Level 2 Depth Data Overview

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Level 2 data consists of the "buyers" (bids) and the "sellers" (asks) pertaining to a specific instrument. While Level 1 provides the "best" bid and the "best" ask within a market, Level 2 data provides all the bids and all the asks contributing to that market.

The API provides access to the Level 2 depth data available from the Interactive Data Consolidated Feed. Use the API to get an initial load of the top 50 levels (top 50 buyers, top 50 sellers) followed by streaming updates as they occur for a symbol. You can receive streaming data for up to 12 unique symbols simultaneously. Depending upon your account entitlements and services agreement with Interactive Data you may have the ability to stream more than 12 symbols.

Note: Level 2 data is available as real-time data only. The IDC Consolidated Feed does not offer delayed Level 2 data. You must be entitled for real-time data for each venue from which you need to receive Level 2 data. For Level 2 trial or testing purpose, IDC has canned data for a small set of exchanges. To access this data, contact IDC sales.

The table bellows describes the types of real-time data that the API provides:

Market Depth TypeDescription
Order Book Order books are collections of purchase and sale orders. For the initial snapshot, IDC sends the top 50 levels. For streaming updates, IDC sends all levels. Except for ARCA and LSE, book by price data is also available for order books.
Book by Level
(Aggregate Depth)
Book by Level is the set of pre-defined price levels (by exchange) with aggregate size at that level and order count at that level.
Book by Price Book By Price is just different view of Order Book. The orders are aggregated by price, to provide total size and order count at given price. There is no limit on how many price levels you can receive for given symbols. This depth type is mostly generated by IDC using order book (such as for TSX, Alpha, ICE, Bovespa), except for "NYSE Open Book" which comes from the "Book By Price" feed from the exchange.
Book by Market Maker Book By Market Maker is the collection of "Best Price" from individual Market Makers. Market Makers typically take themselves off the market by putting out a very low bid price or very high ask price.
Book by Market Maker Extended This is a special depth type provided by NASDAQ called "TotalView" which is a combination of Book By Price and Book By Market Makers. It is the collection of all the orders at a given price by a Market Maker.

In addition to market depth data, the API provides Net Order Imbalance data from NASDAQ and NYSE. The purpose of this data is to enhance transparency of the markets and to find an effective opening and closing price based on supply and demand in the marketplace. In the minutes before the open and the close, these markets disseminate details of the order imbalance.