Hi,

From documentation:

"NOTE: for Market Depth data the [MMID] will be in the form MDxx where xx is a number indicating the "depth" of the data the update message represents."

But I receive MMID without depth number:

"U,CSCO,BATS,19.15,19.16,17600,1800,12:33:06,2012-05-07,20,52,18,12:33:06,T,T,\r\n"

So, how can I guess the depth of this update? How can I build a coherent Order Book without this information?
I have tried to mix Level I bid and ask size with level II data, but I have gotten wrong best Bid&Ask sizes.

Are the best Bid&Ask sizes of Level I data the aggregate sizes of all Markets for that quote?

Thank you

We only send true market depth for futures (in which case the MMID field is replaced with the depth level in the MDxx format).

You can not build true market depth from Nasdaq Level 2 data. Level 2 data only contains the Best Bid and Best Ask for each of the available market makers for a symbol. In theory, if you sort all of the market makers by best best bid/size and again by best ask/size, you should get a quote that matches the NBBO in the level 1 feed when the NBBO is set by a Nasdaq Level 2 participant.

Hi,

Thank you very much for the answer.
So, there is not real Level II data for stocks, only for futures, isn’t it?
I have not found this behavior in the documentation or in the web, I think it is important information because I have taken a decision of feed data with your service without be aware of this issues.

Regards

We provide "real Level II data" with the OpenView package as described here: http://www.nasdaqtrader.com/Trader.aspx?id=nqds

However, Nasdaq Level II is not true market depth data (that would be a different product which we currently do not carry).


We DO offer true market depth for futures exchanges.