The Book, Open Book, Level II, DOM and the Tape

Discussion in 'Technical Analysis' started by cohvi, Apr 29, 2007.

  1. cohvi



    Can someone clear the difference (if any) between:
    The Book, Open Book, Level II, DOM and the Tape.
    I can seem to find an exact definition to the above.
    I know this are the bid ask and price volume data...

  2. Everyone calls it differently. They're mostly the same thing and there's no right or wrong definition. The terminology doesn't really matter, in trading but here's my attempt:

    What's a common in most of the above (except for tape) is it's a list of Bid/Ask in different prices.

    1. Book. Historically, this starts with the specialists in exchanges and the floor. They had a little paper pad with a list of prices, firms, and quantity, of different sources trying to trade. As a whole, they called it the book. The specialists would then match trades based the "Specialist Book".

    Long time ago, when everything was done manually. There was the human specialists making the markets. The incoming order request information (the book) was exclusive to the specialist. Because the specialists know where everyone is trying to buy and sell, this gave them the opportunity to "deal" the market. Even to this day, they would be "dealing" the incoming trade requests to create liquidity, and making money by picking up ticks, here and there.

    So back in the days, "Specialist Book" was synonymous to having an edge, "insider information", "secrets/information to riches" and etc. Of course, after the NASDAQ Markets, the most of the information was offered to the public.

    From this, they usually called the Bid/Ask Data with the Price, firms, and quantity, a book. So in your list, "The Book, Open Book, and Level II." would be considered the same.

    2. DOM. This is more of a condensed version of the book. They only post the price and the cumulative quantity for a specific product.

    3. Now, tape reading is different. It's an act of reading the tape or Time-Of-Sales. Back in the days, they printed the trade transactions on a paper tape. Most traders used the tape, to base their trades.

    Now days, tape will be considered the Real-time Time-Of-Sales. Or simply, the quotes. Being able to analyze the market through the quotes would be considered tape reading. Book and charts are usually seperated from tape reading, as there are references to traders such as chart reader or book trader.

    ... these are off my head... I maybe inaccurate with some stuff but who really cares what people call what.
  3. cohvi


    Ok thanx,

    One more thing -
    Is DOM = LEVEL II? or the last is more detailed then just cumulative bid & ask quantities?

  4. Hi Cohvi,

    1. DOM shows the prices only, and aggregates the size of visible orders, which some traders find is easier to gauge liquidity.

    2. Level 2 shows all orders, sorted by price, time, then size.
    Some traders like to know who the market markers are, and prefer this.

    Also, since multiple trading systems (Nasdaq, BATS, Arca, etc.) can mean fragmented liquidity, some traders put a premium on brokers' systems that link as most major sources of it, and provide them in an aggregated feed.

    Another premium of the DOM is its single-click order entry and trade management, which facilitates getting into/out of positions without shifting your sight to another window/dialog (supported, and FREE in QuoteTrader - discussed here and here).

    Attached is a sample screen shot of (1) QuoteTrader's DOM, which shows a graphical histogram of (A) bid and (B) ask size, as well as volume at price, and (2) a traditional level 2.

    <img src=""
    <img src=""

    btw, QuoteTrader provides (A) free, without additional exchange fees, by using the data you're getting/buying from your broker(s)

    Send me a PM or email if you'd like more information on QuoteTrader's DOM, order management, and supported brokers (or its free charts).

    QuoteTrader Product Management
  5. cohvi


    Thanx a lot.
  6. Um...

    DOM = Depth of market, the various price levels with the differenet sizes offered....

    Book, well, now a days that's the book showing DOM... the open book shows all publicly displayed orders on the NYSE...

    The tape is the time and sales - NOT the quotes - though some might consider that part of the tape... the tape is really just the prints...
    reading the tape looks like this

    27.63 300
    27.63 1200
    27.63 100
    27.63 100
    27.63 100
    27.63 300
    27.63 500
    27.63 100
    27.63 1000
    27.61 2500
    27.61 300
    27.60 100
    27.58 200
    27.58 1000
    27.57 300
    27.58 200
    27.56 400