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bmll_book_depth_analytics by BMLL Technologies

Dataset Name: bmll_book_depth_analytics

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 and European Equities
Asset Class: Equity
Data Update Frequency: day

BMLL Book Depth Analytics

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

Contains data points such as;

  • 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) term

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
MIC string MIC
ISIN string ISIN
FIGI string FIGI
DisplayName string DisplayName
OrderImbalance|TWARaw1 double OrderImbalance|TWARaw1
OrderImbalance|TWARaw2 double OrderImbalance|TWARaw2
OrderImbalance|TWARaw5 double OrderImbalance|TWARaw5
OrderImbalance|TWANormCount1 double OrderImbalance|TWANormCount1
OrderImbalance|TWANormCount2 double OrderImbalance|TWANormCount2
OrderImbalance|TWANormCount5 double OrderImbalance|TWANormCount5
OrderImbalance|TWANormTWACount1 double OrderImbalance|TWANormTWACount1
OrderImbalance|TWANormTWACount2 double OrderImbalance|TWANormTWACount2
OrderImbalance|TWANormTWACount5 double OrderImbalance|TWANormTWACount5
VolumeImbalance|TWARaw1 double VolumeImbalance|TWARaw1
VolumeImbalance|TWARaw2 double VolumeImbalance|TWARaw2
VolumeImbalance|TWARaw5 double VolumeImbalance|TWARaw5
VolumeImbalance|TWANormVol1 double VolumeImbalance|TWANormVol1
VolumeImbalance|TWANormVol2 double VolumeImbalance|TWANormVol2
VolumeImbalance|TWANormVol5 double VolumeImbalance|TWANormVol5
VolumeImbalance|TWANormTWAVol1 double VolumeImbalance|TWANormTWAVol1
VolumeImbalance|TWANormVol2 double VolumeImbalance|TWANormVol2
VolumeImbalance|TWANormVol5 double VolumeImbalance|TWANormVol5

Important Dataset Notes

This dataset is not available for direct online purchase. Please contact sales directly at 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.