![]() All three of these feeds have completely different formatting. Coinbase calls their 元 feed the ‘Full’ channel, Bitfinex calls their feed the ‘Raw Book’ channel, and Bitstamp calls their feed the ‘Live Orders’ channel. Of the three exchanges that provide an 元 data feed, each is labeled differently. There is currently no strong consensus across exchanges for defining this data type. 元 data feeds can at times be unwieldy from these three exchanges, which implies that exchanges struggle to ensure stable WebSocket connections for this data type. ![]() Most traders find L2 data sufficient for their use case, which may be why exchanges frequently do not provide this data unaggregated. L2 data transforms these orders into a single data point while 元 data consists of raw, individual orders. At each individual price level, there can be dozens (at times, hundreds) of individual market makers placing bids or asks. Why is this the case? One reason may be the sheer volume of data. However, only three top exchanges currently provide 元 data feeds: Coinbase, Bitstamp, and Bitfinex. Nearly all exchanges provide L1 and L2 data feeds, which comprises all bids and asks on a trading pair’s order book, aggregated by price level. ![]() 元 data is the most granular level of order book data, frequently used by the most sophisticated traders. Some traders may find L1 data sufficient for their trading strategies, while others require L2 data. Thus, 元 data can be referred to as “market by order” data.Įach consecutive level of data provides an increased level of granularity. For example, 元 data for the quotes placed by the 10 traders above would result in 10 different data points with each individual order amount, rather than a single data point aggregated by price level. An 元 data feed would include every individual bid and ask, whereas an L2 data feed would include these bids and asks aggregated by price level. 元 data refers to non-aggregated bids and asks placed by individual market makers. Level 3: 元 data provides even deeper information than L2 data. Because L2 data is aggregated by price level, it can also be referred to as “market by price level” data. The example amount of 23.4 would be the sum of all orders placed by the 10 traders. ![]() For example, if 10 traders placed bids of various sizes at $8,000 while the current price of BTC was $8,500, this would appear as an L2 quote of. ![]() L2 data includes all bids and asks placed by these market makers, aggregated by price level. In cryptocurrency markets, market makers place limit orders at price levels that differ from the current price of an asset. This data is commonly referred to as “depth of book” data. Level 2: L2 data is more granular than L1 data, and includes bids and asks at all price levels of a trading pair’s order book. Traders subscribing to L1 quote data receive real-time changes to the best bid / best ask of an order book, which includes the price level and order amount. This data is commonly referred to as “quote” data, and is accessed in real-time. Level 1: L1 data refers to the best bid / best ask of a trading pair’s order book. However, for the sake of clarity, we will provide an overview of the differences between these data types as they are generally defined in cryptocurrency markets. In cryptocurrency markets, these categories are often blurred and differ slightly depending on the data formatting provided by the exchange. Financial market order book data can be divided into three categories: Level 1, Level 2, and Level 3. ![]()
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