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bmll_venue_quality_insights

bmll_venue_quality_insights by BMLL Technologies

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.


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.