# Level 2 data?



## braintootired (Nov 4, 2013)

Does anyone subscribe to any exchange's level 2 data? For high volume stocks I don't see how anyone can use it unless you're running algos. There were a few low volume stocks that I would have like to have seen the depth-of-book, but not sure it would have justified the fees.


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## humble_pie (Jun 7, 2009)

for low volume stocks & most options, one can train one's memory to record level 2, as the different players come & go with their nervous bids & offers.

after observing for a while, it's easy to see who is serious, who is not.

the most fun is figuring out whether a nervous counterparty who failed to bite today is going to reappear tomorrow.

i have free level 2 at a couple brokers, i rarely look at it.


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## HaroldCrump (Jun 10, 2009)

I have free Level II as well, and do use it for low volume stocks.
I need to see the exact quantity of each bid/ask lot before deciding to buy/sell.

For instance if I want to buy 1,000 shares but most of the ask lots are 200 or so, I would not put in a limit order at that time because I don't want to have partial fills.
Once I see the order size pick up, I will put in an appropriate bid at that time.

Sometimes a willing seller/buyer might come along with a lot size equal to greater than what I need.
If the ask price is acceptable to me, I will put in an order 1c. or 2 c. below the ask, and usually it gets filled either immediately or within a couple of mins.

Also, as humble_pie said above, I have learnt to recognize market makers.
You know, the ones that will automatically increase asks by 1c. or reduce bids by 1c. every time you place a trade, causing you to chase a stock up/down.
They will adjust their lot sizes to match yours but make you chase the stock up if you are trying to buy, or chase it down when you are trying to sell.

Once you see that happening, stay away and come back at a later time or next day.


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## humble_pie (Jun 7, 2009)

HaroldCrump said:


> 1. I need to see the exact quantity of each bid/ask lot before deciding to buy/sell.
> 
> 2. For instance if I want to buy 1,000 shares but most of the ask lots are 200 or so, I would not put in a limit order at that time because I don't want to have partial fills.
> 
> ...



1. ah, i see, i thought sizing (number of lots/contracts bid, number lots/contracts offered) was part of regular detailed quote information; i didn't think it was part of level 2 info.

me i could not _live_ without sizing information. It's almost more important than the actual price figs.

the reason why i dislike so many streamers is that their detailed quote info is often all over the map. Especially for options. I much prefer one single highly detailed quote display that shows me everything in one take. Refresh a few of those & i know a lot about what's going on in the stock. 

2. but don't you find they often come from behind? if it's early enough in te day (but not in first hour of trading) & u want to buy 1000 shares, put up your low bid for a flash few seconds or even a minute, not enough time to attract a partial fill. Then kill it. The idea is to unsettle em. 

an hour later (assuming the general picture is stable) try it again.

not a good ploy after 1:30-2pm though.

3. i think it's important to understand, in one's heart of hearts, exactly how casual v how desperate one truly is. Meanwhile keeping the poker face of course.


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## HaroldCrump (Jun 10, 2009)

humble_pie said:


> 1. ah, i see, i thought sizing (number of lots/contracts bid, number lots/contracts offered) was part of regular detailed quote information; i didn't think it was part of level 2 info.


The regular quote information displays the _total_ number of shares being requested at each bid price (or total number of shares being offered at each ask price).
It does not show the break-down, i.e. how many buyers and how many shares each trade is asking for (or, how many sellers and how many shares each seller is offering).

That piece of information i.e. how many counterparties and how many shares each party is asking/offering is important for low volume stocks.



> 2. but don't you find they often come from behind? if it's early enough in te day (but not in first hour of trading) & u want to buy 1000 shares, put up your low bid for a flash few seconds or even a minute, not enough time to attract a partial fill. Then kill it. The idea is to unsettle em.


That is a good point. I will try that next time.
I avoid placing my trade where there is a risk of partial fills.
I don't do multi-day trades so a partial fill would mean a wasted commission.



