· MARKET DATA
Level 1 and level 2 data in plain terms
Level 1 data is the best bid, best offer and last trade. Level 2 adds the size resting at each price behind them. One ES quote shows what each one carries.
SHORT ANSWER
Level 1 market data gives the best bid, the best offer, the size at each and the last trade. Level 2 data adds resting size at several prices behind the best bid and offer, often ten on each side for CME futures. A DOM or liquidity heatmap needs level 2. A price chart or footprint can run on level 1.
Level 1 and level 2 data are two depths of the same order book. Level 1 data is the top of the book. It holds the best bid, the best offer, the size at each, and the last trade. Level 2 data adds the size resting at prices behind the best bid and offer. The note on what the DOM shows and hides covered the ladder that level 2 feeds. This note puts one quote side by side in both forms.
The words used here
A bid is a resting order to buy at a stated price. An offer, also called an ask, is a resting order to sell. The best bid is the highest bid in the book and the best offer is the lowest offer. Resting size is the number of contracts waiting at a price.
One ES quote in level 1
Here is an invented level 1 update in the E-mini S&P 500 future, ES, at 10:14:07 ET.
| Field | Value |
|---|---|
| Best bid | 5,050.00 |
| Bid size | 42 |
| Best offer | 5,050.25 |
| Offer size | 37 |
| Last trade price | 5,050.25 |
| Last trade size | 3 |
| Session volume | 412,880 |
A level 1 feed carries nothing beyond these fields. You know the spread is one tick, or 0.25 points. You know 42 contracts wait to buy at 5,050.00 and 37 wait to sell at 5,050.25.
The same moment in level 2
A level 2 feed adds the prices behind the best bid and offer. CME publishes ten levels on each side for ES in its market by price feed. Here are the first five on each side.
| Bid size | Price | Offer size |
|---|---|---|
| 5,051.25 | 310 | |
| 5,051.00 | 128 | |
| 5,050.75 | 96 | |
| 5,050.50 | 61 | |
| 5,050.25 | 37 | |
| 42 | 5,050.00 | |
| 88 | 5,049.75 | |
| 104 | 5,049.50 | |
| 77 | 5,049.25 | |
| 640 | 5,049.00 |
The level 1 rows are still there, at 5,050.00 and 5,050.25. Level 2 adds the other eight rows in this table.
What a 150-lot market buy does
Suppose a buyer sends a market order for 150 contracts at 10:14:08. The order fills against the offers from the lowest price up.
- 37 contracts fill at 5,050.25, which clears that level.
- 61 contracts fill at 5,050.50, which clears that level.
- The last 52 contracts fill at 5,050.75, leaving 44 of the 96 resting there.
The buyer paid an average of about 5,050.53. After the order, the best offer is 5,050.75 with 44 contracts.
A level 1 feed shows the result. The best offer moves from 5,050.25 to 5,050.75 and the last trade prints at 5,050.75. A level 2 feed showed in advance that 98 contracts sat across the first two offer prices and 96 more sat at the third. Only level 2 lets you count how far a 150-lot would move price before it trades.
What each level feeds on a chart
A candle chart, a footprint chart and a volume profile are all built from trades, so a level 1 feed covers them. The aggressor side of each trade comes with the trade itself.
A DOM ladder and a liquidity heatmap draw resting size at many prices, so both need level 2. Data vendors price the two separately. ATAS lists a dxFeed top of book subscription for CME at US$19 a month per exchange, and the research for this site notes that it does not supply the depth a heatmap needs. Quantower lists a Level 2 feed as a requirement for its DOM Surface heatmap. The costs page sets these fees next to each platform's licence.
What level 2 still leaves out
Level 2 gives one total per price. The 640 at 5,049.00 could be one order or sixty. The note on MBP and MBO data explains market by order data, which lists each order with its own ID. Some vendors call that level 3.
Level 2 also stops at the published depth. With ten levels on each side, an ES feed covers 2.5 points of price in each direction. A 2,000-lot bid resting 4 points below the best bid does not appear on that feed at all.
A check you can run
Open your platform's data or connection settings and find the depth it receives for one instrument. Then count the price rows with size on your DOM on each side of the best bid and offer. If the count is one, you have level 1 only. If it stops at ten, a level 2 feed with ten levels is drawing your ladder.
Questions
What is level 1 market data?
Level 1 data is the best bid, the best offer, the size resting at each, and the price and size of the last trade. It is also called top of book data.
What is level 2 market data?
Level 2 data shows resting size at several prices on each side of the book, not only the best bid and offer. It is also called market depth, and a DOM ladder or liquidity heatmap draws from it.
Do I need level 2 data for a footprint chart?
A footprint is built from trades and the side each one hit, which a level 1 feed already carries. Level 2 adds the resting orders that a footprint does not show.
Is level 2 data the same as market by order data?
No. Level 2 usually means market by price data, one total per price level. Market by order data lists every resting order separately, and some vendors call it level 3.
Educational content about market data and charting software. It is not trading or investment advice. Trading involves risk.