BMLL Level 2 Quotes - Europe

BMLL Level 2 Quotes provides 10 levels of market depth, aggregated by price, available event-by-event. Generated from BMLL’s Level 3 Data, BMLL’s normalisation ensures the highest-quality Level 2 data for traders, quants and researchers.

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**Use Cases:**

- Buy-side - backtest strategies, generate alpha and perform TCA and execution analysis
- Sell-side - backtest execution algos, improve smart order routers and demonstrate best execution
- Exchanges - compare market quality and assess regulatory change

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**What’s Included:**

- Highly granular Level 2 tick history data (Market by Price) for all major European equity venues
- 10 levels of market depth, aggregated by price, available tick-by-tick
- Bid and ask prices, sizes and number of orders included
- Nanosecond or microsecond precision timestamps based on order-matching engines
- Data available from 2014 (venue dependent)

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**Sample Dataset:**

Trainline PLC (TRN) across January 03 2023. All sample fields are featured in the data dictionary.

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**Custom Datasets:**

Custom BMLL market datasets are also available (based on instrument, MIC, or region). To create your own custom BMLL market dataset, contact [e-mail]

搜集汇总

背景与挑战

背景概述

该数据集提供欧洲主要股票交易场所的Level 2报价历史数据，包含10档按价格聚合的市场深度，可用于买卖双方的策略回测、执行分析和市场质量评估。数据涵盖买卖价格、数量及订单数量，并具有纳秒或微秒级时间戳，可追溯至2014年。