BMLL Level 2 Quotes

The BMLL Level 2 quotes dataset provides a tick-by-tick view into the depth of the market, offering the aggregated volume of buy and sell orders at up to 10 price levels.

**The Challenge: Limited Visibility with Top-of-Book Data** Evaluating a stock's true liquidity and potential support and resistance zones is difficult when relying solely on Level 1 (Best Bid & Offer) data.
**The Solution: Deep Market-by-Price Insights** This Market-by-Price dataset delivers deep insight into the supply and demand dynamics for an instrument, enabling market participants to make more informed trading decisions.

**Key Features & Capabilities:**

- **Granular Depth:** 10 levels of market depth, aggregated by price, including bid and ask prices, sizes, and number of orders.
- **High Precision:** Available tick-by-tick with timestamps at or exceeding venue matching engine precision (nanosecond or microsecond).
- **Contextual Fidelity:** Includes BMLL Market State (14 distinct values) alongside original exchange descriptions to ensure maximum fidelity.

**Core Benefits:**

- **Buy-Side:** Accelerate research, backtesting, and transaction cost analysis (TCA) using the highest quality consolidated data feed.
- **Sell-Side:** Backtest execution algos, enhance smart order routers, and demonstrate better execution to clients using historical depth.
- **Exchanges:** Contextualise the trading venue landscape at depth.

**Data / Documentation Specifications:**

- **Factsheet:** [Level 2 Quotes Factsheet](https://www.bmlltech.com/files/documents/LEVEL-2-FACT-SHEET.pdf)
- **Documentation:** [Level 2 Quotes Documentation](https://www.bmlltech.com/files/documents/BMLL-L2-Quotes.pdf) / [Level 2 Quotes Futures Documentation](https://www.bmlltech.com/files/documents/BMLL-L2-Quotes-Futures.docx.pdf)
- **Coverage:** [Data Coverage](https://www.bmlltech.com/market-data-coverage)

BMLL Level 2报价数据集（BMLL Level 2 Quotes Dataset）提供逐tick级别的市场深度视图，展示最多10个价格档位的买卖订单聚合成交量。

**挑战：仅依赖一档行情数据的可见性局限**
仅依赖一档行情（Level 1，最佳买价与卖价）数据时，评估个股的真实流动性以及潜在支撑与阻力位颇具难度。

**解决方案：逐价成交深度洞察**
本逐价成交（Market-by-Price）数据集可针对交易品种的供需动态提供深度洞察，助力市场参与者做出更明智的交易决策。

**核心特性与功能：**
- **精细深度覆盖**：包含10档市场深度数据，按价格档位聚合，涵盖买卖价格、订单规模以及订单总数。
- **高精度时间戳**：提供逐tick级数据，时间戳精度达到或超过交易场所匹配引擎的精度（纳秒或微秒级）。
- **上下文保真度**：集成BMLL市场状态（共14种不同取值），同时保留原始交易所的描述信息，以确保最高的数据保真度。

**核心优势：**
- **买方机构**：依托最高质量的整合数据源，加速研究、回测以及交易成本分析（Transaction Cost Analysis, TCA）。
- **卖方机构**：回测执行算法、优化智能订单路由系统，并通过历史深度数据向客户展示更优质的执行效果。
- **交易所**：全方位刻画交易场所的深度市场格局。

**数据与文档规范：**
- **资料手册**：[Level 2报价资料手册](https://www.bmlltech.com/files/documents/LEVEL-2-FACT-SHEET.pdf)
- **文档资料**：[Level 2报价文档](https://www.bmlltech.com/files/documents/BMLL-L2-Quotes.pdf) / [Level 2报价期货品类文档](https://www.bmlltech.com/files/documents/BMLL-L2-Quotes-Futures.docx.pdf)
- **数据覆盖范围**：[数据覆盖范围](https://www.bmlltech.com/market-data-coverage)