BMLL European Historical Consolidated Tape

The European Historical Consolidated Tape (EHCT) delivers a complete view of historical pre- and post-trade data across the European equity markets.

**The Challenge: European Data Fragmentation** Bringing together the fragmented European landscape to get a complete view of historical pre- and post-trade data requires immense data aggregation across disjointed lit exchanges, MTFs, and APAs.

**The Solution: A Complete Regional Tape** EHCT seamlessly combines Level 2 quotes data across all venues to show the top 10 price levels of a consolidated lit order book, while also capturing every trade across European exchanges, MTFs, and APAs.

**Key Features & Capabilities:**

- **Consolidated BBO:** 10 levels of market depth, aggregated by price, including primary venues and all secondary lit markets.
- **Comprehensive Trade Records:** All trades across Lit Exchanges, MTFs, and APAs with exchange timestamps and consistent normalisation.
- **Enriched Execution Data:** Includes complete MMT flags, trade condition codes, delayed trade reporting, and amended/cancelled trades.
- **Aggressor Insights:** Aggressor side identified for lit trading using Level 3 data.

**Core Benefits:**

- **Buy-Side:** Understand liquidity to benchmark brokers, backtest strategies, perform TCA, and generate alpha.
- **Sell-Side:** Benchmark executions, improve smart order routers, and track liquidity fragmentation.
- **Exchanges:** Contextualise order behaviour and analyse market share across fragmented venues and mechanisms.

**Data / Documentation Specifications:**

- **Factsheet:** [Trades Data Factsheet](https://www.bmlltech.com/files/documents/BMLL-TRADES-DATA-FACT-SHEET.pdf) /[ Millisecond CBBO Factsheet](https://www.bmlltech.com/files/documents/BMLL-MILLISECOND-CBBO-FACTSHEET.pdf)
- **Documentation:**[ EHCT Documentation](https://www.bmlltech.com/files/documents/EUROPEAN-HISTORICAL-CONSOLIDATED-TAPE.pdf) /[ ](https://www.bmlltech.com/files/documents/BMLL-TRADES-DATA-FACT-SHEET.pdf)[ Normalised Trades Documentation](https://www.bmlltech.com/files/documents/BMLL-Normalised-Trades.pdf) /[ Millisecond CBBO Documentation](https://www.bmlltech.com/files/documents/BMLL-Millisecond-CBBO.pdf)  
- **Coverage:** [Data Coverage](https://www.bmlltech.com/market-data-coverage)

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原始信息汇总

BMLL European Historical Consolidated Tape 数据集概述

数据集基本信息

• 数据集名称: BMLL European Historical Consolidated Tape (EHCT)
• 提供商: BMLL Technologies
• 获取方式: 免费试用 (Trial: 30 day trial)
• 数据更新频率: 每日 (Daily)
• 时间覆盖范围: 2017年1月1日之后 (After January 1, 2017)
• 地理覆盖范围: 欧洲 (Europe)
• 云区域可用性:
  • AWS EU (Ireland)
  • AWS US East (N. Virginia)

数据集描述

欧洲历史综合行情数据 (EHCT) 提供了欧洲股票市场历史交易前和交易后数据的完整视图。它无缝整合了所有交易场所的 Level 2 报价数据，显示综合订单簿的前10个价格水平，并捕获欧洲交易所、MTF 和 APA 的每一笔交易。

核心功能与特性

• 综合最优买卖报价 (Consolidated BBO): 10个市场深度级别，按价格汇总，包括主要交易场所和所有二级市场。
• 全面的交易记录 (Comprehensive Trade Records): 涵盖所有交易所、MTF 和 APA 的交易，包含交易所时间戳和一致的标准化处理。
• 丰富的执行数据 (Enriched Execution Data): 包含完整的 MMT 标志、交易条件代码、延迟交易报告以及修改/取消的交易。
• 攻击方洞察 (Aggressor Insights): 使用 Level 3 数据识别公开交易的攻击方。

