Now major exchanges are constantly iteratively updating their business. There are many types of market conditions and rapid changes. Various terms make some initial contacts confused. However, the impact of the market on the strategy is very large. Just imagine, if a similar strategy: someone else receives the same market tens of milliseconds earlier than you? You can only see buy one and sell one for a market, but others can see buy one to buy five, sell one to sell five? You receive two quotations in one second, but others receive four quotations? Because others use the level2 market interface
Level 1 market is also called 1-level market or basic market. It literally means that there is only one level in the market information list book, that is, one price for buying and one price for selling. In practical applications, it is generally used to refer to a relatively basic market, which only includes the lowest level of transactions, transaction data, and the update frequency is the lowest.
Level2 market is also called multi-level market or in-depth market, which can be considered as an upgraded version of level1 market, which is reflected in the fact that there will be more positions in the order book, rich data, or faster update frequency. This market is usually charged separately.
The real-time tick-by-tick transaction information provided by the level2 market of the Shanghai Stock Exchange was initially pushed once every 3 seconds, and changed to real-time push after 20191202. There is no tick-by-tick order information yet. Shenzhen Stock Exchange level2 provides real-time entrustment and transaction information on a case-by-case basis, which is all market information on the Shenzhen Stock Exchange. The thousand-level market data of the Shenzhen stock market that is common in the market is synthesized by using these two pieces of information.
Then how can we obtain level2 market data? In fact, we only need a level2 market interface. Let's take transaction data as an example:
And the level2 market interface is relatively simple to use. After downloading the tool, you can get an account subscription. Download the demo: L2gogogo (l2gogogo) - Gitee.com