What Are the Key Components of a Level 2 Market Data Feed for a Crypto Exchange?

A Level 2 market data feed provides detailed information about the order book beyond just the best bid and ask prices (Level 1). Key components include the aggregate volume of buy (bid) and sell (ask) orders at multiple price levels away from the best price.

It shows the depth of the market and the size of the queues at each price. This data is crucial for assessing liquidity and predicting the price impact of a large trade.