核心价值

• 买方 (Buy-Side): 了解流动性以评估经纪商、回测策略、执行交易成本分析 (TCA) 并创造阿尔法收益。
• 卖方 (Sell-Side): 评估执行质量、改进智能订单路由并跟踪流动性碎片化。
• 交易所 (Exchanges): 分析订单行为背景，并评估碎片化交易场所和机制的市场份额。

业务需求应用场景

• 市场分析 (Market Analysis): 通过综合的毫秒级报价和交易视图分析碎片化的欧洲股票流动性，支持流动性基准测试、市场结构研究和策略验证。
• 定价分析 (Pricing Analysis): 提供可靠的历史综合最优买卖报价和交易记录，以评估价格形成和价差行为。企业可以使用一致、标准化的数据来评估执行质量和优化路由决策。
• 定量分析 (Quantitative Analysis): 提供适用于回测和模型开发的高精度订单簿和交易数据。量化团队可以使用综合的多交易场所数据模拟真实的市场条件并衡量微观结构效应。

数据字典与表结构

数据集包含以下主要表：

• CBBO_EMEA
• REFERENCE_EMEA
• TRADES_EMEA

数据预览 (示例列，共76列):

• TICKER (Varchar)
• ISO_EXCHANGE_CODE (Varchar)
• TRADE_DATE (Date)
• EVENT_TIMESTAMP (Timestamp_NTZ)
• LOCAL_TIMESTAMP (Timestamp_NTZ)
• TIMESTAMP_NANOSECONDS (Number)
• TZ_OFFSET (Number)
• BID_PRICE1 (Float)
• BID_QUANTITY1 (Number)
• BID_NUM_ORDERS1 (Number)
• ASK_PRICE1 (Float)
• ASK_QUANTITY1 (Number)
• ASK_NUM_ORDERS1 (Number)
• ... (后续为第2至第8档买卖价格、数量及订单数，格式类似)

使用示例 (SQL查询)

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

2. 选择样本参考数据集: sql SELECT * FROM REFERENCE_EMEA WHERE TICKER = VOD;

3. 查询特定证券的交易笔数: sql SELECT COUNT(*) FROM TRADES_EMEA WHERE INSTRUMENT_ID =121429; -- Vodafone Instrument ID

4. 识别给定交易所按交易类型的交易量: sql SELECT T.BMLL_TRADE_TYPE, COUNT(*) AS NUMBER_OF_TRADES FROM REFERENCE_EMEA R JOIN TRADES_EMEA T ON R.INSTRUMENT_ID = T.INSTRUMENT_ID AND R.MIC = T.MIC AND R.REFERENCE_DATE = T.TRADE_DATE WHERE T.MIC=XLON GROUP BY T.BMLL_TRADE_TYPE;

5. 检索给定时间戳的 EBBO 中点价: sql SELECT EXCHANGE_TICKER, TRADE_DATE, EVENT_TIMESTAMP, 0.5 * (ASK_PRICE1 + BID_PRICE1) AS MID FROM CBBO_EMEA WHERE EXCHANGE_TICKER = VOD AND EVENT_TIMESTAMP <= 2025-09-10 09:47:44 LIMIT 5;

6. 查找每个符号的 EBBO 价差中位数: sql SELECT TRADE_DATE, EXCHANGE_TICKER, MEDIAN((ASK_PRICE1 - BID_PRICE1) / (0.5 * (ASK_PRICE1 + BID_PRICE1))) AS "AVERAGE SPREAD" FROM CBBO_EMEA GROUP BY TRADE_DATE, EXCHANGE_TICKER ORDER BY TRADE_DATE, EXCHANGE_TICKER;

文档与规格

• 概览文档 (Factsheet): Trades Data Factsheet / Millisecond CBBO Factsheet
• 详细文档 (Documentation): EHCT Documentation / Normalised Trades Documentation / Millisecond CBBO Documentation
• 数据覆盖范围 (Coverage): Data Coverage

提供商其他相关数据集

• BMLL Daily Reference
• BMLL Statistics
• BMLL National Best Bid Offer
• BMLL Auction Imbalance
• BMLL Market State
• BMLL Level 2 Quotes

联系方式

• 销售: [e-mail]
• 支持: [e-mail]

法律条款

• 条款类型: 自定义 (Custom)