microstructure

Level Three Market Data

The most granular real-time market data feed from an exchange, providing information on every order in the venue's order book, including a unique order identifier and live updates. It exposes individual orders and their changes, unlike higher-level feeds.

Example: An analyst uses Level 3 data to observe the sequence of individual orders entering and leaving the book during a volatile intraday period.

💬 Comments


Loading comments…