BMLL Data Feed

Understand the relationship between Closing Auction and Continuous Trading across the venues that matter to you.

Buy-side — enhance execution analysis with robust assessment of any Closing Algo

Sell-side — optimise your SOR to seek out the best auction outcome for your client flow

Exchanges — improve your market positioning by promoting the available liquidity and stability of your auction products over time


What’s Included:

  • Open, high, low close datasets
  • Daily & intraday TWAP & VWAP metrics
  • Auction imbalance and auction dislocation analytics


BMLL metrics are derived from every single insert, modify, execute or delete order message across every venue, available at daily and intraday resolution.

Derived from BMLL's harmonised Level 3 Data lake, this analytics bundle includes many more metrics on top of the short selection above. Get in touch to find out more about producing a custom Level 3 data bundle for your specific needs.

Experience the benefits of true Level 3 data.