BMLL Level 2 Quotes - US

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 US 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 2015 (venue dependent)

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**Sample Dataset:**

United Rentals, Inc. (URI) 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

该数据集提供美国市场10档深度的Level 2聚合报价tick数据，源自Level 3数据并经过标准化处理，适用于买方策略回测、卖方算法优化及交易所市场质量分析。数据涵盖全美主要股票场所，包含买卖价格、规模、订单数量及高精度时间戳，自2015年起按场所提供。