Nanotick | BBO provides historical market data at high resolution time stamped data based on the Level 1 best available bid and offer prices i.e. statistics data about Top-Of-Book changes for Bid/Offer.

Nanotick | CME | BBO Consolidated (BBO-C) is similar to simple BBO, but it also contains statistical information about the Top-Of-Book for the Consolidated book which combines both Direct and Implied books.

These Nanotick artefacts are simple csv formatted file extracts designed to ensure that they can be incorporated to a wide range of data analysis tools. It may be used directly within Excel, or by users developing strategies in Matlab, R, or other tools for analysis of quotes on specific instruments against time.

 

Nanotick Market Data Artefact Types