Level II

Discussion in 'Trading Software' started by Scalpa, Sep 15, 2002.

  1. Scalpa


    Does anyone know of a Level II service that lets you see REAL bid and ask prices for a given stock? The Level II service I am using now through money.net just shows the bid and asks rounded off to the nearest cent. For example, if you put in a bid of 3.2101 on SUNW it rounds off to $3.21 on Level II and that's what everyone sees. Then if you put in a bid of 3.2199, it will also just show as $3.21 on the bid. I'd like to be able to see the actual bids and asks in 4 decimal places. Is this possible? I know you can see trades going off in 4 decimal places on the time and sales, but I'd like to see it for the orders of the MMs and ECNs. I know some ECNs such as Island show them through their online books, but what about the MMs?


  2. Nope, that's the way the pricing grid is set up on Nasdaq. ECNs have a much finer grid. By rounding the ECN quotes NASDAQ can get around price priority contraints, and reduces the ability of the ECNs to advertise good quotes and thus attract/compete away orders. This makes it very important for ECNs to use another vehicle to disseminate information. E.g. Island website.
    I hope that answers you question.
  3. oh, come on!! the only reason the naz didn't allow for 3 decimals in level 2 was because it would be too expensive and require a total overhaul of the system! those naz guys want everyone to make money, just like they (used to) do.

    i mean, yeah, they spent all that cash on supermontage and all, but really, it would've been much, much more expensive to add the 3rd decimal...maybe in the trillions of dollars.
  4. Come on, remember all the bitching when they were decimalizing? They could have added as many decimals as they wanted. How many did they want? AS FEW AS POSSIBLE. Are they gonna have more decimals in Supermontage? NOPE. Same reason. They want everyone to make money? Year right. They want ECNs belly-up. They want MMs to make money - the more coarse the grid, the better (for them).
    Get real.
  5. Swish


    So, is the time price priority on L2 limited to 2 decimal places. In other words a 25.924 bid won't displace an earlier 25.920 bid??


  6. Scalpa,

    Dude, does your level II platform not have integrated ECN books! And you are a Scalpa? You should have at minimal the Island and Inca books integrated into and viewable on your level II. Beyond that it is often useful to see the other books but can make things a little too busy sometimes. I suggest you seek out another trading platform.

  7. To the best of my knowledge, it won't. It simply get's rounded.
    Someone correct me if I'm wrong.
  8. If they are viewable on the Level II, you'd still see them rounded to pennies though, right? What platform are you (MACD_addy) using? I don't think Tradestation (the one I'm using) allows one to view those books separately. Does it, anyone?
  9. Just to clarify Vlad's response the .924 bid would not in theory displace the .92 bid if the two bids were MM's bids but it WOULD (as suggested) become a higher priority bid in an ECN book.

    I say in theory because the real question I suppose is can MM's even bid/offer beyond even cents increments. I don't see why the Naz system would allow it if it makes no difference in the execution order anyway which it apparently does not.
  10. Tony01


    No, TS doesn't have integrated ecn books ... yet. They're supposed to be in the next release.
    #10     Sep 17, 2002