Dataset Name: bmll_execution_market_impact_us
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: European Equities
Asset Class: Equity
Data Update Frequency: day
BMLL Execution Market Impact Russell 3000 - Market impact due to the execution of individual orders (rather than parent orders)
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 worldâ€™s most sophisticated capital market participants. BMLL clients, including banks, brokers, asset managers, hedge funds and global exchanges, can access BMLLâ€™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
|_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.|
|MarketImpact||double||The immediate impact of making a trade on the next price that is traded, relative to the size of the order placed. This is calculated as the regression coefficient of impact against the volume fraction, where impact is defined as percentage change in the mid-price just before the trade in question and the subsequent trade on the venue multiplied by the side of the trade, and volume fraction is the volume of the trade as a fraction of the total volume traded over the two week period.|
Important Dataset Notes
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