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How Does ‘Time and Sales’ Data Complement the Information Provided by Level 2 Data?

Time and sales shows actual executed trades, complementing Level 2's potential trades to measure realized slippage.
Greeks.Live10.11.25

How Does ‘Time and Sales’ Data Complement the Information Provided by Level 2 Data?

Level 2 data shows the potential for trades (the resting bids and asks), while 'time and sales' (or 'tape') data shows the actual executed trades. It provides a chronological record of every transaction, including the price, volume, and time.

By comparing the executed prices on the tape with the order book depth on Level 2, traders can determine how aggressively the market is moving and identify the true absorption of liquidity, which is key to measuring realized slippage.

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