Understanding level 2 data

Level 2 data is a second layer of market data that shows detailed market information for securities traded on Canadian and U.S exchanges. It shows the depth of a market, including the order sizes that are available at each of the available prices and all orders that are currently pending for the market.

You can view market data for symbols listed on any Canadian and U.S exchange by price, broker, or order (only Canadian exchange). In addition, level 2 data displays the best 20 bids and asks for a symbol, although there may be fewer bids or asks displayed if there are less than 20 total bids or asks in the market.

You can get level 2 data by subscribing to our paid data packages or individual market data add-ons. Learn more about real time market streaming data and pricing.

Depending on whether the data refers to a Canadian or U.S. exchange, this in-depth data can be displayed in different ways.

• Market by price: Shows, as a single record, a combined view of all orders from each broker at a given price level for the security.

• Market by broker: Shows each broker separately at all of the price levels they currently offer for orders.

• Market by order: Shows, as a single record, each outstanding order in the order books, sorted by bid or ask price.

• Market by price: Shows, as a single record, a combined view of all orders from each broker at a given price level for the security.

Now that we know the different views available for Canadian and US, let’s take a look at examples and how we can read the data.

Note: When you subscribe to a level 2 data package for any Canadian exchange, the default display for your data is market-by-price. You can upgrade your subscription at any time to see market-by-broker or market-by-order.

Market by price

Market by price view shows orders grouped together at each price level and separated by an exchange. In addition, market by price can be used to help determine the liquidity of the security at different venues.

For example, when looking at a bid price of $167.00, we can see on the TotalView venue that there are a total of 135 shares at that price. Following is EDGX with 109 shares and ARCA with a total of 79 shares at that price. When looking at the ask of $167.25, EDGX has orders totaling 300 and ARCA with 5 shares.

• Exchanges: Canadian & U.S.
• Available on: Questrade Edge Web & Desktop

Market by broker

Market by broker tells you which broker the orders come from. Here, the view will show orders separated by brokers (under ID column) at each price level.

When looking at the bid price of $57.18, we can see that order(s) were placed at RBCM at that price, routed through the TSX, totaling 50 shares. Order(s) were also placed at QUES, also routed through TSX, totaling 13 shares.

• Exchanges: Canadian only
• Available on: Questrade Edge Web & Desktop

Market by order

Market by price view shows orders grouped together at each price level and separated by an exchange. In addition, market by price can be used to help determine the liquidity of the security at different venues.

For example, when looking at the bid of $167.01, we can see that two orders exist at this price. One order is totaling 100 shares, and the other totaling 29 shares. In addition, at the ask of $167.20, we can again see two orders. One order totaling 341 shares, and the other for 5 shares.

• Exchanges: Canadian only
• Available on: Questrade Edge Web & Desktop

You can easily customize your level 2 window for convenience and better tracking of securities. To customize your data, head over to your level 2 data tool and click on the drop down menu selection to see some of the major options.

Settings

Selecting settings will allow you to edit the major sections on your level 2 data windows including:

Venues

Under the Venues section, you can select the venues you wish to display on your level 2 window. Depending on your data package, certain venues will be greyed out and can’t be selected. To see which venues are included within each data package, please check the market data packages available.

Market data

You can select the market data you wish to display by:

• Market-by-price
• Market-by-broker (CDN markets only
• Market-by-order

Edit Columns

The Edit Columns section allows you to add different columns to the Level 1 and Time and sales sections within the Level 2 window. To add Level 1 data, hover over the Edit columns section and choose Level 1. Select the columns you want to display and click OK.

Please note that the Time and sales window has to be enabled via View > Time and sales to be able to view this window within Level 2. Once you select your preferred data, you’ll see the added sections within the Level 2 window highlighted below.

Font and Colour

The Font tab and the Colour tab within the settings window allow you to change the look of the Level 2 data, based on your preferences. Any settings that are entered are previewed in the bottom section of the Level 2 window so that changes can be reviewed before they are applied.

Please note: The Font settings apply only to the Level 2 cells, the other information, such as the order entry, Level 1 or any other sections of the Level 2 window are not changed.

Order entry preference

Order entry preferences lets you choose different criteria when you’re placing an order. This includes:

• Default values for order quantities and parameter
• Cross zero order
• Order entry label
• Price validation
• Synthetic order triggering
• Confirmation and warnings

View

The view section allows you to add Order entry, Level 1 information, and Time and sales information within the Level 2 window.

Duplicate window

This option allows you to copy and open another level 2 window with the exact same settings you set up.

Video tutorial and Help

The video tutorial and help directs you to a selection of helpful (Youtube) videos for Questrade Edge Desktop and level 2 data article.

Note: The information in this blog is for educational purposes only and should not be used or construed as financial or investment advice by any individual. Information obtained from third parties is believed to be reliable, but no representations or warranty, expressed or implied, is made by Questrade, Inc., its affiliates or any other person to its accuracy.