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 introduces channels for obtaining L2 data and related technologies.
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 Market Level-2 Sources
| Market | Platform/API | Latency |
|---|---|---|
| US Stocks | NASDAQ TotalView, Polygon.io, Databento | Millisecond level (internet API); co-location can achieve microseconds |
| Hong Kong Stocks | TickerPlant, Wind, Bloomberg | Generally millisecond to second level |
| Cryptocurrency | Binance, OKX, Coinbase Advanced Trade API | Real-time free, most accessible |
3. Level-2 Data Costs (Approximate)
| Platform | Monthly Cost (Reference) | Notes |
|---|---|---|
| Wind Level-2 (A-shares) | CNY 20,000-50,000+/month | Includes API access and usage license |
| 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 L2 | HKD 5,000-10,000/month | Subscribe through certified service providers |
| US Stocks L2 (NASDAQ TotalView) | $70-150/month | Not free for individuals |
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)
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
- LSEG, Bloomberg, Refinitiv, East Money, Huatai Securities
- HKEX Co-location Hosting: https://www.hkex.com.hk/Services/Connectivity/Hosting-Services?sc_lang=en