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How deep is your Level II?
This is a discussion on How deep is your Level II? within the Level II forums, part of the Methodologies category; Hi, I get 5 bid levels and 5 ask levels, of DOM with eSignal on futures. What is the situation ...
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| | #1 |
| Member Join Date: Sep 2006 Posts: 75
| How deep is your Level II?
Hi, I get 5 bid levels and 5 ask levels, of DOM with eSignal on futures. What is the situation elsewhere? Can one get 10 levels, one each side? Funny thing was that CBOT was giving free 10 levels on each side, through Java applet. Since Monday, after it had been taken over by CME, that was immediately cut down to 5 levels and of course label was changed. cheers, dejan |
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| | #2 |
| Rookie Join Date: Jan 2008 Posts: 8
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I get 5 bid levels and 5 ask levels on futures using IB |
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| | #3 |
| Senior Member Join Date: Dec 2002 Posts: 237
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I'm fairly certain that most exchanges provide 10 levels apart from the CME, which provides 5. |
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| | #4 |
| Legendary Member Join Date: Jun 2006 Posts: 2,352
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Dejan, Eurex futures provides 20 but accessibility is dependant on your quote vendor. 10 is standard. Grant. |
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| | #5 |
| Legendary Member Join Date: Jan 2007 Posts: 3,901
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If LIFFE has any limits then I'm not aware of them, certainly I can see every limit order in the STIRs. (Or at least I think I can, experiment suggests so) |
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| | #6 |
| Member Join Date: Sep 2006 Posts: 75
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Guys, can you provide the name of the platforms you are using, just to make it complete.regards, dejan |
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| | #7 |
| Senior Member | |
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Guys, can you provide the name of the platforms you are using, just to make it complete.

