BMLL

BMLL is the leading independent provider of harmonized, continually engineered Level 3, 2 and 1 historical market data and analytics, serving banks, brokers, asset managers, hedge funds, exchanges, regulators and academic institutions. 

BMLL’s compute-ready platform provides access to T+1 order book data and advanced pre- and post-trade analytics across global equities, ETFs, futures, options and prediction markets, giving users the ability to understand market behavior, accelerate quantitative research, optimize AI and trading strategies, and generate alpha more predictably. 

For quantitative researchers and data scientists, BMLL removes the complexity of sourcing, cleaning and harmonizing historical market data, enabling them to focus on developing insights rather than engineering data pipelines. They gain immediate, cost-effective access to the industry’s most comprehensive historical order book data and analytics in a cloud-native Data Science environment to analyze market structure and impact, optimize execution, back-test trading strategies and build AI applications on BMLL’s high-fidelity data. 

The company was founded in 2014 in the machine learning laboratories of the University of Cambridge.

Company Information

Available Datasets

BMLL Data Lab

A scalable Python research environment which provides direct access to a harmonized data warehouse for sophisticated quants and researchers seeking actionable insight and alpha.

BMLL Data Feed

Data and analytics derived from Level 3 historical order books, providing insights to better inform trading decisions, delivered directly to your production systems.

BMLL market data and analytics are available via API / Azure / GCP / kdb+ / SFTP / S3 / Snowflake / Databricks.

BMLL Vantage

An intuitive no-code visual application, bringing exceptional granular insight to all market participants by providing over 500 metrics derived from BMLL Level 3 Data, covering global Equity and ETF venues.

Available Data Sets

  • BMLL Trades: Normalized historical trade data
  • BMLL Trades Plus: Enriched trade data and analytics derived from granular order book information
  • BMLL Level 1 Quotes: Best bid and offer data
  • BMLL Level 2 Quotes: Aggregated order book depth
  • BMLL Level 3 Market-by-Order: Individual order-level events and full-depth order book data
  • BMLL Millisecond Consolidated BBO: Consolidated best bid and offer data at millisecond intervals
  • BMLL National Best Bid and Offer: Consolidated US best bid and offer information
  • BMLL Data Feed Analytics: Precomputed market quality, liquidity and trading analytics
  • BMLL Daily Reference Master: Daily reference and instrument information
  • BMLL Market State Data: Information identifying market and trading-session states
  • BMLL Auction Imbalance Data: Historical auction imbalance information
  • OPRA US Equity Options: US listed equity options data

Market Coverage

BMLL’s indicative coverage spans equities, ETFs, futures, options and prediction markets across the Americas, EMEA and Asia-Pacific.

You can find the full market coverage at https://www.bmlltech.com/market-data-coverage