BMLL Millisecond Consolidated BBO - Europe

The Millisecond Consolidated Best-Bid-Offer (CBBO) provides a complete view of historical pre-trade data across fragmented equity markets. Combining Level 2 quotes data across all venues. The CBBO shows the top 10 price levels of a consolidated lit order book, aggregated by size.

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**Use Cases:**

- Execution analysis and TCA - benchmark trades and executions against the best available liquidity in fragmented markets
- Strategy and algo backtesting - understand the liquidity available across markets to backtest trading strategies
- Market Surveillance - contextualise order and trade behaviour with a complete view of the market

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**What’s Included:**

- Historical Level 2 (Market by Price) feed, showing the top 10 price levels across all equity markets, including primary venues and all secondary lit markets, aggregated by price
- Millisecond timestamps, derived directly from matching engine timestamps
- Market data available from 2015 (venue dependent)

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**Sample Dataset:**

Trainline PLC (TRN) 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]