4 ms·
> "A level is simply a price. Why not call it a price? > I have a sneaking suspicion Wall Street invented many of > these words to give customers the impr
by tezza 11y ago
> "A level is simply a price. Why not call it a price?
> I have a sneaking suspicion Wall Street invented many of
> these words to give customers the impression “This is
> all really, really difficult — pay us money and the
> complexity goes away.”)"
Its called a level because an order book has many different orders at different prices and quantities. If you funge all the quantites at the same price together you create a 'level', say 1100 shs of VODAFONE @ 107.5 . The next 'level' may then be 17 shares of VODAFONE
@ 108 followed by 5 shares @ 110
--
Another term for 'Level' is a trade term for what 'level' of market data you are paying for.
Level 1 Market Data corresponds to trade and price data... Price, bid, ask, trade price, trade quantity
Level 2 Market Data corresponds to when you want to know much more about what is happening on the exchange. You want to know how many orders are on each book and at what price/qty.
This is also commonly referred to as 'Depth of Book'
Dark Pools do not send out Level 2 data, while primrary exchanges do ( LSE, NYSE )
- MichaelGG 11y agoAny suggestions on what to read to get up on these details? I've started "Trading and Exchanges", "Algorithmic Trading and DMA", and "Market Microstructure in Practise". Does that sound like a good path?
- hardikp 11y agoFor US equities, nanex research articles (http://www.nanex.net/NxResearch/ResearchPage/0/?sort_val=date http://www.nanex.net/NxResearch/ResearchPage/0/?sort_val=dat...) provide good insight into various aspects. I haven't read any of the books you've mentioned. But, "Market Microstructure in Practise" seems more relevant. By the way, the overall trading landscape has changed rapidly over the past few years and the pace of change continues to increase.
- this_user 11y ago> Level 1 Market Data corresponds to trade and price data... Price, bid, ask, trade price, trade quantity That's not correct. What you describe is simply a trade that appears on the Time & Sales (aka "the tape"). Level 1 represents the inside quote, meaning the highest bid and lowest offer. Level 2 represents the combined highest bids and lowest offers of all market participants (which obviously includes the L1 data).
- brobinson 11y agoI've seen level 2 data called "depth of market" more than anything.