For traders, the price book is an easily referenceable view of demand for a security and can underscore where points of support or resistance exist.Ĭonversely, the order book (also called “market-by-order” or MBO) provides a more granular view of Level 2 data, listing all quotes at each price level. Certain exchanges offer summarized views of the price book, supplying the 5-15 highest bids and 5-15 lowest offers to simplify the book view and provide more affordable access to Level 2 data. The price book (also called “market-by-price” or MBP) aggregates quotes at the same price, showing all quotes for the same bid or ask price as one line in the book and one aggregate volume. Also called depth of book, Level 2 includes the price book and order book, listing all price levels of quotes submitted to an exchange and each individual quote. Level 2 is a generalized term for market data that includes the scope of bid and ask prices for a given security. More so, understanding how access translates into needs for the exchanges’ direct feeds is key to ensuring meaningful conversation around goals, needs, and costs for a more profitable trade strategy. Understanding the types of market data is first in delineating market data access needs. However, there is more distinction to Level 2 and the order book when planning for market data requirements. How to use Level 2 market data and how it fits within your firm’s strategy to ensure proper market data budgeting.įor display traders, Level 2 commonly describes the subsequent quotes to the best bid and ask at either end of a spread.

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