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)

原始信息汇总

BMLL Level 2 Quotes 数据集概述

数据集基本信息

• 数据集名称: BMLL Level 2 Quotes
• 提供商: BMLL Technologies
• 获取方式: 免费试用 (Trial: 30 day trial)
• 数据刷新频率: 每日 (Daily)
• 时间覆盖范围: 2013年1月1日之后 (After January 1, 2013)
• 地理覆盖范围: 全球 (Global)
• 云区域可用性:
  • AWS: EU (Ireland), US East (N. Virginia)

数据集描述

该数据集提供逐笔的市场深度视图，提供多达10个价格水平的买卖订单聚合量。它旨在解决仅依赖Level 1（最佳买卖报价）数据时，评估股票真实流动性及潜在支撑和阻力区域的困难。该市场按价格数据集提供了对工具供需动态的深入洞察，使市场参与者能够做出更明智的交易决策。

核心特性与能力

• 粒度深度: 10个级别的市场深度，按价格聚合，包括买卖价格、规模和订单数量。
• 高精度: 提供逐笔数据，时间戳精度达到或超过交易所匹配引擎精度（纳秒或微秒）。
• 上下文保真度: 包含BMLL市场状态（14个不同的值）以及原始交易所描述，以确保最大保真度。

核心效益

• 买方: 使用最高质量的整合数据源，加速研究、回测和交易成本分析。
• 卖方: 回测执行算法，增强智能订单路由器，并使用历史深度向客户展示更好的执行效果。
• 交易所: 深入了解交易场所的格局。

业务需求

• 市场分析: 在更深层次上理解交易格局。
• 定价分析: 利用订单簿的十个层级来增强交易成本分析，分析交易执行情况。
• 定量分析: 通过分析十个层级的流动性，优化执行算法回测和智能订单路由器。

数据/文档规范

• 概况说明书: Level 2 Quotes Factsheet
• 文档: Level 2 Quotes Documentation / Level 2 Quotes Futures Documentation
• 覆盖范围: Data Coverage

数据字典与预览

• 主要表格: L2_QUOTES_EMEA, REFERENCE_EMEA (+ 4 objects)
• 数据预览显示列数: 80列中显示50列
• 示例列:
  • TICKER (Varchar)
  • ISO_EXCHANGE_CODE (Varchar)
  • TRADE_DATE (Date)
  • EVENT_TIMESTAMP (Timestamp_NTZ)
  • LOCAL_TIMESTAMP (Timestamp_NTZ)
  • TIMESTAMP_NANOSECONDS (Number)
  • TZ_OFFSET (Number)
  • BID_PRICE1 (Float)
  • BID_QUANTITY1 (Number)
  • BID_NUM_ORDERS1 (Number)
  • ASK_PRICE1 (Float)
  • ASK_QUANTITY1 (Number)
  • ASK_NUM_ORDERS1 (Number)
  • ... (结构延续至BID_PRICE8等)

使用示例

1. 选择样本数据集: SELECT * FROM L2_QUOTES_EMEA LIMIT 1;

2. 选择样本参考数据集: SELECT * FROM REFERENCE_EMEA WHERE TICKER = VOD;

3. 检索给定代码的下采样Level 1统计数据: sql SELECT DATE_TRUNC(SECOND,EVENT_TIMESTAMP) AS TS, AVG(BID_PRICE1), AVG(ASK_PRICE1), MIN(BID_PRICE1), MIN(ASK_PRICE1), MAX(BID_PRICE1), MAX(ASK_PRICE1) FROM L2_QUOTES_EMEA WHERE(EXCHANGE_TICKER =VOD AND TRADE_DATE = 2025-09-10) GROUP BY TS ORDER BY TS;

4. 检索给定交易场所上各代码Level 1买卖数量之间的不平衡: sql SELECT EXCHANGE_TICKER, AVG(BID_QUANTITY1) AS AVG_BID_QUANTITY1, AVG(ASK_QUANTITY1) AS AVG_ASK_QUANTITY1, (AVG(BID_QUANTITY1) + AVG(ASK_QUANTITY1)) AS TOTAL_QUANTITY, (AVG(BID_QUANTITY1) - AVG(ASK_QUANTITY1)) / (AVG(BID_QUANTITY1) + AVG(ASK_QUANTITY1)) AS L1_IMBALANCE FROM L2_QUOTES_EMEA WHERE (MIC =XLON AND TRADE_DATE= 2025-09-10 AND ASK_PRICE1 > BID_PRICE1) GROUP BY EXCHANGE_TICKER ORDER BY TOTAL_QUANTITY DESC;

法律条款与联系信息

• 法律条款: Custom
• 销售联系: [e-mail]
• 支持联系: [e-mail]