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Level 3 data

Order-by-order market data showing every individual order's arrival, modification and cancellation, rather than aggregated size per price level.

Level 2 tells you 8,000 shares are bid at 10.00. Level 3 tells you they are eleven separate orders, when each arrived, and in what order they will fill — which makes queue-position directly computable rather than estimated.

In older usage the term also meant the quote-entry terminal used by registered market makers, but in modern data terms it means the order-level feed, marketed as market-by-order.

Example: two books both show 8,000 bid at 10.00. One is a single 8,000-share institutional order; the other is eleven orders averaging 730 shares, mostly from fast cancellers. A seller reading level 3 knows the second book is far more likely to evaporate when attacked.

Related: level-2, market-by-order, queue-position, direct-feed

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