLL Understand how individual orders are behaving on the order book. Metrics include Fil Probability, Mean Resting Time. Use the most granular Level 3 historical ‘market dynamic’ datasets available to identify critical market characteristics during venue selection processes - Non EBBO EuroStoxx 600 |
| bmll_order_fill_behaviour_non_ebbo_us | BMLL Understand how individual orders are behaving on the order book. Metrics include Fil Probability, Mean Resting Time. Use the most granular Level 3 historical ‘market dynamic’ datasets available to identify critical market characteristics during venue selection processes - Non EBBO Russell 3000. |
| bmll_order_placement_statistics_eu | BMLL Order Placement Statistics EuroStoxx 600 |
| bmll_order_placement_statistics_us | BMLL Order Placement Statistics Russell 3000 |
| bmll_spread_metrics_eu | BMLL Different measures of the spread at the top of the order book EuroStoxx 600 A |
| bmll_spread_metrics_us | BMLL L3 spread metrics are derived from every single insert, modify, execute or delete order message across every venue, available on a T+1 basis at daily and intraday resolution. |
| bmll_trade_prices_eu | BMLL Trade Prices - Daily VWAP and TWAP Prices - EuroStoxx 600 |
| bmll_trade_prices_us | BMLL Trade Prices - Daily VWAP and TWAP Daily Prices - Russell 3000 |
| bmll_trade_quality_ebbo_eu | BMLL Trade Quality EBBO - Ratio of quotes to trades - EuroStoxx 600 |
| bmll_trade_quality_non_ebbo_eu | BMLL Trade Quality Non EBBO - Ratio of quotes to trades - EuroStoxx 600 |
| bmll_trade_quality_non_ebbo_us | BMLL Trade Quality Non EBBO - Ratio of quotes to trades - Russell 3000 |
| bmll_venue_price_quality_eu | BMLL Venue Quality Insights EuroStoxx 600 - Optimise venue choice by assessing execution venue quality based on full market depth and quality insights. Statistics to compare the relative performance of best prices on different venues, including time at EBBO, and joiner and setter metrics. Currently only available for European datasets. |
| bmll_volatility_eu | BMLL Volatility Analytics - Measure of the intraday volatility per stock on a daily basis, using 1 minute returns - EuroStoxx 600 |
| bmll_volatility_us | BMLL Volatility Analytics - Measure of the intraday volatility per stock on a daily basis, using 1 minute returns - Russell 3000 |