Level II quotes and the number of bids and asks for each ECN/MM

M

m22au

I just signed up for Level II with Quicken Quotes Live. My problem is best shown by example.

If ABCD Ltd has 100 shares at the ask on ISLD at 30.10, it won't show any shares on the ask above 30.10, even though there probably is.

I always thought that level II quotes meant users could see ALL bids and asks, but unfortunately with QQL I only see the best bid and ask for each MM and ECN.

Is this the way it is for other data providers? Or just QQL?

Was I mistaken in my interpretation of what level II quotes included?
 
M22AU,

Depends on what your broker or software offers.

The Level2 I use shows all ECN prices outside the best, or outside the "inside" prices. But it only lists one price for each MM.

This is really helpful to have a so called "full book" level2 to be able to assist you in judging possible support and resistance levels or big buy or sell orders.
 
I believe the original perceived advantage was that a trader is able to see the _depth_ of bids at, say, 30.10. You know,
ISLD bidding 500 @ 30.10 - GSCO bidding 1000 @ 30.10 - MSCO bidding 1000 @ 30.10.

Then you can see the next level under that. Say, ARCA bidding 1000 @ 30.09 - ISLD bidding 1000 @ 30.09 etc etc. Same thing applies to the offer side of course.

This ability is supposed to give you an idea of the strength of bids/offers but in reality they can disappear in a heartbeat. They're still useful though and some traders can read it better than others. At the very minimum I find it useful in having a better chance of bailing quickly on a fast moving stock. If I'm long and a stock starts to tank, I look at where/who the size is on the bid two or three levels out and whack it and usually get fills from the inside to the level I hit.

As far as seeing a crossed market that you asked about you have to be able to see _that_ particular ecn book in your L2 (as mgkrebs answered). You can open the isld and arca books from their sites but since I don't use that I don't know about the quote update/refresh rate etc.

But, you probably know all of this and were just wondering why you can't see a crossed market. :)

mike
 
Most of the independent data providers (eSignal, QQL, QCharts, etc) only give you one level for each ECN. If you want entire books, you normally have to get that through your broker. Most brokers provide the ISLD book; there are some, like REDI brokers, that show you ARCA, ISLD and REDI books.
 
Originally posted by kowboy
M22AU,

Depends on what your broker or software offers.

The Level2 I use shows all ECN prices outside the best, or outside the "inside" prices. But it only lists one price for each MM.

This is really helpful to have a so called "full book" level2 to be able to assist you in judging possible support and resistance levels or big buy or sell orders.
More...

This is nothing new here but just to clarify...the actual Nasdaq level 2 quote will only display the best bid and offer from the ECN books, along with the current bid/offer from each MM making a market in that stock. The fact that you can or cannot see additional bids/offers from an ECN's book "intertwined" amongst the price levels of the Level 2 is a function of the software you use. When you can, the software is simply taking the separate data from the ECN books and combining it with the Nasdaq Level 2 quote.
 
Originally posted by mike s
If I'm long and a stock starts to tank, I look at where/who the size is on the bid two or three levels out and whack it and usually get fills from the inside to the level I hit.
More...

Mike -the way you phrase this suggests you get partial fills from multiple (different) market participants. Just curious what order route you find to be the most effective at getting you this price improvement feature.
 
Originally posted by DATTrader


Mike -the way you phrase this suggests you get partial fills from multiple (different) market participants. Just curious what order route you find to be the most effective at getting you this price improvement feature.
More...

ARCA.

After my brief look at Pointdirex last Thursday I'm wondering.... does DORS serve this same purpose? But it's limited to ecn's only right?...so you won't get the MM's or SuperSoes?

I didn't get a chance to thank you for your time and I wanted to comment that the speed seemed nice, even with the screen sharing program. I particularly liked the "double click" sell/buy _that_ specific ecn/mm feature.

I mentioned this briefly but I'll mention it again...I'd really like to shrink Pointdirex down to only showing the L2 execution and position minder. Then I'd like to use an "always on top" software and float it inside my RT software. I use one computer and three monitors so if unable to do this I guess my alternative would be to put PD on one monitor and RT w/ charts on the other two. Does that sound about right?
 
Originally posted by mike s


ARCA.

After my brief look at Pointdirex last Thursday I'm wondering.... does DORS serve this same purpose? But it's limited to ecn's only right?...so you won't get the MM's or SuperSoes?...........

I use one computer and three monitors so if unable to do this I guess my alternative would be to put PD on one monitor and RT w/ charts on the other two. Does that sound about right?
More...

Yes DORS is basically doing the same thing as ARCA only I believe it is faster. And, I believe that if a MM is at the inside (and no ECNs/insuficient ECN volume) then DORS will route to SuperSOES.

Regarding the screen issues, if you were truly only using the PD Level 2 screen alone for execution, I suppose you could even stretch RT across 2 and 3/4 screens and just have the PD window sized large enough to hold the Level 2 box.....giving you maximum room for your RT charts.
 
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