Question 1

What is Level 3 data?

Accepted Answer

Level 3 (L3) data, also called Market by Order (MBO) data, shows every individual order in the order book, not just aggregated price levels (L2). You can see the exact queue position, order size, and timestamp of each resting order. This is the same data institutional market makers and high frequency traders use.

Question 2

Which instruments have L3 data?

Accepted Answer

Currently, our L3 data covers CME futures including the 6E contract (Euro FX futures). We are expanding coverage to additional CME products including ES (E-mini S&P 500), NQ (E-mini NASDAQ), and others.

Question 3

How is this different from L2 data?

Accepted Answer

L2 (Level 2, or Market by Price) shows the aggregate quantity at each price level. L3 shows every individual order. For example, if there are 500 contracts at a price level, L2 shows "500 @ 1.1234" while L3 shows the 15 individual orders that make up those 500 contracts, each with their own order ID and timestamp.

Question 4

Why is full depth order book data usually expensive?

Accepted Answer

L3 data requires real time exchange feeds (expensive), low latency capture infrastructure, and significant storage. Most providers recoup these costs through subscriptions. We built the infrastructure for our own research and decided to share it publicly because financial data should be accessible to everyone.