BMLL National Best Bid Offer

The NBBO feed provides the official national best bid offer for supported countries (defined as the Consolidated Tape in the US and Canada), offering a tick-by-tick Level 1 view of the order book.

**The Challenge: Navigating Regulatory Liquidity** Grasping the true, official liquidity profile available for a given instrument within a specific regulatory framework requires direct access to consolidated tape data.

**The Solution: The Official Benchmark Feed** This historical feed aggregates the best bid and offer across all applicable venues in the regulatory environment, delivering an authoritative benchmark.

**Key Features & Capabilities:**

- **Official Benchmarks:** Historical feed providing the official best bid and offer across applicable venues in the region.
- **Tick-by-Tick Granularity:** A Level 1 quote dataset offering a tick-by-tick view of the order book.
- **High Precision:** Features timestamps at or exceeding venue matching engine precision (nanosecond or microsecond).

**Core Benefits:**

- **Buy-Side & Sell-Side:** Power Transaction Cost Analysis (TCA) benchmarking and Best Execution processes with official tapes.
- **Exchanges:** Conduct authoritative venue price and liquidity quality analysis.

**Data / Documentation Specifications:**

- **Documentation:**[ NBBO Documentation](https://www.bmlltech.com/files/documents/BMLL-NBBO.pdf) /[ NBBO OPRA Documentation](https://www.bmlltech.com/files/documents/BMLL-NBBO-OPRA.docx.pdf)  
- **Coverage:** [Data Coverage](https://www.bmlltech.com/market-data-coverage)

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原始信息汇总

BMLL National Best Bid Offer 数据集概述

数据集基本信息

• 数据集名称: BMLL National Best Bid Offer
• 提供商: BMLL Technologies
• 获取方式: 免费试用
• 试用期限: 30天
• 数据刷新频率: 每日
• 时间覆盖范围: 2015年1月1日之后
• 地理覆盖范围: 美国、加拿大
• 云区域可用性 (AWS): EU (Ireland)、US East (N. Virginia)

数据集描述

NBBO（National Best Bid Offer）数据源提供受支持国家（在美国和加拿大定义为统一行情）的官方全国最佳买卖报价，提供订单簿的逐笔Level 1视图。

核心特性与能力

• 官方基准: 提供区域内适用交易场所的官方最佳买卖报价的历史数据源。
• 逐笔粒度: 提供订单簿逐笔视图的Level 1报价数据集。
• 高精度: 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）。

核心价值

• 买方与卖方: 使用官方行情数据为交易成本分析（TCA）基准测试和最佳执行流程提供支持。
• 交易所: 进行权威的交易场所价格和流动性质量分析。

业务需求应用场景

• 市场分析: 使用统一的最佳买卖报价数据监控美洲的市场结构和交易场所行为，以评估流动性和价格竞争。
• 定价分析: 通过比较各交易场所的NBBO变动来评估价格形成和执行质量，用于TCA基准测试和监管最佳执行。
• 量化分析: 使用纳秒级逐笔数据回测交易和路由算法，以优化执行策略和模拟市场影响。

数据字典（主要表：NBBO_AMERICAS）

列名与数据类型预览:

• TRADE_DATE (Varchar)
• TICKER (Varchar)
• ISO_EXCHANGE_CODE (Varchar)
• MIC (Timestamp_NTZ)
• EVENT_TIMESTAMP (Timestamp_NTZ)
• LOCAL_TIMESTAMP (Timestamp_NTZ)
• EXCHANGE_LOCAL_TIMESTAMP (Timestamp_NTZ)
• EXCHANGE_LOCAL_TIMESTAMP_NANOSECONDS (Number)
• TZ_OFFSET (Number)
• BID_PRICE (Float)
• BID_QUANTITY (Float)
• ASK_PRICE (Float)
• ASK_QUANTITY (Float)
• L2_EVENT_NO (Number)
• BEST_BID_EXCHANGE (Varchar)
• BEST_ASK_EXCHANGE (Varchar)
• EXCHANGE_TICKER (Varchar)
• BMLL_OBJECT_ID (Varchar)
• CURRENCY_CODE (Varchar)
• MARKET_STATE (Varchar)
• EXCHANGE_SEQUENCE_NO (Varchar)
• BMLL_SEQUENCE_NO (Varchar)
• BMLL_SEQUENCE_SOURCE (Varchar)
• RUN_ID (Varchar)
• LOADED_AT (Timestamp_NTZ)
• BID_SIZE_SHARES (Number)
• BID_SIZE_ROUND_LOTS (Number)
• ASK_SIZE_SHARES (Number)
• ASK_SIZE_ROUND_LOTS (Number)

使用示例

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

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

3. 检索给定时间戳的BBO中点价: sql SELECT EXCHANGE_TICKER, TRADE_DATE, EVENT_TIMESTAMP, 0.5 * (ASK_PRICE + BID_PRICE) AS MID FROM NBBO_AMERICAS WHERE EXCHANGE_TICKER = AAPL AND EVENT_TIMESTAMP <= 2025-09-10 09:47:44 LIMIT 5;

4. 查找每个符号的平均BBO点差: sql SELECT TRADE_DATE, EXCHANGE_TICKER, MEDIAN((ASK_PRICE - BID_PRICE) / (0.5 * (ASK_PRICE + BID_PRICE))) AS "AVERAGE SPREAD" FROM NBBO_AMERICAS GROUP BY TRADE_DATE, EXCHANGE_TICKER ORDER BY TRADE_DATE, EXCHANGE_TICKER;

文档与支持

• 文档: NBBO Documentation / NBBO OPRA Documentation
• 销售联系: [e-mail]
• 支持联系: [e-mail]

法律条款

• 条款类型: 自定义