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bmll_volatility_us

bmll_volatility_us by BMLL Technologies

Dataset Name: bmll_volatility_us


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 Equities
Asset Class: Equity

BMLL Volatility Analytics - Measure of the intraday volatility per stock on a daily basis, using 1 minute returns - 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.
Volatility|Intraday double The standard deviation of the log returns of the mid-price of the lit order book on a venue during continuous trading, using a sampling frequency of 1 minute. The volatility is annualised assuming a standard 8.5 hours in a trading day and 252 trading days.


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.