Level 2
Level 2 is the order book: every buy and sell order waiting in the market for a share, at every price, with the number of shares at each, so you can see how much real demand and supply sits behind the quoted price.
The ordinary quote shows you only the best bid and the best offer. It does not show how many shares are wanted at that bid or available at that offer, nor what is queued at the prices behind them. That matters. A bid backed by 200,000 shares is solid; a bid backed by 200 shares will vanish the moment anyone sells into it, and the next bid may be several pence lower. Level 2, also called market depth, shows you this: on one side, every price at which buyers have placed orders and the quantity at each; on the other, the same for sellers. The top of each side is the bid and offer you see on the quote.
Reading the book tells you things the quote cannot. A large seller sitting just above the current price will cap any rise until that stock has been bought. Thin buy orders below the price mean a modest sale could knock the price down several levels. A queue building on the buy side ahead of results suggests demand. If you are dealing in a less liquid share, the book shows you whether an order of the size you intend can be filled at the quoted price or would have to eat through several levels and move the price against you. The spread itself, the gap between best bid and best offer, is visible as a cost.
On London shares the exchange requires anyone receiving live Level 2 to declare that they are a private investor. That declaration is free and you sign it on Feeds; until then the book is delayed. US shares on BATS and the FX prices have no order book on aNewFN, and those pages say so. Level 2 shows orders waiting; the deals already done are the trades list.
Questions
Is Level 2 free?
Yes. London Level 2 costs nothing. The exchange only requires the free private-investor declaration on Feeds before it goes live.
Is there Level 2 for US shares?
No. US shares on the BATS feed are Level 1 only, and the page tells you so rather than showing an invented book.
Why is my Level 2 delayed?
Because the declaration has not been signed on your account yet. Once it has, the London book is live.
Related pages
| Quote | The quote is the top line of this book: the best bid and best offer. Level 2 is the whole book, showing how much sits behind those two prices. |
|---|---|
| Trades | Trades are the orders that have already been matched and dealt. Level 2 is the orders still waiting. Each trade removes shares from the book. |
| Feeds | London Level 2 is delayed until you have signed the free private-investor declaration on Feeds. That is the exchange's condition, not aNewFN's. |