In many games, the fog of war/vision is a very important element. By grasping the opponent's movements and hiding one's own intentions, "know yourself and the enemy, and win a hundred battles without danger". In the securities market, Level-2 market data has the same effect.
Basic profile
Usually when we use mobile phones to trade stocks, there will be such a prompt message:
Buy 9 with 7890 pending orders? Why can I only see buy 5?
Level-2? What is Level-2, membership level?
In fact, Level-1 and Level-2 are a visual expression of the basic market and enhanced market by the exchange. As early as 2006, the Shanghai Stock Exchange launched the Level-2 market, and then carried out the Level-2 Multiple optimization updates.
Compared with Level-1 (basic market), Level-2 market (enhanced market) provides lower transmission delay and richer data content. Let's get to know Level-2 together, skill Level-up!
Market snapshots
The market conditions disclosed by the Shanghai and Shenzhen Stock Exchanges are slices of the current state of the market at fixed time intervals, just like continuous screenshots in a video. This kind of sliced data is called a market snapshot (Snapshot/Tick).
As can be seen from the figure below, the Level-1 market mainly includes the current day's high opening low closing price, previous closing price, the latest price, the cumulative transaction volume and amount of the day, and the real-time bid price and quantity of the five price levels .
Level-1 Market Chart
The most intuitive difference between Level-2 market and Level-1 market is reflected in the market snapshot. Level-2 expands the level-1 five-level handicap to ten-level handicap, and also provides the number of declarations on each level . And the first 50 orders entrusted with the best price are revealed on the first bid price and the first ask price.
Level-2 The level-2 market chart of the
level-2 market shows that there are a total of 5 orders for a certain stock at the one-ask price of 20.79 at 11:29:57, totaling 1100 shares. It is composed of 100, 200, 500, 100, 200. Through the entrusted quantity of the first 50 orders and the entrusted lot size corresponding to the order, we can know the clearer trading intention in the market.
Buy one sell one entrustment queue chart
In addition, the Level-2 market also provides the cumulative number of transactions on the day, the total amount of buy orders and sell orders in the market order, the weighted average price of buy and sell, the amount of buy and sell canceled orders and the number of transactions , buy and sell entrusted prices, fund IOPV and real-time subscription and redemption data, etc. This seems to have opened up the fog of war in the game and gained a larger field of vision, so it is natural to be able to seize the opportunity.
The deeper difference between tick-by-tick data Level-1 quotes and Level-2 quotes is that Level-2 quotes provide tick-by-tick data.
Many Apps will calculate the time-sharing transaction data based on the Level-1 market:
Level-1 time-sharing transaction record chart
The time-sharing shows the change between two market snapshots, which is reflected in the transaction price of the stock and the buying and selling direction obtained from the analysis of the internal and external markets . But what are the details of the transaction between the two market snapshots? The transaction-by-transaction data allows you to know every real-time transaction record, which reflects the most real transaction situation.
Level-2 tick-by-tick transaction record chart
Through the tick-by-tick transaction data, it can be seen that in the time-sharing transaction record in the above figure, the time-sharing transaction between 11:27:57 and 11:30:00, the composition of 4 lots of stocks, The trading direction is composed of two transactions of 100 shares at 20.8 and one transaction of 200 shares at 20.79. The transaction details are clear at a glance, and the real-time performance is higher.
Level-2 transaction-by-transaction chart
In addition, the exchange also provides real-time transaction-by-transaction data. With the transaction-by-transaction data, you can restore all the real-time status of the market together with the transaction data, as if you have obtained the overall situation. vision! Moreover, since the transaction-by-transaction data of the exchange will reveal each order and transaction, the order book thus constructed can reflect market changes in a more comprehensive and in-depth manner, helping investors better grasp investment opportunities.
Level-2Plus order book diagram
At the technical level, Level-2 data adopts a communication protocol with higher transmission efficiency, a technical system with lower delay, and a more reliable transmission mechanism. The overall data quality has achieved the effect of Level-Up. Details For details, please pay attention to the future column introduction of INSIGHT Shuo.
Other markets¶
In addition to the Shanghai and Shenzhen Stock Exchanges, other domestic exchanges also provide Level-1/Level-2 market prices, such as China Financial Services Exchange. CFFEX’s Level-1 quotes are 1-level buying and selling prices, while Level-2 is 5-level buying and selling prices, and there is no difference in other fields.
How to get market data
It is recommended to use the INSIGHT financial data service of Huatai Securities, which can push the raw market data of Level-2 stocks, bonds, funds, options, and futures in real time, as well as the derivative index data calculated based on the original market data.
The Shanghai and Shenzhen level1 market is completely free. Compared with the paid data provided by some other data providers, it is not only free but also fast and stable. It is highly recommended for everyone to use
For application see:
https://findata-insight.htsc.com:9151/help/sdk/SDKDownload/
