Dataset Name: bmll_liquidity_classification_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
BMLL Liquidity Analytics Russell 3000 - A simple breakdown of traded volumes into 4 easy buckets – lit addressable / dark/grey liquidity, non- accessible and non-addressable liquidity. 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. |
| TradeCount|Dark | double | The number of executions classified as dark addressable. This corresponds to the liquidity that is open to all market participants, but has limited or is exempt from pre-trade transparency disclosure. |
| TradeNotional|Dark | double | The notional value traded classified as dark addressable. This corresponds to the liquidity that is open to all market participants, but has limited or is exempt from pre-trade transparency disclosure. |
| TradeVolume|Dark | double | The number of shares trades classified as dark addressable. This corresponds to the liquidity that is open to all market participants, but has limited or is exempt from pre-trade transparency disclosure. |
| TradeCount|Lit | double | The number of executions classified as lit addressable. This corresponds to liquidity open to all market participants, has full pre-trade transparency and can be used for benchmark and reference price calculations. |
| TradeNotional|Lit | double | The notional value traded classified as lit addressable. This corresponds to liquidity open to all market participants, has full pre-trade transparency and can be used for benchmark and reference price calculations. |
| TradeVolume|Lit | double | The number of shares trades classified as lit addressable. This corresponds to liquidity open to all market participants, has full pre-trade transparency and can be used for benchmark and reference price calculations. |
| TradeCount|Bi | double | The number of executions classified as bilateral addressable. This corresponds to the liquidity that is part of the price forming process, but requires a bilateral agreement between two parties to be accessible. |
| TradeNotional|Bi | double | The notional value traded classified as bilateral addressable. This corresponds to the liquidity that is part of the price forming process, but requires a bilateral agreement between two parties to be accessible. |
| TradeVolume|Bi | double | The number of shares trades classified as bilateral addressable. This corresponds to the liquidity that is part of the price forming process, but requires a bilateral agreement between two parties to be accessible. |
| TradeCount|Non | double | The number of executions classified as non-addressable. This corresponds to the liquidity that is not part of the price forming process, or open to general market participants. |
| TradeNotional|Non | double | The notional value traded classified as non-addressable. This corresponds to the liquidity that is not part of the price forming process, or open to general market participants. |
| TradeVolume|Non | double | The number of shares trades classified as non-addressable. This corresponds to the liquidity that is not part of the price forming process, or open to general market participants. |