Level 2
Level 2 is market data that shows the full depth of the order book: multiple price levels of bids and asks beyond just the best bid and best ask. In futures trading, Level 2 data is the foundation of DOM and ladder analysis.
Level 2 data (also called Level II or market depth data) provides the complete visible order book: showing resting limit orders at multiple price levels on both the bid and ask side, not just the top of book. It is the data feed that powers the DOM and ladder displays used by active traders.
Level 1 vs Level 2
| Data type | What it shows |
|---|---|
| Level 1 | Best bid, best ask, last trade price, volume |
| Level 2 | All visible resting orders at multiple price levels on both sides |
Level 1 is sufficient for basic price monitoring. Level 2 is required for order flow analysis, DOM trading, and understanding the depth structure around the current market.
Level 2 in futures vs equities
In equities, Level 2 shows orders from multiple exchanges and market makers (NASDAQ, NYSE, ECN venues). In CME futures, there is a single central order book: all ES orders, for example, go through Globex. This makes futures Level 2 cleaner and more directly actionable than equity Level 2, which can be fragmented across venues.
MBP vs MBO
CME offers two types of futures market depth data:
MBP (Market by Price): shows aggregated quantity at each price level. Multiple orders at the same price are combined into one number. This is what most retail traders see.
MBO (Market by Order): shows individual orders at each price level, including order IDs. Allows identification of specific large orders. Used by professional trading firms and available via CME’s direct feeds.
Depth display conventions
Most platforms show 5–20 levels of depth on each side. The visible depth depends on the data subscription. CME offers MBP-1 (top of book only) and MBP-10 (10 levels deep) as standard retail data tiers.