Level 1 vs Level 2 Market Data: Key Differences
Level II Market Data Level I market data, also known as top-of-book data , provides an unfiltered, tick-by-tick feed of the last traded price, along with the best bid and best ask prices for a given futures market.
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Market Data
Level I market data, also known as top-of-book data, provides an unfiltered, tick-by-tick feed of the last traded price, along with the best bid and best ask prices for a given futures market.
Level II market data, also known as full market depth or order book data, includes everything in Level I plus information on the number of pending contracts resting at prices above and below the last traded price.
Level II data is best viewed in the SuperDOM window/module in the KGI Crusoe Web where you can see pending orders waiting to be filled in the DOM's Price Ladder.
Note: Level II data is not inherently better or faster than Level I—it simply offers additional depth that may be useful for some traders.
Example of Level I Data
The screenshot below shows an example of live Level I data where market depth is only displayed at the current bid and ask prices.
Example of Level II Data
The screenshot below shows an example of live Level II data where market depth can be seen at each price level above and below the current bid and ask prices.
Pending orders are displayed below the current bid price on the Buy column, while pending orders are displayed above the current Ask price in the Sell column.
