# Dataset Name: bmll_order_fill_behaviour_non_ebbo_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

**Data Update Frequency: **day

# BMLL Understand how individual orders are behaving on the order book. Metrics include Fil Probability, Mean Resting Time. Use the most granular Level 3 historical â€˜market dynamicâ€™ datasets available to identify critical market characteristics during venue selection processes - Non EBBO EuroStoxx 600

## 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 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**

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. |

FillProbability|Ask1 | double | The probability that an ask order placed at the 1st level of the book will be filled within 60 seconds. |

FillProbability|Ask2 | double | The probability that an ask order placed at the 2nd level of the book will be filled within 60 seconds. |

FillProbability|Ask3 | double | The probability that an ask order placed at the 3rd level of the book will be filled within 60 seconds. |

FillProbability|Ask4 | double | The probability that an ask order placed at the 4th level of the book will be filled within 60 seconds. |

FillProbability|Ask5 | double | The probability that an ask order placed at the 5th level of the book will be filled within 60 seconds. |

FillProbability|Bid1 | double | The probability that a bid order placed at the 1st level of the book will be filled within 60 seconds. |

FillProbability|Bid2 | double | The probability that a bid order placed at the 2nd level of the book will be filled within 60 seconds. |

FillProbability|Bid3 | double | The probability that a bid order placed at the 3rd level of the book will be filled within 60 seconds. |

FillProbability|Bid4 | double | The probability that a bid order placed at the 4th level of the book will be filled within 60 seconds. |

FillProbability|Bid5 | double | The probability that a bid order placed at the 5th level of the book will be filled within 60 seconds. |

MeanRestingTime|AskCancelled1 | double | The mean resting time (in seconds) of ask orders placed at the 1st level of the book which were subsequently cancelled. |

MeanRestingTime|AskCancelled2 | double | The mean resting time (in seconds) of ask orders placed at the 2nd level of the book which were subsequently cancelled. |

MeanRestingTime|AskCancelled3 | double | The mean resting time (in seconds) of ask orders placed at the 3rd level of the book which were subsequently cancelled. |

MeanRestingTime|AskCancelled4 | double | The mean resting time (in seconds) of ask orders placed at the 4th level of the book which were subsequently cancelled. |

MeanRestingTime|AskCancelled5 | double | The mean resting time (in seconds) of ask orders placed at the 5th level of the book which were subsequently cancelled. |

MeanRestingTime|BidCancelled1 | double | The mean resting time (in seconds) of bid orders placed at the 1st level of the book which were subsequently cancelled. |

MeanRestingTime|BidCancelled2 | double | The mean resting time (in seconds) of bid orders placed at the 2nd level of the book which were subsequently cancelled. |

MeanRestingTime|BidCancelled3 | double | The mean resting time (in seconds) of bid orders placed at the 3rd level of the book which were subsequently cancelled. |

MeanRestingTime|BidCancelled4 | double | The mean resting time (in seconds) of bid orders placed at the 4th level of the book which were subsequently cancelled. |

MeanRestingTime|BidCancelled5 | double | The mean resting time (in seconds) of bid orders placed at the 5th level of the book which were subsequently cancelled. |

MeanRestingTime|AskFilled1 | double | The mean resting time (in seconds) of ask orders placed at the 1st level of the book which were subsequently completely filled. |

MeanRestingTime|AskFilled2 | double | The mean resting time (in seconds) of ask orders placed at the 2nd level of the book which were subsequently completely filled. |

MeanRestingTime|AskFilled3 | double | The mean resting time (in seconds) of ask orders placed at the 3rd level of the book which were subsequently completely filled. |

MeanRestingTime|AskFilled4 | double | The mean resting time (in seconds) of ask orders placed at the 4th level of the book which were subsequently completely filled. |

MeanRestingTime|AskFilled5 | double | The mean resting time (in seconds) of ask orders placed at the 5th level of the book which were subsequently completely filled. |

MeanRestingTime|BidFilled1 | double | The mean resting time (in seconds) of bid orders placed at the 1st level of the book which were subsequently completely filled. |

MeanRestingTime|BidFilled2 | double | The mean resting time (in seconds) of bid orders placed at the 2nd level of the book which were subsequently completely filled. |

MeanRestingTime|BidFilled3 | double | The mean resting time (in seconds) of bid orders placed at the 3rd level of the book which were subsequently completely filled. |

MeanRestingTime|BidFilled4 | double | The mean resting time (in seconds) of bid orders placed at the 4th level of the book which were subsequently completely filled. |

MeanRestingTime|BidFilled5 | double | The mean resting time (in seconds) of bid orders placed at the 5th level of the book which were subsequently completely filled. |

MeanRestingTime|AskPartial1 | double | The mean resting time (in seconds) of ask orders placed at the 1st level of the book which were subsequently partially filled. |

MeanRestingTime|AskPartial2 | double | The mean resting time (in seconds) of ask orders placed at the 2nd level of the book which were subsequently partially filled. |

MeanRestingTime|AskPartial3 | double | The mean resting time (in seconds) of ask orders placed at the 3rd level of the book which were subsequently partially filled. |

MeanRestingTime|AskPartial4 | double | The mean resting time (in seconds) of ask orders placed at the 4th level of the book which were subsequently partially filled. |

MeanRestingTime|AskPartial5 | double | The mean resting time (in seconds) of ask orders placed at the 5th level of the book which were subsequently partially filled. |

