Time & Sales vs. Level 2

[SirPatrick 9]

Can anyone explain why I am not seeing a correlation between the T&S data and the Level 2 data? There are entries on the time and sales for prices that never show up on the level 2 data; also the sizes between the two never seem to match. Refer to the red rectangle, those prices never showed as a bid/ask in the level 2 data. Is this normal or am I missing something here?

 

 

[BrianS 5]

There are two things going on here.  First, It does not look like you have a full market subscription so you are only getting a summary of a couple exchanges close to market price.  My IB market depth is much closer to what you see in DAS (picture below).  Second, not every print needs to hit the level 2.  I think the old stock market specialists would call this a limit order book which means that any limit order that was not marketable would sit in the book.  I don't think market orders ever hit the L2 and that would also be true for marketable limit orders as those would print right away.  I have heard the term "soaking up size" or "soaking up a price" where there are lots of prints at a level even though the traded price is no changing a specific price on the L2 book.  Those would be the market or marketable limit orders hitting the market.

[BBT Member 001 27]

for Interactive Brokers, you need to buy market maker data for each one separately. You need to buy Nasdaq, Nyse, Bats, Arca, AMEX, IEX and other... make sure you have all.....