Level 1, level 2 and level 3 market data describe how much of an order book a feed shows. Level 1 is the top of the book: the best bid, the best offer and the trades. Level 2 adds the total size resting at each price. Level 3 sends each order on its own. Level 2 vs level 3 market data comes down to the length of a queue against the place of each order in it [1, 2, 21].
The labels themselves are loose. Nasdaq's own product named Level 2 carries "only the best bid and ask position for each Nasdaq market participant registered in an issue" [6]. In 1994, Level 3 named a Nasdaq Workstation service through which market makers' quotes were entered, and from 1 August 1994 only its subscribers could act as Nasdaq market makers [7]. This post defines each level by what the feed carries, from venue specifications and regulatory documents dated 1994 to 2026 [4, 7].
The three levels at a glance
An order book is "the set of all active orders in a market at time t", which can be read as one queue of orders for each price on each side [31]. The bid is the highest price among active buy orders and the ask the lowest among active sell orders [31].
| Level | What the feed carries | Names in specifications | Examples |
|---|---|---|---|
| Level 1 | Best bid and offer with their sizes, and trades | Top of book, BBO, NBBO | CQS [13], NYSE BBO [9], Kraken ticker [21] |
| Level 2 | Total size at each price, often with an order count | Market by price, price level depth | CME MBP [2], NYSE OpenBook Ultra [10], Coinbase level2 [19] |
| Level 3 | Each order with its own ID, and the executions against it | Market by order, order by order | CME MBO [1], Nasdaq TotalView-ITCH [5], NYSE Integrated Feed [11] |
Level 1: the top of the book and trades
In December 2020 the SEC described U.S. consolidated data, which the securities information processors (SIPs) send, as the price, size and exchange of the last sale, each exchange's highest bid and lowest offer with the shares at those prices, and the national best bid and offer (NBBO) [14, 15]. The January 2026 specification of CQS, the CQ Plan's quote feed, ranks round-lot quotes by price, then size, then time to set the NBBO [13]. NYSE describes its own BBO feed as a "direct, unconsolidated feed" with timestamps from its matching engines [9]. Kraken calls its ticker channel, the best bid and offer with recent trades, "level 1 market data" [21].
Which top of book and which clock change results. For 100 firms from April to June 2008, Holden and Jacobsen found the percent effective spread 54% larger on second-stamped Monthly TAQ than on millisecond data with the NBBO, and trades outside the NBBO happening "eight times more often" [34]. The TAQ data explainer covers the U.S. files and their timestamps.
Level 2: the total size at each price
CME's market by price (MBP) book is an aggregate book, in which "order quantity is the total quantity available at each price level" [2]. Its depth is set per instrument at 3, 5 or 10 levels [2]. Each level also carries an order count [3]. NYSE OpenBook Ultra gives the aggregated volume and the number of orders at each price [10]. NYSE Pillar Depth, a frequency-based feed, shows the ten best bids and offers across five NYSE Group exchanges, and its worked examples send the changes of each second once a second [12].
Kraken's book channel offers 10, 25, 100, 500 or 1,000 levels [22]. Binance's partial depth streams carry 5, 10 or 20 levels every 1,000 or 100 milliseconds [25]. Coinbase's level2 channel sends the new size at a price, "not a delta", and a size of zero removes the level [19].
In a price-level book, trades and book changes travel apart. CME sends trades as their own records, and the trade "is not used to update the order book" [3]. Kraken's guide states that matching fills to book entries "is not possible with L2 data" [24]. The note on rebuilding an order book from snapshots and diffs covers depth limits and resynchronization.
Level 2 vs level 3 market data: what order-level detail adds
Level 3 data sends each order. CME's market by order full depth (MBOFD) "disseminates individual orders and quotes at every price level for the given instrument", with "no maximum number of orders or depth", and ranks orders at a price by an order priority field [1]. Nasdaq's TotalView-ITCH "uses a series of messages to track the life of a customer order", stamped in nanoseconds since midnight [5]. NYSE's Integrated Feed carries add, modify, delete and replace messages under order IDs good for the current day [11]. Eurex's EOBI publishes each visible order and quote side and leaves price levels to be derived from the orders [17].
