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.
Glossar
Time and Sales Data
Record ⎊ Time and Sales Data constitutes the definitive Record of all executed transactions on a trading venue, detailing the price, volume, and side of every completed trade.
Order Book Depth
Depth ⎊ Order Book Depth refers to the quantity of outstanding buy and sell orders aggregated at various price levels away from the current market price in a derivatives exchange.
Data
Volatility ⎊ Data within cryptocurrency, options trading, and financial derivatives represents the quantified degree of price fluctuation over a defined period, serving as a critical input for option pricing models and risk assessment.