What is the difference between Level 1 and Level 2 data? .
Level 1 Data is the basic quote data available to investors. It displays the national best bid and offer (NBBO) quote in real time, i.e. the highest bid and lowest ask price for an individual security. Users can also see other real time information such as volume, last price, and best bid/ask size. This is sufficient for most investors.
Level 2 data builds on Level 1 data by also displaying market depth. Market depth means the market’s ability to trade large orders without impacting the price of a security. Users with level 2 data will see the NBBO and also see the next best 30 bid/ask prices, as well as the size for each price level, all in real time. This gives the user a much more granular picture of the order book for a security. Active or High-Frequency traders will prefer Level 2 data.
For instance, the following is a snapshot of Level 2 data for GOOG:
A user with Level 1 data would only see the first line. GOOG is trading at USD 2729.65, with a bid of 2729.77 for 100 shares and an ask of 2730.42 for 100 shares.
A user with Level 2 data sees all the pending orders displayed here. They can then adjust their strategy accordingly. For instance, they would know that the market could absorb a sell order of up to 500 shares at the bid price of 2729.77, not just the 100 shares suggested by Level 1 data.
Please note that the time on bid/ask prices goes down to the second, so naturally this picture changed the moment the screenshot was taken.
What QuoteMedia Offers
When purchasing Level 2 data, time and sales information will also be available for the last 30 trades. We offer Level 1 and 2 data on the following exchanges:
London Stock Exchange (LSE)
Toronto Stock Exchange (TSX)
Canadian Securities Exchange (CSE)
Canadian Alternative Trading Systems including Alpha, CSE Pure, Omega, Lynx, NEO-N, and Nasdaq CXC and CX2
CME Markets (CME, CBOT, COMEX, NYMEX)
We offer Level 1 data for the following exchanges:
Nasdaq Canada Basic
Canadian Consolidated Quotes (CCQ)
In addition to the Level 1 data here, NASDAQ and NASDAQ Basic users can add on NASDAQ TotalView with OpenView, which gives Level 2 data for Nasdaq, NYSE and NYSE American orders on the NASDAQ exchange network. See here for further details: https://support.quotemedia.com/en/support/solutions/articles/13000023255-nasdaq-depth-data-level-2-totalview-with-openview-.
Please note, you must purchase Real-Time Level I data packages to purchase Real-Time Level II data packages for a specific exchange. See our Data Coverage document for more information: https://quotemedia.com/pdfs/QuoteMediaDataCoverage.pdf.