Level 3 data goes far beyond Level 1 and Level 2. Instead of showing only aggregated price levels, it displays every single order submitted to the exchange: price, quantity, time, and the identity or code of the participant. It also shows the exact sequence of events—order placements, modifications, cancellations, and executions. This creates a complete picture of market behavior in real time.
Because Level 3 reveals individual participants and their actions, it enables advanced analysis of liquidity, order flow, and market-making behavior. Traders and researchers can see how different firms behave, how quickly they adjust, and how orders interact at the microsecond level. This data is typically used by high-frequency traders, quantitative researchers, exchanges, and regulators.
Level 3 data is extremely detailed and requires significant computing power, storage, and processing. It is rarely used by retail traders because of its complexity and cost. However, it is essential for building ultra-fast trading systems, studying market microstructure, and performing regulatory oversight.
Level 3 data offers complete transparency into market activity, enabling advanced trading models, order-flow analysis, and research on how markets behave at the micro level.
Level 2 shows aggregated order sizes at each price level. Level 3 shows each individual order, including who placed it, when it was placed, and how it changes over time. Level 3 also tracks cancellations and executions in sequence. This granularity is necessary for accurate order-flow modeling and high-frequency strategies.
High-frequency trading firms use Level 3 for ultra-fast algorithms and liquidity strategies. Quant researchers analyze it to study market microstructure and identify patterns other data cannot reveal. Exchanges and regulators use Level 3 to monitor behavior, detect manipulation, and ensure fair trading. These users rely on extremely detailed event-level data.
It includes every message sent to the exchange—millions of updates per day. Handling it requires specialized hardware, fast storage, and optimized software capable of processing huge datasets without delays. The cost also reflects the value of transparency and the resources required to distribute such high-resolution data.
A quantitative trading firm examines Level 3 data to analyze how market makers adjust quotes during volatility. By tracking each individual order, they identify patterns in how liquidity appears and disappears at specific price levels.
FinFeedAPI’s Stock API focuses on Level 1 and Level 2 data for broad market access, but users can integrate FinFeedAPI feeds into systems that also consume Level 3 data from exchanges for advanced order-flow research.
