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 | Level-2 Tick (limited accounts) | Paid, restricted | Non-public interface, requires permission negotiation |
| RiceQuant | Level-2 real-time data | Paid | Supports trading/backtesting, suitable for options trading |
| 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 | JPX / TSE paid real-time market data, LSEG, Bloomberg, QUICK, authorized market information vendors | Japan-market research and live trading | TSE real-time data includes orders, executions, 10-level quotes, and order-level information. |
| 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 |
3. 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 |
| RiceQuant Level-2 (Live trading) | CNY 3,000+/month | Data stream available before/after market open |
| JoinQuant Level-2 (Enterprise) | CNY 10,000+/month | Not for individual developers |
| 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.
The author of this book is walking this path too: Dnalyaw is an AI-driven quantitative trading platform under active development — the data sourcing trade-offs above (which feed to buy, what latency and cost budget to plan for) come directly from running it in production.
4. FPGA and DMA (Market Access)
4.1 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 | Achieve total response time < 1 microsecond (far better than traditional software) |
Extremely low latency (nanosecond level), complex programming (requires Verilog/VHDL), extreme low-latency market making, ETF arbitrage, options HFT microstructure arbitrage.
4.2 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) | Through broker's trading channel, bypassing UI and risk controls, direct to exchange |
| SA (Sponsored Access) | Broker "sponsored" access, client fully controls order system |
| ULSA (Ultra Low-latency SA) | Nanosecond latency, almost zero intervention, self-managed risk, requires institutional compliance endorsement |
HFT market making/arbitrage almost always relies on DMA to be profitable
4.3 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)
Put an AI agent on the grunt work of quant research — pulling data, running backtest scripts, generating reports.
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
AI researcher and serial founder. Building agent runtimes and quantitative trading systems.