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- Level 1 shows the best bid and best ask, plus their displayed sizes.
- Level 2 adds aggregated size beyond the top of book, which is why it is commonly associated with MBP.
- Level 3 shows order-level detail, which is why it is commonly associated with MBO.
- Queue position is visible only when the feed exposes order-level detail, not just aggregated price levels.
- Venue conventions vary, so the meaning of “Level 3” should always be confirmed against the exchange or vendor specification.
- OneTick Market Data collects and manages Level 1, Level 2 and Level 3 coverage — including order-level (MBO) history — across 200+ global exchanges, so firms don’t have to build and maintain their own feed-normalization pipeline for each depth tier. KDB-X can then query and analyze that data at scale.
L1, L2 and L3 are the standard depth tiers used to describe how much of the order book a market-data feed reveals. Level 1 shows the top of book. Level 2 adds aggregated depth at more price levels. Level 3 shows individual orders and their queue position.
How the Depth Tiers Work
Think of the same book at three levels of zoom. At Level 1, you see the best bid and best ask only. At Level 2, you see the next layers of size at additional prices, but the quantities are still aggregated at each price. At Level 3, you see each individual resting order, including the order sequence that determines queue position.
For example, if the best bid is $50.02 for 500 shares and the best ask is $50.03 for 300 shares, Level 1 shows only that top-of-book snapshot. Level 2 might also show $50.01 for 800 shares and $50.00 for 1,200 shares on the bid side, and $50.04 for 600 shares and $50.05 for 900 shares on the ask side. Level 3 would break the $50.02 bid into the individual orders that make up those 500 shares, showing which order stands first in line if a seller arrives.
The terminology is familiar but not perfectly universal. In many US market-data contexts, Level 2 and MBP are effectively the same concept, while Level 3 and MBO are effectively the same concept. Historical usage on some venues differs, so the exact feed definition still matters.
Why L1, L2 and L3 Matter
Different workflows need different detail. A dashboard that only needs the current spread can stop at Level 1. A trader assessing liquidity at nearby price points usually wants Level 2. A desk trying to estimate queue position, fill probability or order-book manipulation risk needs Level 3 or equivalent order-level data.
Cost and throughput also rise with depth. L3 data carries far more events than L1 because every add, modify, cancel and execution must be represented at order level. That higher message volume makes order-level data more expensive to distribute, store and process, but also more informative for surveillance and microstructure analysis.
Retail platforms often show Level 1 by default, usually as a SIP-based NBBO view rather than a direct venue book. Professional users who need more detail may subscribe to Level 2 or Level 3 feeds directly from the venue or through a vendor.
How to Choose the Right Level
If you are checking the market’s current quote, Level 1 is usually enough. If you need to know how much size rests near the touch, Level 2 is the practical choice. If you need to know where your order sits in the queue, or whether cancel-and-replace behaviour is meaningful, Level 3 is the better fit.
A useful rule is to match the feed to the question. Extra depth earns its cost when the added information changes the decision, improves the model or strengthens the surveillance case.
How KX Handles This
OneTick Market Data collects, normalizes and stores Level 1, Level 2 and Level 3 history — including order-level (MBO) data — across more than 200 global exchanges, so firms don’t need to run their own feed-normalization pipeline for each depth tier. KDB-X then provides the query and analytics layer on top of that data, from top-of-book dashboards to full order-book replay, alongside a firm’s other time-series and reference data.
Learn more: OneTick Market Data covers L1, L2 and L3 history across global exchanges, and KDB-X is the query and analytics layer built to work with it at scale. See OneTick Market Data and KDB-X.
Frequently Asked Questions
Is Level 2 the same as MBP?
Yes in common market-data usage. Level 2 is the depth-tier name; MBP is the market-by-price name for the same aggregated view.
Is Level 3 the same as MBO?
Yes in common market-data usage. Level 3 is the depth-tier name; MBO is the market-by-order name for the same order-level view.
Why is Level 3 more expensive?
Because the feed contains far more messages and more detailed state. Every order event has to be carried, stored and replayed, which increases infrastructure and distribution cost.
Why do different venues describe levels differently?
Market-data conventions evolved differently across exchanges and vendors. The safest approach is always to confirm the venue’s own definition before making assumptions about the feed.
Do retail brokers usually provide Level 3?
Usually not. Most retail platforms default to Level 1 and may offer Level 2 as an add-on, while Level 3 is typically a professional or venue-direct feed product.
Can you infer queue position from Level 2?
No. Aggregated size does not reveal which order is first in the queue. For that you need order-level detail or a feed that exposes the relevant priority fields.
Related Terms
- MBO (Market by Order) — the order-level equivalent of Level 3
- MBP (Market by Price) — the aggregated equivalent of Level 2
- Order Book — the underlying structure that all three levels describe at different depth
- Markout — a post-trade metric that often uses depth and quote data as an input
