- Sold by BMLL Technologies
Price $5 | 1 month subscription available.
Sample Intraday VWAP for SPY Consolidated Limit Order Book. SPY for one day at five second sampling frequency. 12 June 2019. Timezone is UTC.
About BMLL Technologies
BMLL is a financial data aggregator operating in the same vertical as Bloomberg, Markit, Refinitiv (Reuters) and Morningstar. BMLL specializes in managed services on L3 (public) and L4 (private) limit order book data and associated analytics accessed through APIs. BMLL's data coverage is cross asset class and cross geography. We tend to hold between three and five years of historical data. BMLL's has offerings in the space of agent based modelling, order book simulation, back-testing, best execution, market impact and many others.
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- Sold by BMLL Technologies
Price $5 | 1 month subscription available.
Sample Intraday Order Imbalance for SPY Consolidated Limit Order Book. SPY for one day at five second sampling frequency. 12 June 2019. Timezone is UTC. Imbalance calculated from the full depth of the book.
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