Level 1
— Best bid and offer plus trades
— Captured from real-time data
Simple Trades
— Midpoint price
— Addressable traded volume
— Average spread
Level 2
— Order book aggregated by price plus trades
Aggregated Orderbook
— Average execution cost
— Average liquidity away from midpoint
Level 3
— Full order book with all individual orders and messages
Individual Orders Behaviour
— Order fill probability
— Order resting time
— Order queue dynamics
— Predictive capabilities