Tick and Level-2 Order Book Data Sources
Level-2 data is an advanced data source in quantitative trading, containing order book depth, tick-by-tick trades, and more. This article compares Tick/L2 sources for China, Hong Kong, US, Japan, futures, FX, and crypto markets.
1. What Level-2 Order Book Data Contains
| Type | Example Fields |
|---|---|
| Bid/Ask Depth | Bid1-Bid10 prices and quantities, Ask1-Ask10 |
| Order Details (some platforms) | Queue size and order count at each price level |
| Tick-by-tick Trades + Aggressor Side | Trade price, direction (active buy or sell) |
| Order Book Movement Indicators | Internal/external volume, bid-ask ratio, volume ratio, bid-ask spread, etc. |
2. Level-2 Data Acquisition Channels
2.1 Exchange Official Authorization (Most Authoritative)
| Exchange | How to Obtain | Notes |
|---|---|---|
| SSE / SZSE (China) | Through Level-2 market data authorized service providers | Real-time data requires paid authorization, tick/trade-by-trade, bid-ask queues |
| CFFEX (China Financial Futures Exchange) | For futures and options Level-2 data | Essential for HFT options/arbitrage |
| HKEX (Hong Kong Exchange) | Real-time quotes, 5+ levels of bid/ask | Requires connection to "HKEX Orion Market Data Platform" |
| US Stocks (NASDAQ, NYSE) | NASDAQ TotalView / NYSE OpenBook | Provides full-depth Order Book (subscription required) |
| Crypto Exchanges (e.g., Binance) | Free API for order book snapshot and websocket real-time stream | Generally supports top 20 to full book |
Note: In mainland China, Level-2 real-time data requires authorization through exchange-certified third-party data service providers, which is relatively expensive. Delayed data can be obtained through some channels.
2.2 Major Level-2 Data Service Providers
| Platform | Data Type | Availability | Notes |
|---|---|---|---|
| Wind | A-share Level-2 (depth + matching) | Paid | Structured interface and terminal visualization |
| Tonghuashun iFinD | Level-2 depth + tick-by-tick | Enterprise | Some content requires separate paid authorization |
| JoinQuant | JQData data service only | ⚠️ Live trading discontinued | Yichuang-JoinQuant shut down all services at end of 2023; JoinQuant pivoted to running its own fund — do not rely on it as a live-trading channel |
| MyQuant (掘金) | Real-time quotes + paper/live trading | Paid | myquant.cn, available to individuals |
| RiceQuant (米筐) | Research/backtest/data APIs | Paid | Institutional tier supports L2 |
| Juling, Hundsun | Professional private fund use | Embedded in OMS | Financial institution partnerships, expensive |
| Xueqiu, NetEase Finance, etc. | Display only bid5/ask5 | No API | Viewable but no full-depth data download |
2.3 International Tick / Level-2 Sources
Before comparing vendors, separate the data granularity:
| Granularity | Meaning | Best For |
|---|---|---|
| L1 / NBBO / SIP | Best bid/ask, trades, consolidated quote feeds | Live monitoring, ordinary execution, second/minute strategies |
| L2 / MBP | Market-by-price depth, such as 10 levels or full depth by price | Execution simulation, order book imbalance, short-horizon signals |
| L3 / MBO | Market-by-order events, order IDs, add/modify/cancel messages | Queue-position simulation, market making research, HFT research |
| Market | Main Channels | Best Fit | Notes |
|---|---|---|---|
| US Equities | NASDAQ TotalView, NYSE OpenBook, NYSE ArcaBook, IBKR market data subscriptions, Databento, Massive (formerly Polygon.io), Alpaca | Individual research through institutional trading | TotalView / OpenBook are exchange depth products. Databento is stronger for historical Tick/L2/L3 APIs. Massive and Alpaca are developer-friendly for L1, trades, quotes, and aggregates rather than full exchange depth. |
| US Options | OPRA, Cboe DataShop, Databento OPRA | Options backtesting, volatility research, market making research | OPRA is the core consolidated options quote/trade source. Full-chain options data is large enough that storage and bandwidth need their own budget. |
| US Futures | CME / CBOT / NYMEX / COMEX direct feeds, Databento, IBKR, CQG, Rithmic | Intraday futures, CTA, execution research | Futures L2 usually carries exchange fees. Replay support, timestamp quality, and matching-engine proximity matter more than headline API price. |
| Hong Kong Equities | HKEX OMD-C Standard / Premium / FullTick, LSEG, Bloomberg, TickerPlant, Wind | Hong Kong live trading and microstructure research | Premium provides streaming market-by-price data. FullTick provides market-by-order data for local order book construction. |
| Japan Equities | TSE licensed real-time feeds, FLEX Historical, JPXI 10-Level Order Book Historical Data, J-Quants DataCube, authorized vendors | Japan-market research and live trading | These are separate products. FLEX Historical contains raw daily FLEX messages for reconstructing books. The 10-level historical dataset, launched June 29, 2026, is pre-processed from FLEX Historical and delivered through Snowflake data sharing. DataCube is a pay-per-use marketplace for selected downloadable datasets; do not assume it is the delivery channel for the full FLEX archive. |
