Level 1 vs Level 2 vs Level 3 Market Data: Order Book Explained

iTick
2026-10-29
Market Data

Level 1 vs Level 2 vs Level 3 Market Data: Order Book Explained

Market data is sold and displayed in "levels". Each level reveals more of what is happening inside the market - from a single best price to the full queue of orders. Knowing the difference helps you choose the right data feed and avoid paying for detail you don't need (or trading without detail you do need).

Level 1 market data

Level 1 is the top of the book:

Last traded price and size
Best bid (highest buy price) and best ask (lowest sell price)
Bid and ask sizes at those prices
Day open, high, low, volume, change

Level 1 is enough for watchlists, portfolio valuation, price alerts and most long-term investing.

Level 2 market data

Level 2 shows the order book depth - multiple price levels on both sides with the quantity waiting at each one.

Example Level 2 order book

Bid size	Bid	Ask	Ask size
1,200	100.02	100.03	800
3,500	100.01	100.04	2,100
2,800	100.00	100.05	4,600
5,100	99.99	100.06	1,900
7,400	99.98	100.07	3,300

Illustrative values.

How to read it:

The spread is 100.03 − 100.02 = 0.01.
Liquidity near the price is visible - a market order to buy 5,000 shares would fill across several ask levels.
Imbalances (much more size on the bid than the ask) can hint at short-term pressure, though large orders can be cancelled at any time.

Level 3 market data

Level 3 goes beyond aggregated depth. It is traditionally the access level for registered market makers and exchange members, who can not only see the full book but also enter, modify and cancel quotes directly. In modern data terms you may also see "Level 3" used for order-by-order (market-by-order) feeds, where every individual order is visible rather than the total per price level.

Most retail traders and app developers never need Level 3.

Comparison table

	Level 1	Level 2	Level 3
Best bid/ask	Yes	Yes	Yes
Depth (multiple price levels)	No	Yes	Yes
Individual orders	No	No (aggregated)	Yes / order-by-order
Quote entry	No	No	Market makers
Typical users	Investors, apps	Day traders, algos	Market makers, exchanges
Data volume	Low	High	Very high

Where tick data fits in

Levels describe quotes (the order book). Tick data describes trades - every execution with price, size and time. Many strategies combine Level 2 depth with tick-by-tick trades to understand both intent (orders) and action (fills).

Who needs Level 2 data?

Day traders and scalpers who need to see liquidity before entering.
Execution algorithms that slice large orders to minimise market impact.
Market microstructure research (spread, depth, order book imbalance).
Trading platforms offering depth-of-market (DOM) ladders to users.

Getting Level 2 data via API

iTick provides Level 1 quotes and Level 2 depth for supported stock and futures markets through REST and WebSocket. Depth changes many times per second, so streaming is the better choice (why WebSocket beats polling).

      import json
import websocket  # pip install websocket-client

TOKEN = "YOUR_API_TOKEN"

def on_open(ws):
    # quote = Level 1, depth = Level 2, tick = trades
    ws.send(json.dumps({"ac": "subscribe", "params": "700$HK,AAPL$US", "types": "quote,depth,tick"}))

def on_message(ws, message):
    msg = json.loads(message)
    print(msg)

ws = websocket.WebSocketApp("wss://api.itick.org/stock", header={"token": TOKEN},
                            on_open=on_open, on_message=on_message)
ws.run_forever(ping_interval=20)

    

For a one-off snapshot of the book, call GET https://api.itick.org/stock/depth?region=HK&code=700. Depth levels available differ by exchange - see the docs.