VBBO (Volume weighted Best Bid and Offer)
VBBO – the pan-European benchmark
Calculated by a virtual order book that consolidates the visible pre-trade information (Level II data) gathered from significant relevant markets, VBBO is a real-time data feed that gives you access to a single source of pan-European equity price data. It provides a benchmark against which other execution venues can be compared.
VBBO is calculated for both the Standard Market Size (SMS) and the Retail Market Size (RMS). VBBO is the same price you would attain were you to make the ideal partial executions in all of the reference markets.
The VBBO covers the most liquid stocks traded in Europe including all major index stocks. For an overview of the inclusion criteria and list of instruments traded please visit the Instruments Traded page.
How to get it
VBBO is available for two price points from market data vendors such as Bloomberg (stock symbol with suffix "BQ") or Thomson Reuters (stock symbol with suffix ".EDv"), from ISVs such as GL Trade or Fidessa and direct from Equiduct Systems through a market data server Fix 4.4.
The VBBO is also available through our Liquidity Viewer.
For a demonstration of VBBO on the Liquidity Viewer, please contact sales@equiduct.com.
