API and FTP delivery of the data
BMLL Data Feed

Auction and Price

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.

Contact us to produce custom Level 3 data bundles to fit your specific needs.