Level 1 and Level 2 Comparison

Features Level 1 data Level 2 data Description Possible uses
Full order book - bid and offer prices No Yes Two columns listing (in price and time priority) all buy and sell orders on the order book along with volumes and prices Can help identify trading patterns, liquidity, indication of interest in buy versus sell and possible support levels
Enhanced best price No Yes The number and volume of orders at best price on each side of the order book updated in real-time Provides further information as to the make up of the best bid and offer
Buy / sell percentages No Yes The total volumes on each side of the order book expressed as percentages in real-time Clearly indicates total number of buy and sell volumes which can indicate supply and demand in a security
Money flow per security No Yes The cumulative value of trades executed on and off the order book for each security in real-time Can indicate demand and supply in the market
Time-weighted average spread (TWAS) No Yes The average spread (calculated hourly) weighted by the length of time a spread applies Provides reference to current spread between bid and offer
Mid price Yes Yes The mid price is equal to the sum of the best bid price and the best offer price divided by two, and rounded up to be consistent with the relevant price form Can help provide a simple indication of the current value of a security which ignores the spread
Trade high and low Yes Yes The current trading period's highest and lowest prices Provides useful reference data to judge price movements against during the trading day
Closing price Yes Yes The last price for a tradable instrument at the time the market closes. Indicates the closing price of a security
Order book volume weighted average price (VWAP) Yes Yes Volume weighted average price (VWAP) is calculated by dividing the value of trades by the volume over a given period. A closing 10 minute VWAP is used to set closing prices on the order book Can help ascertain the value of a trade taking the size of the execution into account
Cumulative volumes Yes Yes Total number of shares traded in the period Can help measure interest and liquidity
Normal market size (NMS) Yes Yes A value assigned to a security by the Exchange. The NMS indicates the approximate liquidity of that security. For quote-driven securities, the NMS is used to calculate the minimum quote size within which market makers are obliged to trade.
Last trade price Yes Yes The most recent price at which a specific security was traded Provides reference data to help measure the short-term price movement of a security