Type 2 data

Type 2 data is often referred to in the financial industry as “level 2” data, as it is used for level 2 quotes. Level 2 quote data comprises several price quotes per subject, coming from different market makers or traders.

Here's a record containing type 2 data. It contains equity information (IBM stock), where there are several active market makers.

Diagram of type 2 data structure in a record

The /IBM subject (primary key) has a secondary key of Market Maker (MM). The record contains quote data for each of the market makers providing quotes (MM1, MM2, and so on). This allows a subscriber to see the full set of quotes in the market. An update to the record will always have a market maker associated with it, so only the fields with that market maker as a secondary key will be overwritten.

A typical use for type 2 data is to feed the display of a market order book that is in a tabular format:

/IBM
MM (Market Maker) BidSize BidPrice AskPrice AskSize
MM1 1000 1.9814 1.9823 1000
MM2 2000 1.9926 1.9999 2000
MM3 1000 1.9602 1.9613 3000

A single field in the table can be easily updated from the record: for example, Key="MM1" AskSize="2500".


See also: