Are Level II really needed today?

[OHR]

The moderator is correct to point out, when looking at Nasdaq market data, TotalView is what you should be asking for. To make sure people know the difference, Level II only shows ONE bid/offer from each firm quoting in Nasdaq (this includes both SIZE and BRUT). TotalView shows ALL bids an offers from every firm. Over the past year more firms are putting multiple orders into Nasdaq at the same time, and we have integrated all BRUT orders into TotalView, making this an important difference

The best stat to point this out is that, Nasdaq research shows that typically within .05 of the best price in Nasdaq 100 stocks, TotalView shows you twice the number of shares as Level II. That basically means if you're using Level II data you are trading with one eye closed. If you're looking for an entry or exit point at a certain price level, TotalView may show you that opporutnity is available where Level II would not. TotalView is also the fastest source of Nasdaq data, meaning having TotalView could give you an advantage in being first to the punch when you are ready to trade (especially if your strategies have been automated).

TotalView costs a little more ($5 per month more than Level II) but it should pay for itself with improved execution on one trade.

See https://www.nasdaqtrader.com/easp/totalview_form.asp for more info or feel free to reply to this post.

Bill O'Brien
SVP, Market Data Distribution
Nasdaq

Quote from Avalanche:

level II is somewhat dated most pro's are using something called "total view" (nasdaq) its faster than level II and shows much more depth.

as to the usefulness question, its definitely useful but it varies widely as to how much according to how your trade.

the easiest example of its use would be the depth you see in total view on stock that doesn't trade but 500K-750K shares per day. The level II might show 1300 shares between you and the whole number, total view might show 2500 or 4000, whatever.

What is helpful is if you have 5K shares and its printing .06, then .05, the .04 and its THIN. Seeing that full depth gives you an idea of where the exit door is and allows you to lean on size or adjust the rate at which you can work an order or just get the hell out.

yes, orders can pull, they are spoofed, refreshed, hidden, etc, but its still additional information and over time you can learn to quantify it somewhat.

 

[easyrider]

By asking this question I would say you dont need it for now.

 

[couponjohn]

Quote from OHR:

The moderator is correct to point out, when looking at Nasdaq market data, TotalView is what you should be asking for. To make sure people know the difference, Level II only shows ONE bid/offer from each firm quoting in Nasdaq (this includes both SIZE and BRUT). TotalView shows ALL bids an offers from every firm. Over the past year more firms are putting multiple orders into Nasdaq at the same time, and we have integrated all BRUT orders into TotalView, making this an important difference

The best stat to point this out is that, Nasdaq research shows that typically within .05 of the best price in Nasdaq 100 stocks, TotalView shows you twice the number of shares as Level II. That basically means if you're using Level II data you are trading with one eye closed. If you're looking for an entry or exit point at a certain price level, TotalView may show you that opporutnity is available where Level II would not. TotalView is also the fastest source of Nasdaq data, meaning having TotalView could give you an advantage in being first to the punch when you are ready to trade (especially if your strategies have been automated).

TotalView costs a little more ($5 per month more than Level II) but it should pay for itself with improved execution on one trade.

See https://www.nasdaqtrader.com/easp/totalview_form.asp for more info or feel free to reply to this post.

Bill O'Brien
SVP, Market Data Distribution
Nasdaq

Sujestions on where I can get total view, i dont think my broker offers this, they just offer Level II ?

 

[OHR]

Quote from couponjohn:

Sujestions on where I can get total view, i dont think my broker offers this, they just offer Level II ?

More and more firms are starting to offer TotalView, here's a sample:

eSignal - now available
CyberTrader - now available
AlphaTrade - now available
Genesis - now available
REDIPlus - starting July 1
Townsend/RealTick - some time in July
TradeStating - around August 1

If you use someone else, let me know and I will provide status. In many ways you (the customer) have greater influence than we do to get a broker over the hump.

Regards - Bill

William O'Brien
Senior VP, Market Data
Nasdaq

 

[mahram]

if only you guys gave us the stop orders too, lol , but totalview is way better then the nyse openbook.

Quote from OHR:

More and more firms are starting to offer TotalView, here's a sample:

eSignal - now available
CyberTrader - now available
AlphaTrade - now available
Genesis - now available
REDIPlus - starting July 1
Townsend/RealTick - some time in July
TradeStating - around August 1

If you use someone else, let me know and I will provide status. In many ways you (the customer) have greater influence than we do to get a broker over the hump.

