Market Depth shows the buy/sell activity of market makers trading on the U.S. exchanges, for a specified symbol. This window displays quotes only. (For actual trades, see the Time & Sales window.) The window is divided into two parts. The left-side is the buy-side and the right side is the sell-side. There are several views of the data: Level II, OpenBook, TotalView, ARCA and TSX Book. The views can be selected with the pulldown menu to the right of the Symbol Search button. Market Depth data for NYMEX, COMEX and NYSE Liffe Futures is now available (subject to separate exchange agreements, fees and entitlements).
The Level II & OpenBook views shows each quote, by price, including data on the market maker ID and number of round lots available at that price. OpenBook is NYSE equities only.
TotalView shows an aggregate of quotes, by price, and includes the market maker and number of lots available at that price.
The ARCA (Archipelago) ECN or Electronic Communication Network is a component of the Market Depth Window. ECN’s are electronic networks that allow the individual trader to connect their orders to major brokerage houses and bypass the middleman when routing a particular order to buy or sell a stock. Over the past few years, ECN’s have undergone several consolidations to form larger entities that offer increased liquidity.
CA Combined Book is Canadian Market Depth
Mousing over a MMID (Market Maker ID) will give the name of the Market Maker.
CNSX Level 2
The CNSX Level 2 data feed has been added. This new Level 2 feed is a real-time broadcast feed service that includes all committed orders and trades for securities traded on the CNSX (Canadian National Stock Exchange). This exchange feed is available via subscription through your Interactive Data Account Manager.
Note: Depending on the level of services purchased, not all users will be able to see data in all of these Market Depth views.