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Quantitative Finance · Begrippenlijst

Wat is Level 1, level 2, level 3?

Ook bekend als: level 1 · level 2 · level 3

Definition 28.1 Markets I: The Ecosystem and Exchange-Traded Markets · Hoofdstuk 28 — Reading Market Data

Level 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.

One book at three levels of detail. Each level can be computed from the one to its left and never the reverse: a vendor’s one-second bars are level 1 sampled; they cannot be turned back into a book.
Figure 28.1. One book at three levels of detail. Each level can be computed from the one to its left and never the reverse: a vendor’s one-second bars are level 1 sampled; they cannot be turned back into a book.
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