Level II for Stocks and Futures

[jbesada]

Hello,

I am a bit confused about Level II for stocks and futures.
It seems that real market depth is available for futures but for Stocks it is only available the inside market (no real Level II market depth).
Is it true? Is it a data vendor limitation?.

Any help will be much appreciated.

 

[DionysusToast]

No - stocks have depth information too - but it's a different game reading LII on stocks & futures.

IMO - better to start with futures.

 

[jbesada]

Thank you for the answer. It is the third data provider that says they have real Level II data but after start feeding data result that It is only real depth market data for futures, but for stocks it is only the inside market.
I guees it is a provider limitation, isnt it?

Regards

 

[Dominator4fx]

Hello,

I am a bit confused about Level II for stocks and futures.
It seems that real market depth is available for futures but for Stocks it is only available the inside market (no real Level II market depth).
Is it true? Is it a data vendor limitation?.

Any help will be much appreciated.

It all depends on the liquidity provider how much depth you are able to get in the Stocks.

As most if the times the liquidity may not be the same as required you do not see any depth.

 

[DionysusToast]

Thank you for the answer. It is the third data provider that says they have real Level II data but after start feeding data result that It is only real depth market data for futures, but for stocks it is only the inside market.
I guees it is a provider limitation, isnt it?

Regards

Sounds like it - who is telling you this?

What's your data provider/platform?

 

[jbesada]

Now I have changed my provider, but with IQFeed I have detected this behavior. And they answer me that it is a limitation for stocks but nor for futures.

Regards

Sounds like it - who is telling you this?

What's your data provider/platform?

 

[DionysusToast]

sounds like you have an Level 1 feed with them.

I use DTN.IQ, they certainly support L2 - can you send a screen shot of what you are seeing?

 

[jbesada]

I know they support L2 but the question is about what is considered to be L2 data.
I don’t use any screen, I am just using the API to feed data and then analyze it with Matlab.
Here you have an official answer regarding my question about the depth for a stock:

"We only send true market depth for futures (in which case the MMID field is replaced with the depth level in the MDxx format).
You can not build true market depth from Nasdaq Level 2 data. Level 2 data only contains the Best Bid and Best Ask for each of the available market makers for a symbol."

 

[DionysusToast]

Level 2 does indeed contain the best bid & offer for each player.

What you want (and I don't think DTN have this) is TotalView - which shows you all bids & offers for each player.

TotalView

Then you'll something more akin to 'real' depth.

 

[jbesada]

Yes, it is my conclusion also after a while.
Thank you very much for your help.