L2

L2 data is a superset of L1 data, meaning that L1 data can always be derived from L2 data. Similarly, L3 data is a superset of L2, allowing for the construction of a limit order book and the ability to capture snapshots or incremental changes to derive L2 data from L3.

Various financial infrastructure vendors provide US equity and equity options market data sourced from the SIPs, specifically the CTA, UTP, and OPRA. These consolidated feeds are often more cost-effective than sourcing data from direct proprietary feeds from each exchange but may have limitations, such as higher latency, a lack of odd lot quotes, or the absence of L2/L3 granularity found in proprietary feeds.

Some charting platforms may present CTA, UTP, or OPRA data in a depth-of-market price ladder, misleading users into thinking they are accessing L2 feeds. However, the reality is that these SIP feeds are L1, focusing on the top of book and last sale across all venues, reflecting the National Best Bid and Offer (NBBO). While it is possible to aggregate the top of book from multiple venues to create a semblance of a L2 price ladder, this representation only captures a fraction of the actual liquidity available at those price levels.

An example of an L2 feed is the legacy CME FIX/FAST feed, which provided up to 10 levels of aggregated depth. In 2017, CME transitioned to a L3 feed, known as MBO or MBOFD, as its primary feed, although some features like implied depth are still disseminated on a L2 basis.

Eurex's EMDI feed is another example of an L2 feed, offering up to 50 levels of aggregated depth, in contrast to Eurex's EOBI feed, which is classified as an L3 feed.

NYSE's OpenBook Ultra feeds are also categorized as L2 feeds, while L3 data is available on NYSE markets through its suite of Integrated feeds, introduced alongside the new Pillar infrastructure.

Acquiring L2 market data can be challenging due to two main factors: data size and licensing restrictions. The volume of data is significant; for instance, a month of US equities L2 data can exceed several terabytes, even when stored in an efficient binary format.

Additionally, many markets don't provide raw or direct feeds beyond top of book (L1). When they do offer L2 data, it's typically available as a premium feed, often at a much higher cost than L1 feeds. As of October 2024, IEX offers an L1 feed called TOPS for $500 per month and a L2 feed called DEEP for $2,500 per month.

To locate sources of L2 data, one can refer to the trading venue's list of approved data providers. Licensed distributors often invest more significantly to secure real-time distribution rights and are better equipped to offer L2 data. Some exchanges, like Nasdaq, also categorize vendors based on the depth of data they provide, such as Nasdaq Basic (L1) vs. Nasdaq TotalView (L3).

Yes, Databento provides L2 data through our MBP-10 schema, which includes depth information for up to 10 levels.