MeanRestingTime|BidPartial1 | double | The mean resting time (in seconds) of bid orders placed at the 1st level of the book which were subsequently partially filled. |

MeanRestingTime|BidPartial2 | double | The mean resting time (in seconds) of bid orders placed at the 2nd level of the book which were subsequently partially filled. |

MeanRestingTime|BidPartial3 | double | The mean resting time (in seconds) of bid orders placed at the 3rd level of the book which were subsequently partially filled. |

MeanRestingTime|BidPartial4 | double | The mean resting time (in seconds) of bid orders placed at the 4th level of the book which were subsequently partially filled. |

MeanRestingTime|BidPartial5 | double | The mean resting time (in seconds) of bid orders placed at the 5th level of the book which were subsequently partially filled. |

MinRestingTime|AskCancelled1 | double | The minimum resting time (in microseconds) of ask orders placed at the 1st level of the book which were subsequently cancelled. |

MinRestingTime|AskCancelled2 | double | The minimum resting time (in microseconds) of ask orders placed at the 2nd level of the book which were subsequently cancelled. |

MinRestingTime|AskCancelled3 | double | The minimum resting time (in microseconds) of ask orders placed at the 3rd level of the book which were subsequently cancelled. |

MinRestingTime|AskCancelled4 | double | The minimum resting time (in microseconds) of ask orders placed at the 4th level of the book which were subsequently cancelled. |

MinRestingTime|AskCancelled5 | double | The minimum resting time (in microseconds) of ask orders placed at the 5th level of the book which were subsequently cancelled. |

MinRestingTime|BidCancelled1 | double | The minimum resting time (in microseconds) of bid orders placed at the 1st level of the book which were subsequently cancelled. |

MinRestingTime|BidCancelled2 | double | The minimum resting time (in microseconds) of bid orders placed at the 2nd level of the book which were subsequently cancelled. |

MinRestingTime|BidCancelled3 | double | The minimum resting time (in microseconds) of bid orders placed at the 3rd level of the book which were subsequently cancelled. |

MinRestingTime|BidCancelled4 | double | The minimum resting time (in microseconds) of bid orders placed at the 4th level of the book which were subsequently cancelled. |

MinRestingTime|BidCancelled5 | double | The minimum resting time (in microseconds) of bid orders placed at the 5th level of the book which were subsequently cancelled. |

MinRestingTime|AskFilled1 | double | The minimum resting time (in microseconds) of ask orders placed at the 1st level of the book which were subsequently completely filled. |

MinRestingTime|AskFilled2 | double | The minimum resting time (in microseconds) of ask orders placed at the 2nd level of the book which were subsequently completely filled. |

MinRestingTime|AskFilled3 | double | The minimum resting time (in microseconds) of ask orders placed at the 3rd level of the book which were subsequently completely filled. |

MinRestingTime|AskFilled4 | double | The minimum resting time (in microseconds) of ask orders placed at the 4th level of the book which were subsequently completely filled. |

MinRestingTime|AskFilled5 | double | The minimum resting time (in microseconds) of ask orders placed at the 5th level of the book which were subsequently completely filled. |

MinRestingTime|BidFilled1 | double | The minimum resting time (in microseconds) of bid orders placed at the 1st level of the book which were subsequently completely filled. |

MinRestingTime|BidFilled2 | double | The minimum resting time (in microseconds) of bid orders placed at the 2nd level of the book which were subsequently completely filled. |

MinRestingTime|BidFilled3 | double | The minimum resting time (in microseconds) of bid orders placed at the 3rd level of the book which were subsequently completely filled. |

MinRestingTime|BidFilled4 | double | The minimum resting time (in microseconds) of bid orders placed at the 4th level of the book which were subsequently completely filled. |

MinRestingTime|BidFilled5 | double | The minimum resting time (in microseconds) of bid orders placed at the 5th level of the book which were subsequently completely filled. |

MinRestingTime|AskPartial1 | double | The minimum resting time (in microseconds) of ask orders placed at the 1st level of the book which were subsequently partially filled. |

MinRestingTime|AskPartial2 | double | The minimum resting time (in microseconds) of ask orders placed at the 2nd level of the book which were subsequently partially filled. |

MinRestingTime|AskPartial3 | double | The minimum resting time (in microseconds) of ask orders placed at the 3rd level of the book which were subsequently partially filled. |

MinRestingTime|AskPartial4 | double | The minimum resting time (in microseconds) of ask orders placed at the 4th level of the book which were subsequently partially filled. |

MinRestingTime|AskPartial5 | double | The minimum resting time (in microseconds) of ask orders placed at the 5th level of the book which were subsequently partially filled. |

MinRestingTime|BidPartial1 | double | The minimum resting time (in microseconds) of bid orders placed at the 1st level of the book which were subsequently partially filled. |

MinRestingTime|BidPartial2 | double | The minimum resting time (in microseconds) of bid orders placed at the 2nd level of the book which were subsequently partially filled. |

MinRestingTime|BidPartial3 | double | The minimum resting time (in microseconds) of bid orders placed at the 3rd level of the book which were subsequently partially filled. |

MinRestingTime|BidPartial4 | double | The minimum resting time (in microseconds) of bid orders placed at the 4th level of the book which were subsequently partially filled. |

MinRestingTime|BidPartial5 | double | The minimum resting time (in microseconds) of bid orders placed at the 5th level of the book which were subsequently partially filled. |

#### Important Dataset Notes

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