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bmll_auction_analysis_us

bmll_auction_analysis_us by BMLL Technologies

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.