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bmll_order_fill_behaviour_non_ebbo_us by BMLL Technologies

Name: bmll_order_fill_behaviour_non_ebbo_us
Brand: BMLL Technologies
SKU: BM-00109
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_order_fill_behaviour_non_ebbo_us

Group: market_data
Vendor: BMLL Technologies
Data Starts at: 2022-06-03 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 ‘market dynamic’ datasets available to identify critical market characteristics during venue selection processes - Non EBBO Russell 3000.

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.
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

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.