Order book is a list of buy and sell orders on a particular financial instrument. Market data subscriptions are typically classified by the data availability of the order book - number of price levels and access to orders on each price level. There are two basic classifications of data availability - Level 1 and Level 2.
Level 1 market data
The first type - Level 1 data or Top of Book - provides the highest bid and the lowest ask across multiple exchanges (NBBO) or the highest bid and the lowest ask of a single exchange.
Level 2 market data
The second type - Level 2 data or Depth of Book - lists multiple price levels of bids and asks on a given financial instrument. Level 2 data can either:
Provide access to an aggregated view of quotes at the specific price level, showing all quotes for the same bid or ask price as one line in the book and one aggregate volume. It is also called Price Levels or “market-by-price”.
Provide access to all quotes at each price level. It is also called Market Depth or “market-by-order”.
dxFeed subscriptions
The depth of a subscription is most frequently used for a representation of data in a Depth of Market (DOM) window of a trading terminal. dxFeed offers multiple subscription types to meet everyone’s needs. Subscription type determines the data availability for the account:
Top of Book subscription provides access to one Best Bid and one Best Ask real-time values only. |
Price Levels subscription provides access to aggregated Level 2 real-time values, up to 15 levels on each side. |
Market Depth subscription provides access to all available Level 2 real-time values. |
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Note
Price level and Market Depth subscriptions include Top of Book data.
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