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bmll_liquidity_analytics by BMLL Technologies

Name: bmll_liquidity_analytics
Brand: BMLL Technologies
SKU: BM-00105
Price: 9999.99 USD
Availability: InStock

Category: altdata , main_tax_category , technical ,

Product Type: market_data

Region:

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_liquidity_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 Liquidity Analytics

Understand and view addressable single & multi-instrument liquidity analytics and performance across all lit markets, dark pools and OTC venues.

Data points Include:

Addressable vs non-addressable liquidity statistics and classifications
Intraday liquidity profiles up to 50bps from BBO
Intraday granular volume statistics
Volumes by shares & notional traded and trade count, broken into lit, dark, bilateral addressable & non-addressable volumes

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
TradeImbalance\|AskAll	double	The volume of aggressive asks executed as a percentage of the total volume traded in that period.
TradeImbalance\|Ask1	double	The volume of aggressive asks executed 1 level or more away from the best offer, as a percentage of the total volume traded in that period.
TradeImbalance\|Ask2	double	The volume of aggressive asks executed 2 levels or more away from the best offer, as a percentage of the total volume traded in that period.
TradeImbalance\|Ask3	double	The volume of aggressive asks executed 3 levels or more away from the best offer, as a percentage of the total volume traded in that period.
TradeImbalance\|BidAll	double	The volume of aggressive bids executed as a percentage of the total volume traded in that period.
TradeImbalance\|Bid1	double	The volume of aggressive bids executed 1 level or more away from the best bid, as a percentage of the total volume traded in that period.
TradeImbalance\|Bid2	double	The volume of aggressive bids executed 2 levels or more away from the best bid, as a percentage of the total volume traded in that period.
TradeImbalance\|Bid3	double	The volume of aggressive bids executed 3 levels or more away from the best bid, as a percentage of the total volume traded in that period.
SweepToFill\|TWAAsk	double	TWAAsk
SweepToFill\|TWABid	double	TWABid

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.