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bmll_liquidity_around_bbo_eu

bmll_liquidity_around_bbo_eu by BMLL Technologies

Dataset Name: bmll_liquidity_around_bbo_eu


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

BMLL Liquidity Around BBO EuroStoxx 600 - Statistics around the depth of the order book, separated by side. Includes the number of orders, volumes and value within numbers of levels and bps of BBO. Understand and view addressable single & multi-instrument liquidity analytics and performance across all lit markets, dark pools and OTC venues.

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.
TWALiquidityAroundBBO|Ask10bpsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask10bpsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask10bpsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid10bpsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid10bpsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid10bpsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask30bpsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask30bpsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask30bpsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid30bpsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid30bpsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid30bpsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask50bpsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask50bpsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask50bpsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid50bpsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid50bpsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid50bpsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask1LevelsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask1LevelsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask1LevelsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid1LevelsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid1LevelsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid1LevelsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask2LevelsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask2LevelsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask2LevelsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid2LevelsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid2LevelsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid2LevelsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask3LevelsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask3LevelsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask3LevelsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid3LevelsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid3LevelsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid3LevelsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask4LevelsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask4LevelsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask4LevelsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid4LevelsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid4LevelsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid4LevelsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask5LevelsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask5LevelsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Ask5LevelsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid5LevelsNotional double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid5LevelsOrders double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.
TWALiquidityAroundBBO|Bid5LevelsShares double The time weighted average amount of notional/orders/shares around the BBO up to 'Include' BPS/levels.


Important Dataset Notes

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