Order Books, Level 1 and Level 2 Quotes, and Data Access
Summary
The document explains that unmatched buy and sell interest is organized in an order book. Level 1 quotes show the best bid and ask alongside completed trades, while Level 2 quotes expose additional price levels and their orders. A trader can generally view this data in real time through a broker subscription, though access terms and prices depend on the provider and market. Orders can remain unmatched, fill only in part, or be cancelled, so the displayed book is a changing snapshot rather than a promise of execution.
The answer cautions that displayed orders may be misleading, limiting how reliably the book can be interpreted. It also distinguishes access to information from speed: large firms and high-frequency traders may receive similar data, but locating servers near an exchange can reduce transmission delays. The discussion is a brief overview, not a detailed guide to order types, exchange rules, or how to analyze order-book signals.
Key ideas
- Unmatched buy and sell interest is displayed in an order book.
- Level 1 quotes show the best bid and ask and completed trades, while Level 2 quotes include deeper price levels.
- Broker subscriptions can provide real-time order-book data, subject to provider and market terms.
- Displayed orders may be cancelled or misleading, so the book is an imperfect view of trading interest.
- Co-location can give firms a speed advantage even when other participants can access similar market data.
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# Information available to traders # Information available to traders I am not a trader myself but am trying to educate myself about trading. I notice that in most articles and videos about technical trading, an illustrative graph is displayed showing the latest price of a stock. This price (call it P) I presume corresponds to the latest price agreed between a buyer and a seller. Also presumably, there are a collection of currently-unmatched buyers and sellers that are hoping to buy/sell at prices slightly above or below P. They may declare "I have X amount of shares to sell if anyone will buy them for \$Q each" or "I will buy Y shares if anyone will sell them for \$R each". I don't know what these declarations are called, are they "orders"? I presume that many orders are never matched, or are only partially matched or may get cancelled. My main question is: can everybody see the current set of unmatched orders? Or is it only the people that actually run the exchange? And if it is visible, is it the kind of data that is readily available at reasonable cost or the kind of thing that only the big banks and HFT traders would ever get access to? ## Answer by Yannick (score 4, accepted) https://quant.stackexchange.com/a/38136 Unmatched buyers and sellers prices are called bid/ask offers. What you are referring to is the order book. Yes, this is something you can see in real time if you subscribe to it with your broker (L2 quotes, should be well under 100$ a month). L1 quotes are the 1st level bid/ask and the recorded transactions while L2 quotes are for the full order book including 2nd+ level of bid/ask. That being said, the order book is being filled with bogus information since the last couple of years so it's pretty hard to read and only useful to a certain degree. The big banks and HFT traders have access to the same information but since their servers are sitting right next to the exchanges, it available to them (and their algos) faster by a few milliseconds. Some reading I recommend (very entertaining book even for the non-traders) https://www.amazon.com/Flash-Boys-Wall-Street-Revolt/dp/0393351599
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