Regards - Bill

William O'Brien
Senior VP, Market Data
Nasdaq

 

[Ed Zeppeli]

I've been trading off LII for 4 years now. Yes, you see lots of pulled quotes and refreshing quotes but there are patterns in everything and I would be severely handicapped without it.

As for TotalView, no offense to anyone, but I found it absolutely useless. Use ECN books if you want depth of market. At least then you'll be able to hit the size you see a few cents away by crossing the market. You can't cross the market w/ supermontage so what's the point of seeing LEHM 5 cents away showing 100? Most of the time he'll be gone by the time the price comes to him anyway.

TotalView is a NASDAQ moneygrab IMO.

Happy Trading,

Warren

 

[phoenix3]

http://www.wallstreetandtech.com/showArticle.jhtml?articleID=163701202


A Chip Off the Block

By Dan Safarik
Wall Street & Technology
May 25, 2005

The New York Stock Exchange's specialist-driven, open-outcry model, battered by trading scandals, is scheduled for an overhaul. The exchange plans to modernize its trading model with the upcoming Hybrid system, which, in part, is meant to draw back the large orders that have migrated to newer, electronic block-trading systems. For their part, traders seem willing to give the Hybrid market a chance, on the essential condition that it offers the kind of anonymity and order protection that has become the hallmark of electronic players such as Instinet's Crossing Network, Investment Technology Group's (ITG) POSIT, Liquidnet and Harborside+.

[excerpt]

 

[smoothsmooth]

I've just started trading a couple months ago - so pardon my ignorance.

I just had a few questions with regards to "TotalView."

I suspect several of you have been in the situation where you have a definite short - so you go short. One level of the bid gets cleared - another almost gets cleared but there is just this one ARCA or market maker sitting there on the bid showing 100 shares. Now you know something just ain't right because you just saw 10,000 clear the bid on the time n' sales but there is only 100 showing? At this point the rest of the world goes hmm & gets back on the bid so you can forget your short for the time being.

Now, call me a sceptic, but I would assume there there is no service (including TotalView) that would tell me "don't go short buddy, you know there is an ARCA sitting on the bid that is blocking the level." If there is such a service, I would be delighted to know about it.

Moreover, what is the story with these "post-only orders?" I've only heard about this. An earlier poster highlighted a situation where someone would be showing 10,000 on the offer to scare everyone off while collecting 100 share lots on the bid. Is it possible to post an order with NO obligation to buy or sell? In the good name of the capital markets, I would hope that such chicanery does not exist!

I guess what I'm trying to ask is, what edge does TotalView provide. You can check out the ARCA website to get a java thingy that shows you the levels a few cents out. Conversely, you have T&S or charts - is there much else that is worth $5 extra bucks a month - what's the edge?

Last, I've heard of a level III? Is this an urban legend?

Kindest regards!

Smooooth?

 

[mahram]

nope level III includes the stop orders, but lol those are for the market markers or specialists. Its because some orders are done in house by other brokers or desks, which deals with funds or hedgies or big traders, and they will fullfill the trade, and then report it to the exchange.

Quote from smoothsmooth:

I've just started trading a couple months ago - so pardon my ignorance.

I just had a few questions with regards to "TotalView."

I suspect several of you have been in the situation where you have a definite short - so you go short. One level of the bid gets cleared - another almost gets cleared but there is just this one ARCA or market maker sitting there on the bid showing 100 shares. Now you know something just ain't right because you just saw 10,000 clear the bid on the time n' sales but there is only 100 showing? At this point the rest of the world goes hmm & gets back on the bid so you can forget your short for the time being.

Now, call me a sceptic, but I would assume there there is no service (including TotalView) that would tell me "don't go short buddy, you know there is an ARCA sitting on the bid that is blocking the level." If there is such a service, I would be delighted to know about it.

Moreover, what is the story with these "post-only orders?" I've only heard about this. An earlier poster highlighted a situation where someone would be showing 10,000 on the offer to scare everyone off while collecting 100 share lots on the bid. Is it possible to post an order with NO obligation to buy or sell? In the good name of the capital markets, I would hope that such chicanery does not exist!

I guess what I'm trying to ask is, what edge does TotalView provide. You can check out the ARCA website to get a java thingy that shows you the levels a few cents out. Conversely, you have T&S or charts - is there much else that is worth $5 extra bucks a month - what's the edge?

Last, I've heard of a level III? Is this an urban legend?

Kindest regards!

Smooooth?

 

[TimP]

Level II data is best source of info for immediate supply and demand, and thus very useful for short-term trading decisions.