المدربLevel 1 data is the best bid and offer with their sizes, and the last trade. Level 2 data is the book aggregated by price: for each price level, the total size (and sometimes the number of orders), to some depth or in full: the market-by-price feed of Definition 19.9. Level 3 data is every order individually, with its identifier and every event in its life: the market-by-order feed, from which the other two can be computed and which alone gives queue positions.
