Which market data depths are available depends on several aspects including:
This article provides an explanation of the different market data levels available from Infront.
Market By Level data displays orders accumulated on price.
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 terminal. Level 1 data is accumulated on price.
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 data displays all orders available sorted on price.
With Infront you can take advantage of the Combined View of Market by Order and Market by Level orderbook. Each level can be expanded and display all underlying orders.
The consolidated orderbook in the Infront terminal consolidates all orders (bases on ISIN, Currency and Asset type) into the same view and displays the venue (feed).
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