Dataset Name: bmll_auction_analysis_us
Group: market_data
Vendor: BMLL Technologies
Data Starts at: 2016-01-01 00:00:00
Data Currently Ends at: ongoing, contact sales for full data set.
Symbol Set: US Equities
Asset Class: Equity
BMLL Auction Analysis Russell 3000 - Auction analysis – Get insight about the behavior of the closing auction.
About BMLL
BMLL is the leading, independent provider of harmonised, historical Level 3 data and analytics across global equity and futures markets.
BMLL provides historical Level 3 data and analytics to the world’s most sophisticated capital market participants. BMLL clients, including banks, brokers, asset managers, hedge funds and global exchanges, can access BMLL’s order book data and analytics enabling them to derive predictive insights, backtest strategies to generate alpha and gain an understanding of how markets behave.
Data Contained in this Dataset
| Column | Type | Description |
|---|---|---|
| _seq | uint | Internal sequence number used to keep data rows in order |
| timestamp | string | Timestamp of the Data - America/New York Time. |
| muts | uint64 | Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps. (underlying field is nc_publish_date_actual) |
| symbol | string | Trading Symbol or Ticker |
| Date | string | Date of calculated values. |
| MIC | string | ISO Market Identifier Code for the Exchange. ISO 10383, ISO 20022. ie XXXX, XNYS, PINX, XNAS, Null, XLON, XBOM, NEOE, XFRA, XPAR, XTKS, BVMF, XTSX, XTSE, XKRX, XKLS, XASX, XMIC, XCNQ, XJSE, |
| ISIN | string | International Securities Identification Number. An international code which identifies a securities issue |
| FIGI | string | FIGI ID. The FIGI code (https://www.openfigi.com) that identifies the stock across related exchanges in the same country. |
| DisplayName | string | Display Name for BMLL object. |
| ListingId | string | BMLL identifier for a listing. This corresponds to an order book on a given day. |
| InstrumentId | string | BMLL identifier for an instrument. This corresponds to a group of listings that trade for the same fungible instrument. |
| CurrencyCode | string | ISO Currency Code |
| IsAlive | string | Boolean flag indicating whether a particular listing is active or delisted. |
| AuctionDislocation|Closing1m | double | The change (in basis points) between the mid-point price 1 minute prior to the end of continuous trading and the closing price of the auction on the Regulated Market. |
| AuctionDislocation|Closing5m | double | The change (in basis points) between the mid-point price 5 minutes prior to the end of continuous trading and the closing price of the auction on the Regulated Market. |
| AuctionDislocation|ClosingLast | double | The change (in basis points) between the last mid-point price during continuous trading and the closing price of the auction on the Regulated Market. |
| AuctionOrderImbalance|Abs | double | The excess volume after the closing auction that stays on the book after the auction execution. This is the volume of bid orders at the crossing price minus the volume of ask orders at the crossing price. |
| AuctionOrderImbalance|Notional | double | The excess notional volume after the closing auction that stays on the book after the auction execution. This is the notional volume of bid orders at the crossing price minus the notional volume of ask orders at the crossing price. |
| AuctionOrderImbalance|PercentageADV | double | The excess volume after the closing auction that stays on the book after the auction execution as a percentage of volume traded over the day. This is the volume of bid orders at the crossing price minus the volume of ask orders at the crossing price. |
| AuctionOrderImbalance|PercentageAuction | double | The excess volume after the closing auction that stays on the book after the auction execution as a percentage of volume traded during the auction. This is the volume of bid orders at the crossing price minus the volume of ask orders at the crossing price. |
Important Dataset Notes
This dataset is not available for direct online purchase. Please contact sales directly at sales@CloudQuant.com. The data is available through our normal sales department who can provide you with current pricing and a quote for accessing this valuable dataset. This may be due to a number of reasons such as dataset intended use, size of the company (or investment fund) using the dataset, or for simple legal requirements that CloudQuant needs to ensure are in place prior to licensing the dataset to you.