| Europe / Global Equities | LSEG Tick History, Bloomberg B-PIPE, ICE, SIX, dxFeed, Barchart, QuoteMedia | Global multi-market institutional research | Coverage is broad but sales-led. Confirm exchange agreements, redistribution rights, historical depth, and timestamp granularity. |
| FX | Dukascopy, Cboe FX, EBS, LSEG, TrueFX | FX backtesting, macro/CTA research | Dukascopy is useful for free historical tick downloads. Institutional FX order books still require professional feeds. |
| Crypto | Binance, OKX, Coinbase Advanced Trade API, ccxt, Tardis.dev | The easiest market for individuals to learn Tick/L2 processing | Exchange WebSockets can reconstruct real-time local order books. Tardis.dev is better for historical L2/L3, cross-exchange replay, and research datasets. |
Practical selection guide:
| Goal | Start With | Avoid at the Beginning |
|---|---|---|
| Learn order books and local book reconstruction | Binance / Coinbase / OKX WebSocket, Dukascopy tick data | Bloomberg, LSEG, direct exchange feeds |
| US equity strategy research | Databento historical data, IBKR subscriptions, Massive / Alpaca L1 data | Full-market direct feeds |
| Hong Kong / Japan research | HKEX / JPX licensed data or authorized vendors | Scraped web quotes or broker UI data |
| Execution simulation | Exchange L2/L3, Databento, HKEX FullTick, JPX real-time data | Minute bars or data without cancels/modifies |
| Display or redistribution | Exchange license plus explicit redistribution rights | Personal broker subscriptions |
Where can you get free Level 2 order book data?
For learning and local order book reconstruction, crypto exchanges such as Binance, Coinbase, and OKX provide free real-time depth over WebSocket, while Dukascopy offers useful historical FX tick exports. Free historical crypto depth is scarcer: OKX publishes L2 order book history, Binance's public archive has only aggregated futures depth, and Tardis.dev lets you download the first day of each month without an API key (details in 2.4). Full-depth US equity data is generally not truly free once exchange licensing and professional-use rules are included.
Which APIs provide historical Level 2 data?
For API-first historical depth, Databento covers US equities, futures, and options; Tardis.dev specializes in crypto L2/L3 replay; and official exchange or institutional feeds remain the main route for market-specific licensed archives. Always verify whether a dataset contains snapshots only or the add, modify, cancel, and trade events needed to reconstruct the book.
2.4 Crypto Level-2 order book data
Crypto is the easiest market in which an individual can read real-time L2 straight from the venue, for free. Two things are different from equities, though. Every exchange is its own book, with no consolidated feed across venues. And a free live stream gives you no history: whatever you did not record yourself, you have to download from an exchange archive or buy.
Live depth from the exchanges (official documentation, checked 2026-10-06):
| Exchange | Channel | Depth | Updates | Access |
|---|---|---|---|---|
| Binance Spot | <symbol>@depth<levels> (partial book) | 5, 10 or 20 levels | 1000 ms or 100 ms | Public market data |
| Binance Spot | <symbol>@depth (diff) + REST GET /api/v3/depth snapshot | Snapshot up to 5,000 levels per side | 1000 ms or 100 ms | Public market data |
| Coinbase Advanced Trade | level2 | Snapshot, then incremental updates | Every update; delivery of all updates is guaranteed | Public channel, no JWT needed |
| OKX | books | 400 levels | Snapshot, then increments every 100 ms | Public |
| OKX | books-l2-tbt / books50-l2-tbt | 400 / 50 levels | Tick-by-tick, every 10 ms | Login and VIP4 or above |
| Bybit (spot and linear) | orderbook | 1, 50, 200 or 1000 levels | 10, 20, 100, 200 ms respectively | Public stream |
| Kraken | book | 10, 25, 100, 500 or 1000 levels | Snapshot, then updates, with a CRC32 checksum of the top 10 levels | Public; the level3 (individual orders) channel needs an API token |
Historical crypto depth you can download (vendor and exchange pages, checked 2026-10-06):
| Source | What it contains | Access |
|---|---|---|
| Binance public data (data.binance.vision) | Spot: trades, aggregated trades and klines only, with no order book. USDⓈ-M and COIN-M futures add bookDepth (cumulative depth at ±0.2% to ±5% around mid, about every 30 seconds, judging from the files) and bookTicker (best bid/ask; the BTCUSDT USDⓈ-M files stop at 2024-03-30) | Free download |
| OKX (historical data) | L2 order book from March 2023. The market-data-history API lists 400-level books and 5000-level books (from 2025-11-01) for spot, futures, swaps and options, usually available at T+3; OKX notes that backfill is still in progress | Public download page and API |
| Tardis.dev | Incremental L2 updates, 25- and 5-level snapshots, trades, quotes, liquidations and more, recorded from the WebSocket feeds of 50+ exchanges | First day of each month downloadable without an API key; published subscriptions start at $350/month (Academic tier, Perpetuals plan, quarterly or yearly billing) |
