How many market levels can I have in my order book?

Which market data depths are available depends on several aspects including:

 

  • Availability from the exchange
  • Technical delivery of the data
  • The amount of data.

 

The various market data levels available are:

 

Market By Level (MBL)

Market By Level data displays orders accumulated on price.

 

Level 1

Level 1 data includes only the first level in the orderbook with the best Bid and Ask and accumulated volumes displayed as Bid Size and Ask Size. Depending on the exchange the number of orders might also be available displayed for each side as orders in the Infront Professional Terminal. Level 1 data is accumulated on price.

 

Level 2

Level 2 data displays more levels of orders available in the market accumulated on price. Depending on the exchange the level of depth can be 5, 10 or 20 levels.

 

Market by Order (MBO)

Market By Order data displays all order available sorted on price.

 

Combined View MBL/MBO

With the Infront Professional Terminal you can take advantage of the Combined View of Market by Order and Market by Level orderbook. Each level can be expanded to display all underlying orders.

Consolidated Orderbook

The consolidated orderbook in the Infront Professional Terminal consolidates all orders (bases on ISIN, Currency and Asset type) into the same view and displays the venue (feed).