Level 3 Data - the only way to analyse and understand how markets truly behave
Level 1
Level 2
Level 3
Level 3+
Level 1

T+1 Simple Data

— Best bid and offer plus trades
— Captured from real-time data

Simple Trades

— Midpoint price
— Addressable traded volume
— Average spread

Level 2

T+1 Deeper Insight

— Order book aggregated by price plus trades

Aggregated Orderbook

— Average execution cost
— Average liquidity away from midpoint

Level 3

Full Transparency

— Full order book with all individual orders and messages

Individual Orders Behaviour

— Order fill probability
— Order resting time
— Order queue dynamics
— Predictive capabilities

BMLL Level 3+

Full Predictability

— Full order book mapped to private data

Private Participant Behaviour

— Participant market impact
— Participant fill rate
— Participant order resting time
— Participant specific predictive insight