BMLL Level 1 Quotes

The BMLL Level 1 Quotes dataset provides a tick-by-tick view of the best available prices in the market at a given time in the past, representing the "top of the order book" or BBO.

**The Challenge: Accurately Reconstructing the Top of Book** Accessing a clean, precise, and highly accurate view of historical market activity at the top-of-the-order across diverse global exchanges requires significant standardisation effort.

**The Solution: Tick-by-Tick** Precision Users gain a crystal-clear, normalised view of historical market activity. By capturing the total volume available at the best price with high-precision timestamps, users can seamlessly reconstruct market states.

**Key Features & Capabilities:**

- **Top of Book Visibility:** Provides total volume available at the best price, tick-by-tick.
- **Detailed Metrics:** Includes bid and ask prices, sizes, and the number of orders at the best price.
- **Normalised Market State:** Delivers a normalised representation (14 values) of the trading phase alongside high-fidelity exchange descriptions.
- **Matching Engine Precision:** Timestamps at or exceeding venue matching engine precision.

**Core Benefits:**

- **Strategy Backtesting:** Backtest low/medium frequency trading strategies, execution algorithms, and smart order routing rules.
- **Execution Analysis:** Perform Transaction Cost Analysis (TCA) and best execution reporting.
- **Venue Insights:** Contextualise the trading venue landscape efficiently.

**Data / Documentation Specifications:**

- **Factsheet:** [Level 1 Quotes Factsheet](https://www.bmlltech.com/files/documents/LEVEL-1-QUOTES-FACTSHEET.pdf)
- **Documentation:** [Level 1 Quotes Documentation](https://www.bmlltech.com/files/documents/BMLL-L1-Quotes.pdf) / [Level 1 Quotes Futures Documentation](https://www.bmlltech.com/files/documents/BMLL-L1-Quotes-Futures.pdf)
- **Coverage:** [Data Coverage](https://www.bmlltech.com/market-data-coverage)