sawtooth500 33 Posted June 24, 2020 I'm making this post here for the benefit of new people to the community, and so that they better understand the difference between "Books" when it comes to U.S. Equities... https://www.investopedia.com/terms/e/ecn.asp An ECN is a place where buyers/sellers meet - the orders you see in the ECN are the "book". Thing is, for U.S. equities, there are multiples different ECN, and hence multiple books. If you ever hear about algo's doing arbitrage, they are exploiting price differences between different ECNs. Examples of ECN's include ARCA, BATS, IEX, etc. You'll notice in DAS when you are sending orders, you can send orders directly to an ECN since DAS is lets you do direct access routing - that is direct access directly to an ECN you specify. Or, if you're with IB and you use SMRT routing, that's IB's smart routing algo, which automatically determines what ECN to send your order to. When your order is sent to an ECN, then ECN first tries to execute your order within that ECN - if you're buying shares, it tries to match you with a seller on that ECN or if you're selling shares it tries to match you with a buyer on that ECN. If it can't do that, then the ECN may route your order to a market maker, which takes additional execution time. See https://speedtrader.com/order-routing-and-how-it-affects-your-trading/ for more info. Now that you understand what books are you can understand what you see on your DAS L2 montage. The DAS Elite package includes: Elite (Includes access to iPhone/Android Interfaces): Totalview, Options Level 2, OTC Markets Level 2, ARCA Book, IEX Deep, Imbalance, Forex, and e-Mini Level 1 Or, decoded for U.S. Equities, that is NASDAQ Totalview, NYSE/ARCA, and IEX Deep books. But keep in mind that these are not ALL the books on which U.S. equities are traded! If you're familiar with Bookmap, which I highly recommend and is a L2 visualization/histogram software, Bookmap has a different data provider for U.S. Equities than DAS. Bookmap uses Dxfeed, which includes NASDAQ Totalview and the EDGX/BATS Books. As a result, if you're using DAS and Bookmap side by side looking at a ticker, sometimes you'll see liquidity in DAS that you don't see in Bookmap, and other times you'll see liquidity in Bookmap that you don't see in DAS - and that's because due to data provider differences you're looking at different, but totally valid, books! Both books are correct. It would be nice to have ALL the books for U.S. equities in one program, but sadly that's just not the case. 2 Share this post Link to post Share on other sites
WarrenK 2 Posted July 28, 2020 @sawtooth500 Thank you for this information, it was very helpful. I am a new trader and have been using the DAS Simulator since I started. I have an account with TradeStation and would like to match the Level 2 data I see on the DAS Montage with what Tradestation offers. I have attached a photo of what they have. Couple of questions based on your info. I have highlighted what data I need to subscribe to. In your opinion is that all I need or do I also need OTC, BATS & Direct Edge books, NASDAQ BX Total View? I dont see an option for IEX Deep in Tradestation or is that included in one f the other packages? Cheers Warren Share this post Link to post Share on other sites
sawtooth500 33 Posted July 28, 2020 Basically you need everything except options unless you intend on trading options. Share this post Link to post Share on other sites
WarrenK 2 Posted July 28, 2020 Thanks. Are OTC Markets as relevant as the others for NASDAQ and NYSE Stocks? Share this post Link to post Share on other sites
