Dataset Name: bmll_order_placement_statistics_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 Order Placement Statistics 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 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. |
| DeleteCount|Ask | double | The number of ask orders that were deleted. |
| DeleteVolume|Ask | double | The total volume of deleted ask orders. |
| DeleteCount|Bid | double | The number of bid orders that were deleted. |
| DeleteVolume|Bid | double | The total volume of deleted bid orders. |
| ExecutedCount|Ask | double | The number of ask orders that were executed. |
| ExecutedVolume|Ask | double | The total volume of executed ask orders. |
| ExecutedCount|Bid | double | The number of bid orders that were executed. |
| ExecutedVolume|Bid | double | The total volume of executed bid orders. |
| InsertCount|Ask | double | The number of ask orders that were inserted. |
| InsertVolume|Ask | double | The total volume of inserted ask orders. |
| InsertCount|Bid | double | The total volume of executed bid orders. |
| InsertVolume|Bid | double | The number of bid orders that were inserted. |
| ModifyCount|Ask | double | The number of ask orders that were modified. |
| ModifyVolumeDelta|Ask | double | The total change in volume of ask orders due to orders being modified. |
| ModifyVolumeNew|Ask | double | The total volume of modified ask orders, after being modified. |
| ModifyVolumeOld|Ask | double | The total volume of modified ask orders, prior to being modified. |
| ModifyCount|Bid | double | The number of bid orders that were modified. |
| ModifyVolumeDelta|Bid | double | The total change in volume of bid orders due to orders being modified. |
| ModifyVolumeNew|Bid | double | The total volume of modified bid orders, after being modified. |
| ModifyVolumeOld|Bid | double | The total volume of modified bid orders, prior to being modified. |
| ReplaceCount|Ask | double | The number of ask orders that were replaced. |
| ReplaceVolumeDelta|Ask | double | The total change in volume of ask orders due to orders being replaced. |
| ReplaceVolumeNew|Ask | double | The total volume of replaced ask orders, after being replaced. |
| ReplaceVolumeOld|Ask | double | The total volume of replaced ask orders, prior to being replaced. |
| ReplaceCount|Bid | double | The number of bid orders that were replaced. |
| ReplaceVolumeDelta|Bid | double | The total change in volume of bid orders due to orders being replaced. |
| ReplaceVolumeNew|Bid | double | The total volume of replaced bid orders, after being replaced. |
| ReplaceVolumeOld|Bid | double | The total volume of replaced bid orders, prior to being replaced. |
Important Dataset Notes
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