Time and Sales - Level I - Level II - tick data

September 8th, 2010, 04:08 PM

Can someone help me sort out these terms:
Time and Sales - Level I - Level II - tick data

To me, it all seems the same, ie, number of contracts traded at x price level at the bid or the ask.

I am a bit confused about the difference between each term.

September 8th, 2010, 04:59 PM

some definition here
Level 1 Definition

September 8th, 2010, 07:30 PM

I added some wiki terms: tick, tick size, tick value, Time and Sales, Level 1 market data, Level 2 market data. etc..

August 28th, 2014, 12:14 AM

You might want to look into Level 3 as well. it has been out for quite some time, yet very hard to find.

Time and Sales - Level I - Level II - tick data

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Time and Sales - Level I - Level II - tick data