Level 1 data

Level 1 data is the top-of-book feed: the best bid price and size, the best ask price and size, and the stream of executed trades with price, size and time. It is what a quote board or a basic chart is built from, and it contains no information about orders resting away from the best prices.

Senzoukria · Glossary · Updated September 2026

What the feed contains

Because the trade stream is part of Level 1, a footprint chart can be built from a Level 1 feed as long as the trades carry a side or can be classified against the quote. What Level 1 cannot support is anything that needs the rest of the book: a DOM ladder beyond the inside prices, a liquidity heatmap, or a cumulative depth measure.

  • Best bid: the highest price at which someone is currently willing to buy, with the size resting there.
  • Best ask: the lowest price at which someone is currently willing to sell, with its size.
  • Last trade: price, size and timestamp of each execution, sometimes with an aggressor flag.
  • Session statistics such as open, high, low, volume and settlement, depending on the venue.

Reading it correctly

The best bid and ask are a snapshot that keeps replacing itself. When the ask size drops from 200 to 40 without a trade printing, the orders were cancelled or moved, not executed; when a trade prints at the ask, the buyer was the aggressor. Reading Level 1 well is mostly about separating those two kinds of events, which is the same discipline the DOM demands on a larger scale.

The spread between best bid and best ask is also observable at this level, which is why a spread proxy can be computed from Level 1 alone.

In Senzoukria

The footprint chart, the bar delta, cumulative delta, and the tape-based indicators such as speed of tape or trade intensity all work from the trade stream, which is Level 1 content. The Replay screen's Export L1 CSV button writes exactly this stream for a session: timestamp, price, size and aggressor side, gzipped, with the note that the broker's tick history contains transactions only and no order book.

The DOM ladder and the heatmap, on the other hand, are labelled as needing depth; the Levels per side setting and the depth title on the ladder report how many levels the feed publishes, and a Level 1-only entitlement shows only the inside prices there.

Common mistakes

  • Expecting a heatmap from a Level 1 subscription: resting liquidity away from the inside is not in the feed.
  • Treating a change in best size as a fill. Only the trade stream records executions.
  • Assuming Level 1 from one venue represents the whole market for an instrument traded at several venues; for CME futures it does, for spot crypto or forex it does not.

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Frequently asked questions

Can I build a footprint chart with Level 1 data only?
Yes, when the trade stream carries an aggressor side or can be classified against the bid and ask at the time of each trade. A footprint groups executed volume by price and side; it does not need resting orders beyond the inside. Historical footprints additionally need historical trades, which is a separate entitlement from the live feed.
Is Level 1 the same as time and sales?
Time and sales is the trade component of Level 1: every execution with its price, size and time. Level 1 also includes the best bid and ask quotes and their sizes, which time and sales does not show. Most platforms display the two side by side.

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