BMLL data is composed of time series data, representing market activity for multiple assets classes. The data (orders, trades, market trading states, etc.) is provided as reconstructed Level 2 (L2) and level 3 (L3) limit order book data and static securities metadata.

Pricing: Pay-as-you-go platform

Use case examples:

• Signal processing – analysing snapshots of a rebuilt level 3 limit order book at varying time intervals (10, 100, 500 ms) to identify trading signals around a number of derived factors, such as volume imbalance
• Academic research – a number of academic institutions (normally sponsored by exchanges or financial institutions) running research and analysis on market microstructure. An example can be seen here
• Market impact analysis – clients can query published market impact papers against historical market data, for example “Fluctuations and response in financial markets: the subtel nature of ‘random’ price changes”, J-P Bouchaud, Y. Gefen, M. Potters and M. Wyart, Quantitative Finance 4, 176-190 (2004).
• Sweep to fill – analysis of the cost of sweep to fill orders on given futures between given date ranges
• Smart order router performance analysis – look for instances of front running on orders sent through an SOR
• Broker and venue selection analysis – creating a Level 4 data set by uploading proprietary order data and analyse TCA, slippage or best execution
  

• Deepest granularity of financial trade data available, directly from the sources
• Unlimited compute power in a fully managed service
• Access to multiple proprietary and third party machine learning and data science software toolkits
• <1% of the financial community are currently extracting value from this data