Dataset Name: bmll_venue_quality_insights
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: US and European Equities
Asset Class: Equity
Data Update Frequency: day
BMLL Venue Quality Insights
Optimise venue choice by assessing execution venue quality based on full market depth and quality insights.
Data points include;
- Time at BBO metrics
- Exclusive time at BBO metrics
- BBO setter, lagger and joiner metrics
- Mean resting times for orders that are later cancelled, fully or partially filled
- Fill probability for quotes posted on each of the first 5 book levels
- Quote to trade ratio
- Market impact
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 |
| Description | string | Description |
| TimeAtEBBO|Percentage | string | The percentage of time during the continuous trading period where there is at least one order equal to the bid price and simultaneously at least one order equal to the ask price of the EBBO. |