| Kaiko | "Bids and asks": order book snapshots and updates as daily CSV files | Commercial vendor |
| Crypto Lake | 20-level depth snapshots per side across 10 exchanges | Commercial vendor |
What to watch for when you build on these:
- Diff streams need a sequence check. Binance's documented procedure: buffer the stream, fetch a snapshot (and fetch again if it is older than the first buffered event), drop buffered events already covered by its
lastUpdateId, and throw the book away and start over when an event's first update ID skips ahead. Its snapshot stops at 5,000 levels per side, so deeper levels stay unknown until they change. - Use the checks the exchange gives you. Kraken's checksum lets you prove your local top 10 matches theirs on every message.
- "Top of book" is a separate, cheaper stream. If you only need best bid/ask, Binance
bookTicker, OKXbbo-tbtor a 1-level Bybit book is enough. - Archives differ in what they keep. An aggregated depth band (
bookDepth) or a fixed-level snapshot cannot replay queue changes; incremental L2 updates can. The acceptance test below applies to crypto archives too.
3. Acceptance test before buying a dataset
Do not buy from a coverage logo alone. Ask for one symbol-day containing the open, a halt or auction if available, and the close, then run this gate:
| Check | Pass condition | Why it matters |
|---|---|---|
| Schema | Supplier states whether records are trades, MBP, or MBO | “Tick” can mean trades only; it may contain no resting orders |
| Sequence integrity | No unexplained sequence gaps; recovery snapshots are documented | A single missed incremental update can corrupt the local book |
| Event coverage | Adds, modifies/replaces, cancels, trades, resets and status messages are defined | Snapshots alone cannot reproduce queue evolution |
| Timestamps | Exchange-event and receive timestamps are named, with timezone and precision | Latency studies fail when unlike clocks are compared |
| Symbology | Point-in-time mappings, contract rolls and corporate actions are available | Current symbols create false histories |
| Rights | Research, derived-data, display and redistribution rights are written explicitly | Technical access does not grant redistribution permission |
| Replay | Rebuilt top-of-book reconciles with supplied snapshots/checkpoints | Validates the parser and the delivered bytes together |
Databento's schema documentation is a concrete example of why the distinction matters: MBO contains order-ID events across the book, MBP-10 contains price-aggregated updates at ten levels, and trades contain executions only. Nasdaq's market-data policies separately govern use and distribution. Treat schema sufficiency and licensing as two independent acceptance gates.
Once a sample is in hand, the next step is to rebuild the book from it and check the result against the vendor's own aggregation. Historical Level 2 Data in Practice: Rebuilding an Order Book from MBO Messages in Python does exactly that with a Databento MBO sample, a dependency-free replay script, and an event-by-event comparison against MBP-10.
4. Level-2 Data Costs (Approximate)
| Platform / Channel | Cost Model (Reference) | Notes |
|---|---|---|
| Wind Level-2 (A-shares) | CNY 20,000-50,000+/month | Includes API access and usage license; usually institutional |
| MyQuant Level-2 (Live trading) | CNY 3,000+/month | Data stream available before/after market open |
| Retail Level-2 via Eastmoney/THS (A-shares) | ~CNY 298-998/year | 10-level depth + tick-by-tick for screen watching and research; no programmatic API or redistribution rights |
| JoinQuant Level-2 | Discontinued | Yichuang-JoinQuant shut down at end of 2023; JoinQuant pivoted to a private fund |
| HKEX OMD / vendor L2 | Exchange license fee plus vendor fee | Standard, Premium, and FullTick contain different data; FullTick has the largest volume |
| US exchange depth feeds | Exchange-by-exchange subscriptions; professional and non-professional rates differ | Brokers such as IBKR list NASDAQ TotalView-OpenView, NYSE OpenBook, NYSE ArcaBook, and related products separately |
| Databento | Historical data is metered; live data is included in paid plans | Good API-first path for US equities, futures, and options Tick/L2/L3; start with small samples to estimate cost |
| Massive (formerly Polygon.io) / Alpaca | Subscription plans or brokerage-account data access | Useful for developer onboarding and L1/trades/quotes; do not treat them as the primary complete US equity L2 source |
| Tardis.dev | Subscription/API/download model | Crypto historical Tick, L2/L3, funding, liquidations, and cross-exchange research data |
| Dukascopy | Free historical export | Useful for FX tick learning and backtesting; not a substitute for institutional ECN order book data |
Pricing changes with exchange, user status (professional / non-professional), redistribution rights, and commercial display use. Budget for exchange licenses, number of end users, storage, replay, compliance audit, and redistribution rights, not just the API subscription fee.
