How Level II Equity Data Updates and Batches Order Book Events

Summary

The document explains why Level II equity market data does not have one universal update schedule. The cadence depends on the exchange and the particular data product. Some feeds publish aggregated book information on a fixed interval, while many products update in response to order-book events such as submissions, executions, or cancellations.

Event-driven updates may still arrive irregularly or appear grouped: venues can delay dissemination and batch multiple events into one message. As a result, a vendor feed may show several events with the same timestamp because it abstracts away the underlying messaging layer. The practical lesson is to consult the specification for the exact venue and product before inferring timing from observed timestamps. The explanation is general and does not enumerate exchange-specific protocols, latency guarantees, or whether a given feed reports every event without aggregation.

Key ideas

• Level II update cadence depends on the exchange and subscribed market data product.
• Some products refresh aggregated order book data on a fixed schedule.
• Many feeds update in response to order submissions, executions, cancellations, or other events.
• Dissemination delays can batch multiple events into a single message, producing shared timestamps in vendor data.
• Feed specifications are needed to determine the behavior of a particular product.

Tags

# Level II market data (equities)


# Level II market data (equities)












I have been playing around with some equities historical market data and I understand that different exchanges have different definitions of what Level II (Limit Order Book) data means. What I'm interested in knowing is when/how often is the data updated.

In fact, I see that some exchanges (like NYSE with their OpenBook data) aggregates and refreshes the data every second, while others don't specify at all when/how but appear to do so at irregular time intervals. The question is: is the data updated at every occurrence of an event (such as the submission of a Limit Order, execution of a Limit Order or cancellation of a Limit Order, etc...) or is there some other way?

## Answer by madilyn (score 3)

https://quant.stackexchange.com/a/14924

As you've mentioned, it depends on the trading venue and the exact market data product that you're subscribed to. Unless otherwise stated, the data is usually updated at every occurrence of an event (explains the irregualr intervals), and often, the data is not disseminated immediately and multiple events may be batched in a single message informing you of the update (explains why you often see events with the same timestamp on a third-party vendor's feed that abstracts away the messaging layer).

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.