Level 2 questions

[CharlieStock]

Hi,

I signed up for level 2 data with my broker for the NYSE, it works out a 1euro per month for realtime prices and level 2.

I've been looking the market depth but I can understand what each column means.

What is ACC, # & Size?

Thanks for your help.

Is this a proper level 2 setup, there is no T&S option.



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[BigDeal]

Hi Charlie

The # represents the number of trades being bid / offered at that price.
The size is the total number of shares being bid / offered at that price.
Acc is the total number of shares at that price or better.

Data looks OK to me for the price you're paying

 

[CharlieStock]

Thank BigDeal,

So for example the first line is

ACC = 700, this is the total number of shares bid at the price opposite or better.

The # which is 6 is the total number of trades bid (which adds up to a total of 700??)

Size, make up of the bids.

And for the line below.

ACC = 3,271 is the total amount of shares bid at the corresponding price or better.

# = 10, which is the total amount of trades, which in turn represents the size 2,571.

am i on the right track?

Thanks
C

Hi Charlie

The # represents the number of trades being bid / offered at that price.
The size is the total number of shares being bid / offered at that price.
Acc is the total number of shares at that price or better.

Data looks OK to me for the price you're paying

 

[BigDeal]

Think you've got it..
To clarify your snapshot example:
You could buy upto 2960 shares at 8.75 (best offer). There are a total of 16 blocks of shares making up that 2960. You could sell upto 700 shares at 8.74 (best bid). There are 6 blocks of shares making up this number.
The remainder of the table shows you the weight of buy v. sell orders, and volumes and also shows (acc)umulation ie adds up the total shares available( eg line 2 on the bid shows 3271 (700+2571)

 

[CharlieStock]

Think you've got it..
To clarify your snapshot example:
You could buy upto 2960 shares at 8.75 (best offer). There are a total of 16 blocks of shares making up that 2960. You could sell upto 700 shares at 8.74 (best bid). There are 6 blocks of shares making up this number.
The remainder of the table shows you the weight of buy v. sell orders, and volumes and also shows (acc)umulation ie adds up the total shares available( eg line 2 on the bid shows 3271 (700+2571)

Gentleman, thanks for explanation. I couldn't find anything online.

C

 

[CharlieStock]

One more question,

I know this is not an exact science and a lot of bluff orders can enter the market but theoretically speaking if the accumulation of Ask orders is greater than Bid orders does this mean the price "should" go down if these orders are filled?

Thanks
C

 

[zaysev36]

This might cause the dip, but normally it depends on too many factors for this one to be the decisive.

 

[CharlieStock]

Hi was long a stock yesterday & I was monitoring the level 2 data,

from my observations I seen that all the bid orders only act as support and dont show you how many buyers are actually in the market, so the top line of the bid orders needs to be greater or building momentum in order to for the price to rise.

On the bid side you can see large bid orders at certain levels, and these can be seen as support levels as alot of sellers will be needed to push the price down & and vice versa on the ask side.

I think I learnt a lot watching level 2 data for the day.

Am I on the right track here?

 

[zaysev36]

Guess so. To be honest you've lost me a bit. Guess I'll have to re-read my theory here