Level 2 data (market depth)
Level 2 data, also called market depth, extends the feed beyond the best bid and ask to the resting orders at prices below the bid and above the ask, up to a number of levels set by the venue and the entitlement. It is the input of the DOM ladder and the liquidity heatmap, and it is billed separately from top-of-book data.
Senzoukria · Glossary · Updated September 2026
Depth as a stack of price levels
A Level 2 feed delivers, for each price on the bid side and each price on the ask side, the size resting there and the updates that change it: new orders, cancellations, modifications and executions. The venue publishes a fixed number of levels per side, and the entitlement on a login may cover fewer than the venue offers. Ten levels per side is a common commercial tier for CME futures; the full book is a different product.
Depth can be delivered aggregated by price (each level is one total) or order by order (each resting order is visible individually and anonymously). CME documents this as Market by Price versus Market by Order; both are Level 2 in the everyday sense, but they support different analyses.
What depth supports and what it does not
- A DOM ladder: the current book, level by level, with sizes that change in real time.
- A liquidity heatmap: the same depth rendered over time, so that persistent walls and pulled liquidity become visible.
- Cumulative depth and queue-position estimates.
- It does not by itself establish intent: a large order that disappears near price may have been cancelled for many reasons, and a snapshot cannot say which.
In Senzoukria
The heatmap screen draws resting orders over time, and its DOM ladder and DOM profile show the same depth level by level. The ladder's depth title reports how many levels the feed actually publishes on each side and states that this is not a display setting; the Levels per side control then chooses how many of those levels to draw. The Cumulative depth option sums size outward from the inside.
For CME futures the depth comes from the Rithmic or Databento entitlement on your login. For crypto, the Binance and Bybit public depth streams are used, and depth history is recorded as you watch. The application does not fill in levels the feed did not send; a level with no observation is left blank.
Questions to settle with the provider
- How many levels per side does this entitlement include, and is the full book a separate product?
- Is the depth aggregated by price or order by order?
- Are depth updates delivered as events, or as periodic snapshots that skip intermediate changes?
- Is any historical depth available, or only live?
Related
This page in other languages
Frequently asked questions
- Does a footprint chart need Level 2 data?
- No. A footprint is built from executed trades with a side, which are part of the Level 1 stream. Level 2 becomes necessary when you want to see what is resting rather than what traded: the DOM, the heatmap and any indicator that reads book size.
- Why does my ladder show fewer levels than another trader's?
- The number of levels is set by the entitlement on your login, not by the software. Two traders on the same platform with different data subscriptions receive different depth. The ladder's depth title in Senzoukria shows the count actually received so the difference can be identified.
- Is Level 2 depth the same across venues for the same instrument?
- For an exchange-traded futures contract there is one central order book, so depth from that exchange is the market. For spot crypto or forex, each venue has its own book, and Level 2 from one venue describes that venue only.