The sources name three uses for it.
- Queue position. Kraken's guide says level 3 data enables "determination of queue priorities, resting times, fill probabilities" [24]. Moallemi and Yuan valued queue position in Bank of America shares from Nasdaq ITCH data [33].
- Matching fills to orders. Kraken's level 3 feeds carry the order ID, so fills "can be deterministically matched against book entries" [24].
- Exact order flow. A 2019 study computed net order flow exactly from event-by-event Nasdaq data, where earlier work on TAQ had to estimate it from changes in size at the best prices [32].
Order-level feeds keep participants anonymous. CME's MBO preserves "market participant anonymity" [1], and Nasdaq names a market participant only on orders entered with attribution [5]. CME's MBO files start in the first half of 2017 [4].
What order-level feeds still miss
Hidden size stays out of the order-level feeds read here. ITCH reports executions of non-displayed orders only as trade messages, with an order reference number of zero since 6 December 2010 and a buy or sell indicator of "B" since 14 July 2014 [5]. Kraken's level 3 feed excludes the "Hidden quantity of iceberg orders" [23]. Rules for the hidden quantity of iceberg orders "vary greatly from one exchange to another" [31].
Labels that conflict
| Label | Who uses it | What it carries |
|---|---|---|
| Level 2 | Nasdaq Level 2 product | The best bid and ask of each market participant [6] |
| Level 2 | Coinbase REST API | The full book, aggregated by price [20] |
| Level 2 | Kraken book channel | 10 to 1,000 aggregated price levels [22] |
| Level 3 | Nasdaq, 1994 | A quote entry service for market makers [7] |
| Level 3 | Coinbase, Kraken | Individual orders [20, 23] |
| Level 1, level 2 | NYSE Bonds | Bond trades, and the full depth of book [8] |
One word can mean a best quote per market participant, a full aggregated book or every order.
On-chain feeds
Hyperliquid, an on-chain perpetual futures venue, shows what the exchange feeds above keep anonymous. Its trade messages name the buyer and seller addresses [26], and the raw book diffs a Hyperliquid node writes carry each order's ID, side, price and owner's address [28]. Its l2Book subscription gives the price, the size and the number of orders at each level, 20 levels or 5 in its fast mode, and can group prices to 2 to 5 significant figures, so one level can stand for a range of prices [26, 27]. The explainer on perpetual DEX market structure covers how these venues match orders.
Depth of book in U.S. consolidated data
The SEC's December 2020 market data rule defined depth of book data as the size at each exchange at each of the next five prices below the national best bid and above the national best offer [14]. In September 2024 the Commission recalled that SIP data included only top-of-book quotes, and wrote that the rules would add depth of book to consolidated data "Once implemented" [15]. In January 2026 it granted temporary relief from the rule on odd lots at each price level at or between the national best bid and offer, until the first business day of May 2028 [16].
Which research needs which level
| Research question | Level used in the sources | Sources |
|---|---|---|
| Quoted and effective spreads | Level 1 with the NBBO | [34] |
| Order flow imbalance at the best prices | Level 1 | [30] |
| Imbalance across several price levels | Level 2 measure, computed from event-by-event data | [32] |
| Queue position and fill probability | Level 3 | [24, 33] |
| Matching fills to resting orders | Level 3 | [24] |
Questions to ask a data supplier
- Which label do you use, and does the file hold a best quote per venue, a consolidated NBBO, aggregated price levels or individual orders [6, 13, 20]?
- How many levels, fixed or set per instrument [2, 12, 22, 25]?
- Every update, or changes sampled at an interval [12, 18, 19, 25]?
- Single prices, or price buckets [27]?
- Order counts per level [3, 10]?
- Which venues, which consolidation, and from which date at this level [4, 12, 13]?
Rillor's market data holds order books from on-chain perpetual futures venues, rebuilt from snapshots and book diffs at every price level on both sides, and trade and quote history for U.S. stocks and futures, all on one UTC clock [35].
Read the full report
The full report adds each specification in detail, the full label table, the SEC's depth-of-book and odd-lot rules with their dates, ten questions for a data supplier and all 36 sources.