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What's the difference between Level I vs Level II market data?

Basic market data is known as Level I and includes the following information:

  • Bid price: The highest posted price someone is willing to buy at.
  • Bid size: The number of shares or option contracts that someone is trying to buy at the bid price.
  • Ask price: The lowest posted price someone is willing to sell a position at.
  • Ask size: The number of shares or option contracts someone is trying to sell at the ask price.
  • Last price: The price at which a particular security was last traded.
  • Last size: The number of shares or option contracts involved in the last transaction.

Level II also shows other prices below the current bid and above the current ask price:

  • Highest bid prices: The highest bid price and all the bids currently below it.
  • Bid sizes: The number of shares or option contracts that are available at each of the bid prices.
  • Lowest ask prices: The lowest ask price and all the asks currently above it.
  • Ask sizes: The number of shares or option contracts that are available at each of the ask prices.

Advanced Dashboard is fully equipped with streaming Level I and Level II market data feeds for all major Canadian and U.S. exchanges.

Visit the Advanced Dashboard page of our website to view a complete list of monthly data fees and watch the video tour below:

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