> 3. i think it's important to understand, in one's heart of hearts, exactly how casual v how desperate one truly is. Meanwhile keeping the poker face of course.


Yup, market makers are particularly good at making new traders constantly second guess themselves.
They will keep dancing around 1c. up/down all day, until investor gives up at 3:58 pm. and converts their order to market.


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## AltaRed (Jun 8, 2009)

I use Level 2 quotes for low volume buy/sells as well, with some of the same tactics but unlike Harold, I don't quibble over, say, a nickel or a dime on a $22 preferred share. I will place my 1000 share limit buy a nickel or a dime lower than I would like to pay and let it sit, e.g. 22.50. If I eventually see sufficient volume to purchase 1000 shares at a range of prices between 22.55 and 22.60, I will up my price to 22.60 and fill it all....at an average price somewhere between 22.55 and 22.60. 

If it doesn't happen that day, there is always another trading day to finish the fill. I don't like, but I do not have the same aversion to partial fills as Harold. A $10 commission on another trading day is pure noise in a total $22k purchase. It is a matter of perspective.


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## GoldStone (Mar 6, 2011)

US Level 2 quotes are available for free.

http://www.level2stockquotes.com/level-ii-quotes.html

There is no such free resource available for Canadian market.

You can get free Level 2 quotes at BMO InvestorLine at the 5 star level. Need 250K in combined assets to qualify.


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## avrex (Nov 14, 2010)

GoldStone said:


> You can get free Level 2 quotes at BMO InvestorLine. Need 250K in combined assets to qualify.


Same story at Scotia iTrade. You *need 250K to get free TSX Level 2* market depth.

This is part of their Scotia iTRADE FlightDesk Premium Service. If you only have 50K in assets, you would have to pay $70/quarter.

I'll never understand why Level 2 market depth is free for US markets, but we Canadians get gouged by our big banks for this service.


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## Beaver101 (Nov 14, 2011)

> I'll never understand why Level 2 market depth is free for US markets, but we Canadians get gouged by our big banks for this service.


 ... because Canadian investors loves their big banks so much they don't mind being gouged over and over again. :hopelessness:


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## livewell (Dec 1, 2013)

At Scotia i-trade you can show level 2 quotes in the standard order entry screen you do not need the flight desk service for that


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## humble_pie (Jun 7, 2009)

i don't think it's the banks selling TSX level II data. I think the TSX is selling the data in the 1st place. The banks may add on some diniero for adapting the data to their web interface though.

wondering also if those freebie Nasdaq level IIs are real time or delayed

(that last notion is an oxymoron) (how could there be any such thing as a delayed Level II quote) (kilroy was here)


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## GoldStone (Mar 6, 2011)

humble_pie said:


> wondering also if those freebie Nasdaq level IIs are real time or delayed


The link I posted is real time.

Check the quotes. Place an order at TDDI. Refresh the quotes. The order is there in an instant. Works without fail every time. Of course, the order has to be distinct enough so you are able to recognize it as your own.


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## humble_pie (Jun 7, 2009)

GoldStone said:


> Check the quotes ...


oh, i believe you.

there are no level II option quotes for retail investors, though. Maybe on a bloomberg professional terminal, but nothing with a reasonable cost for the peasants, that i know of.

is why i've learned to remember how a single highly-detailed option quote looks.


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## braintootired (Nov 4, 2013)

There are Bloomberg terminals at my university. I could parlay my way into getting an account for free. Is it worth it?


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## Canadian (Sep 19, 2013)

Not really. The account would grant you use to the Bloomberg terminal. That's where the real-time data is. It does you no good unless you want to work on Bay/Wall street or plan on hanging out at the school's terminal all the time when you do your trading. We have one at my school too. I've learned that it's more for training finance students to become Bloomberg certified - and bragging rights to say our school of business has a Bloomberg terminal lol.


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