Order book
Order book can provide enormous insight into a stock's price action. Order book will show you a ranked list of the best bid and ask prices from each of these participants, giving you detailed insight into the price action. Knowing exactly who has an interest in a symbol can be extremely useful, especially if you are day trading.Additional market data is known as level 2 market data, the order book, or the depth of market, and includes the following additional information:
Highest bid prices: The highest 5 or 10 prices (depending upon the market) that traders are willing to pay to buy a contract Bid sizes: The number of contracts that are available at each of the highest bid prices Lowest ask prices: The lowest 5 or 10 prices (depending upon the market) that traders are willing to accept to sell a contract Ask sizes: The number of contracts that are available at each of the lowest ask prices
Level 2 market data provides the additional information that is needed to trade using trading systems that follow the order flow, and advanced volume based trading systems. Level 2 market data is also known as the order book, because it shows the orders that are currently pending for the market, and is also known as the depth of market, because it shows the number of contracts that are available at each of the available prices.
| Date | Time | Bid1 | Bidsize1 | Ask1 | Asksize1 | ... |
|---|---|---|---|---|---|---|
| 01/02/2008 | 07:01:10.104 | 4940.000 | 91 | 113.2 | 255 | ... |
| 01/02/2008 | 07:01:10.409 | 4940.000 | 91 | 113.2 | 255 | ... |
| 01/02/2008 | 07:01:10.409 | 4940.000 | 71 | 113.2 | 255 | ... |
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