BMLL Auction Imbalance Data

The BMLL Auction Imbalance dataset provides detailed order-book imbalance data during the critical price discovery phase of venue opening and closing auctions.
**The Challenge: Opaque Price Formation.** Analysing the price formation period leading up to the auction cross is historically opaque and complex without dedicated pre-execution phase data.
**The Solution: Pre-Cross Illumination** BMLL allows for easy and precise analysis of price formation during the auction period, delivering all the vital indicative metrics leading up to the execution phase.

**Key Features & Capabilities:**

- **Detailed Imbalance Metrics:** Includes imbalance side, quantity, indicative/reference prices, and the number of shares paired at the reference price.
- **Normalised States:** BMLL Market State provides a normalised representation alongside original exchange descriptions for maximum fidelity.
- **High-Resolution Timestamps:** Timestamps at or exceeding venue matching engine precision.

**Core Benefits:**

- **Buy-Side:** Enable strategy backtesting and drive alpha generation during auction phases.
- **Sell-Side:** Optimise algo wheels and conduct deep market microstructure analysis.
- **Exchanges:** Gain deep insights through advanced market microstructure analysis.

**Data / Documentation Specifications:**

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