API and FTP delivery of the data
BMLL Data Feed

Book Depth Analytics

Gain granular insight into full order book behaviour and understand order interaction against global BBO benchmarks and beyond.

Buy-side — gain continuous insight from below Top of Book granular order book interaction to optimise trading strategy

Sell-side — enhance client order routing and client commentary with valuable insights from book depth analytics

Exchanges — optimise liquidity provision and increase market share with cross venue order book characteristics analytics


What’s Included:

  • BBO trade and order volumes
  • Daily and intra-day BID/ASK trade imbalance metrics
  • Full market depth liquidity volume and order imbalance datasets
  • Both volume weighted and time weighted spreads measured in absolute (ticks) and relative (bps) terms

 

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.