Sasha:
I used to have an Instinet terminal when I worked for a firm. It does show you the whole instinet book, but I've never seen it show how many times a particular client has refreshed a bid/ask (Maybe that's something new, but I think most clients would be against that). What it does show is how many shares a particular user has bought/sold that day, but there's a catch. The user can reset it to zero at any time he wants, as many times as he wants. When he does that, the amount doesn't go away, he just becomes a "new" user. The purpose of having the amount totals is to attract other buyers/sellers in some of the less liquid names. This data will stay up for about a week (depends on the stock, and how much traded).
For example, you might see a list like so:
x 17,600 10/08
x 12,300 10/05
x 6,500 10/05
The x means that user has no working order at the present. If I was trying to sell some stock in this name and was having no luck, I could send anyone (or all) of these users a private message with an offer at a particular price. Then they have a few minutes to respond to the live offer by accepting, countering, or refusing, or they can send me a message. The instinet desk watches all of this, and if a trader on the other desk is away (or asleep) they will call the other desk (who will always remain anonymous) and alert them.
Instinet also gives you the ability to only show part of your order. If I want to sell 50,000 shares of INTC at $22, I can set it so that it will offer 1,000 shares at $22, and every time that amount goes to 0, Instinet will automatically reset it to 1,000, until I've sold a total of 50,000 shares. No other user will be able to see this (except the Instinet desk), so actually you cannot see the "true" size. What you will see is every separate order as opposed to a total amount seen on most level 2 screens.
As far as the cost goes, the terminal was free, as well as the installation, but they still own the terminal. They make their money off commissions, which is negotiated based on volume. If you only trade 100,000 shares a month, it would probably be between 4 to 5 cents per share. Not exactly a bargain for daytraders...
There may be a new special deal for individuals though, so you may want to check their website. But if you are a daytrader/swingtrader, I honestly can't think of any advantage of using one. They're set up to protect the interests of the client, so you'll never know if that 1,000 share bid is Morgan Stanley or just some small portfolio manager with 2,500 shares to buy. And if you want to know the "depth" of a particular ECN, I believe some firms like Cybertrader offer that info already.
DeeMan
