Exchange Level 1 vs Level 2 data fees...

Discussion in 'Data Sets and Feeds' started by risktaker, Jun 22, 2009.

  1. Hey guys,

    I'm looking at subscribing at several exchanges due to a new package I'm trying out and I see they price a lot of data as level 1 and level 2 and there's a large difference per month for some exchanges.

    What exactly does one get with level 2 that level 1 does not and can one trade just fine with level 1 assuming small lots at a time?
  2. difference is depth of market as well as market maker id (id of firm posting the book update).

    there is a lot more data that arrives via level2, which is main reason that it's more expensive.

    unless you are doing microstructure/highfrequency or arbing on the book (short term stuff), you probably don't need level2.