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bmll_execution_market_impact_us by BMLL Technologies

Name: bmll_execution_market_impact_us
Brand: BMLL Technologies
SKU: BM-00104
Price: 9999.99 USD
Availability: InStock

Category: altdata , main_tax_category , technical ,

Product Type: market_data

Region: Europe ,

Industry: Consumer Discretionary , Consumer Staples , Energy , Financials , Health Care , Industrials , Information Technology , Materials , Real Estate , Telecommunication Services , Utilities ,

Asset Classes: Equity ,

Data Frequency: day

Quantity must be 1 or more

Dataset Name: bmll_execution_market_impact_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: 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)

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.
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

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.