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Level 3 Depth of Book Data

  • Access nano-second Level 3 depth of book data 
  • Receive data & analytics from the full depth order book
  • Visualize depth of book data & analytics to gain insights
Let's Talk About Depth of Book Data

​​We handle the data & IT, so you can focus on your research.

DIH has partnered with BMLL Technologies to provide Level 3 depth of book data. DATA LAB combines nano-second Level 3 order book data with easy-to-use APIs and analytics libraries in a secure AWS cloud environment. DATA LAB enables you to perform scalable research without the burden of data sourcing, data curation or data engineering. 

DATA LAB seamlessly integrates with your production tools and workflows, allowing you to efficiently turn research into actionable results. Power up the cloud resources you need, and in a few lines of code you can unlock the predictive power of order book data.

Key features:
  • DATA — harmonized historical Level 3 order book data across global equities, ETFs & futures from over 45 exchanges and trading venues.
  • TOOLS — python libraries, analytics packages, execution simulators and machine learning libraries to analyze our data and run multiple computations in parallel across all our markets.
  • CLOUD COMPUTING — APIs and dashboards make it simple to get the resources you need when you want them, and remove the challenge of cloud engineering from you.
  • EASY INTEGRATION — turn research run on DATA LAB into meaningful insight you can use in your production systems.​

Receive Analytics on Depth of Book Data.

Our DEPTH DATA includes ready-to-use data & analytics bundles computed from the most granular data, giving you the insight you need to outperform the competition. Pre-computed from the full depth order book, get actionable insight on the mechanisms of the market you trade. Our analytics bundles are used by leading buy-side and sell-side institutions to gain a competitive edge, as well as major exchange groups and trading venues to better analyze trading on their venues.

Use our Derived Depth of Book Data for:
  • Venue Analysis — compare venues and exchanges according to insights in liquidity/order flow/volume.
  • Trading Cost — understand the real cost of trading your portfolio in a given market, and what the true liquidity picture looks like.
  • Alternative Pricing — get insights from order placement statistics, order fill behavior, auction analysis, trade quality, depth liquidity and spread metrics.
  • Pricing & Analytics — ingest Level 1 metrics into your existing workflows to enhance your insight and integrate with existing market risk & P&L systems.
  • Trading Insight — understand the true impact of large and hidden trades on the order book and how they affect venue participant behavior.

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Born out Cambridge University and live since 2015
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Up to 5 years of historical data for global equities, ETFs and futures
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DEPTH DATA delivered by bulk file download or API
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Raw underlying price & reference data updated daily
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Flexible pricing available - contact us for details

Visualize Depth of Book Data.

Deployed either as standalone dashboards or integrated into your existing workflow, DATA VIZ provides decision makers with actionable insight they can trust. Powered by DATA LAB, our visualization tools help end-users quickly identify important insights in the markets. Driven by our machine learning capabilities and Level 3 granular data, DATA VIZ gives you all the predictive power of order book data, in interactive and visual tools.

Who Can Benefit from Depth of Book Data.

Our depth of book data solutions are currently used by:
  • Investment Banks
  • Brokers
  • Hedge Funds
  • Asset Managers
  • Exchanges & Trading Venues
  • Service Providers (e.g., OMS, EMS, IT providers, data vendors, etc.)
Let's Talk About Depth of Book Data
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  • Data
    • Financial Data
    • Alternative Data
  • Consulting
    • How We Help
    • Offshore Data Support
    • Monetize Your Data
  • Tools
  • Case Studies
    • Case Studies List
    • #1 - Universe Reconstruction
    • #2 - Reference Data
    • #3 - Corporate Actions
  • About DIH
    • DIH's Story
    • Partners
    • Careers
    • DIH Blog
    • Privacy Policy
    • Terms of Use
  • Contact