BMLL Auction Analytics
BMLL Auction Analytics
BMLL Auction Analytics
The BMLL Auction Analytics Dataset provides insights into closing auctions across equity venues. It enables market participants to analyze pricing behavior, order imbalance, and market activity around auction events.
The dataset includes detailed measurements on auction dislocations and imbalances, supporting the evaluation of liquidity dynamics, slippage and price dislocations, execution strategies, and venue performance.
Category:
Pre-Trade Analytics
Type:
historical
Workspace:
EDGE
Dataset Id:
AUCTION_ANALYTICS
Region:
US
History:
1 Year
Records:
120,924,370
Newest Record:
10/26/2026
Oldest Record:
01/02/2024
Updated At:
10/27/2026
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Use Cases
- Execution Strategy Optimization: Understand auction price dislocations to refine time/venue execution strategies.
- Liquidity Assessment: Evaluate post-auction liquidity to measure the depth of potential slippage.
- Venue Comparison: Conduct cross-exchange auction performance to optimize order routing decisions.
Highlights
- Dislocation vs 1-min, 5-min, and last trade before close
- Auction order imbalance (absolute + notional)
- Imbalance as % of total daily volume
- Venue-level normalization
Provider
Published ByBMLL
Methods
https://api.blueskyapi.com/v1/data/EDGE/AUCTION_ANALYTICShttps://api.blueskyapi.com/v1/data/EDGE/AUCTION_ANALYTICS/:tickerhttps://api.blueskyapi.com/v1/data/EDGE/AUCTION_ANALYTICS/:ticker/::mic- https://api.blueskyapi.com/v1/data/edge/AUCTION_ANALYTICS/aapl
Example API Request URL
Time Series Query Parameters
You can use any time series query parameters with this dataset.
View the full documentation →
Response Attributes
| Key | Type | Description |
|---|---|---|
| auctionDislocationClosing1M | number, null | The change (in basis points) between the mid-point price 1 minute prior to the end of continuous trading and the closing price of the auction on the Regulated Market. |
| auctionDislocationClosing5M | number, null | The change (in basis points) between the mid-point price 5 minutes prior to the end of continuous trading and the closing price of the auction on the Regulated Market. |
| auctionDislocationClosingLast | number, null | The change (in basis points) between the last mid-point price during continuous trading and the closing price of the auction on the Regulated Market. |
| auctionOrderImbalanceAbs | number, null | The excess volume after the closing auction stays on the book after the auction execution. This is the volume of bid orders at the crossing price minus the volume of ask orders at the crossing price. |
| auctionOrderImbalanceNotional | number, null | The excess notional volume after the closing auction that stays on the book after the auction execution. This is the notional volume of bid orders at the crossing price minus |
| auctionOrderImbalancePercentageAuction | number, null | The excess volume after the closing auction that stays on the book after the auction execution as a percentage of volume traded during the auction. This is the volume of bid orders at the crossing price minus the volume of ask orders at the crossing price. |
| currencyCode | string, null | The currency of the order book information; as provided by the exchange |
| instrumentId | number, null | The BMLL identifier of the BMLL instrument. BMLL instruments are designed to connect listings of a designated underlying asset when they are issued with a similar condition (i.e. same quoting currency, geographical, legislation region, primary reference venue). |
| listingId | integer, null | The BMLL ListingId is used to identify a specific instrument on a market venue (trading venue or reporting venue). BMLL listings identify uniquely every ticker on the venue and remain attached to the instrument even when a ticker change occurs, though changes of primary instrument identifier (such as ISIN changes) can cause a new listing_id to be issued. |
mic* subkey | string | The Market Identifier Code (MIC) is used to uniquely identify the exchange for which the trade is reported |
| opol | string, null | Original Place Of Listing for the Instrument. |
ticker* key | string | The ticker provided by the exchange. |
tradingDate* date | string | The specific date on which a trade was executed |
* required
Attribution
Please include the following somewhere on your site or application, Source: BMLL. https://www.bmlltech.com
HTTP REQUEST
GET/v1/data/EDGE/AUCTION_ANALYTICS?last=1
HTTP RESPONSE
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