API and FTP delivery of the data
BMLL Data Feed

Venue Quality

Optimise venue choice by assessing execution venue quality based on full market depth and quality insights.

Buy-side — use the best order book data available to derive execution quality metrics that can fully assess your ongoing venue selection process

Sell-side — provide transparent commentary to your customers on how to best optimise smart order routing decisions to take advantage of the best price and liquidity available across all venues at any point in time

Exchanges — improve liquidity provision for order book with peer venue execution quality analysis


What’s Included:

  • Time at BBO metrics
  • Exclusive time at BBO metrics
  • BBO setter, lagger and joiner metrics
  • Mean resting times for orders that are later cancelled, fully or partially filled
  • Fill probability for quotes posted on each of the first 5 book levels
  • Quote to trade ratio
  • Market impact

 

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.