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5. FPGA and DMA (Market Access)
5.1 What is FPGA?
FPGA (Field Programmable Gate Array) is a programmable hardware chip that can directly execute specific tasks, such as parsing market data, making decisions, and sending orders, without OS or CPU involvement.
Role in Quantitative/High-Frequency Trading:
| Task | FPGA Capabilities |
|---|---|
| Market Data Processing | Nanosecond-level parsing of Level-2 data, Order Book construction |
| Signal Decision | Execute strategy decisions directly in hardware |
| Order Matching | Send trading instructions, connect directly to trading gateway |
| Latency Reduction | Reduce and stabilize selected processing stages; end-to-end latency still includes feed, network, gateway, venue, and measurement overhead |
FPGA logic can reduce latency and jitter in narrowly defined stages, but no hardware choice guarantees a particular end-to-end latency or profitability. Measure the complete path under production-like load.
5.2 What is Direct Market Access (DMA)?
DMA refers to technology where trading systems bypass traditional broker front-end systems and send trading requests directly to the exchange matching system (or trading gateway).
| Type | Description |
|---|---|
| DMA (Direct Market Access) | Electronic access through a broker's infrastructure to a venue; broker and venue risk controls still apply |
| SA (Sponsored Access) | Client access under a sponsoring broker's membership and regulatory controls |
| Low-latency sponsored access | Architecture optimized for latency while retaining required pre-trade controls, monitoring, and broker responsibility |
Some latency-sensitive strategies use DMA or sponsored access, but profitability depends on edge, queue position, costs, capacity, controls, and competition—not the access label alone.
5.3 DMA + FPGA Combination
In HFT scenarios,
DMA provides "channel access," FPGA provides "speed and decision-making power"
Institutions deploy at Equinix, @Tokyo, and other exchange-adjacent locations:
- FPGA cards (for order book + strategy)
- DMA lines (shortest fiber/microwave routes)
- Risk control services (self-managed or minimized intermediaries)
Reference Links
CIIS Sample L2 Data https://www.ciis.com.hk/hongkong/sc/historicaldata1/sampledata/index.shtml
Shanghai Stock Exchange L2 https://english.sse.com.cn/markets/dataservice/products/
Shenzhen Stock Exchange https://www.szse.cn/market/stock/indicator/index.html
SZSE L2 Authorization http://www.szsi.cn/cpfw/fwsq/hq/yw-2.htm
Hong Kong Stock Exchange https://www.hkex.com.hk/Services/Market-Data-Services/Real-Time-Data-Services/Overview/Real_time-Datafeeds?sc_lang=en
NASDAQ TotalView https://www.nasdaq.com/solutions/data/equities/nasdaq-totalview
NYSE Real-Time Market Data https://www.nyse.com/market-data/real-time
IBKR Market Data Pricing https://www.interactivebrokers.com/en/pricing/market-data-pricing.php
Databento Equities https://databento.com/equities
Databento Historical Metered Pricing https://databento.com/docs/api-reference-historical/basics/metered-pricing
Massive Rebrand from Polygon.io https://massive.com/blog/polygon-is-now-massive
Alpaca Market Data https://alpaca.markets/data
Coinbase Advanced Trade WebSocket https://docs.cdp.coinbase.com/coinbase-app/advanced-trade-apis/websocket/websocket-channels
Binance WebSocket Depth Stream https://developers.binance.com/docs/binance-spot-api-docs/web-socket-streams
Tardis.dev https://tardis.dev/
Dukascopy Historical Data Export https://www.dukascopy.com/swiss/english/marketwatch/historical/
JPX / TSE Real Time Market Data https://www.jpx.co.jp/english/markets/paid-info-equities/realtime/index.html
- LSEG, Bloomberg, Refinitiv, East Money, Huatai Securities
- HKEX Co-location Hosting: https://www.hkex.com.hk/Services/Connectivity/Hosting-Services?sc_lang=en