Understanding the Level II Data Window

[codeowl]

Hi there,

I am just trying to understand the Level II window in NT8. I have read over the documentation here:

https://ninjatrader.com/support/helpGuides/nt8/?strategybaseconverter.htm

and watched the video as well.

In the documentation it describes the columns in Area 2: " Summary" as follows:

Price	The bid price by ask price
Depth	Number of market participants on the bid by ask price
Size	The total number of shares/contracts on the bid by ask price
Spread	The spread between the bid and ask price
Graph	Visual display of either Size or Depth (number of market participants) You can change the graph type via the Level II properties dialog window.

For Price column it says "The bid price by the ask price". What does bid price by ask price mean exactly? Like it has the two prices there with an asterisk (multiplication symbol) in-between them and the wording in the doco says one by the other as if a multiplication is taking place, but it appears the asterisk is used more like a delimiter, as if you are just showing these two values and using the asterisk to separate them.

For the Depth column it says: "Number of market participants on the bid by ask price". Again, I am unclear on this. See my attached pic on the FDAX 3:20, where every level has 1 * 1 in the Depth column. What does "Number of market participants on the bid by ask price" actually mean. Like going by the attached screen shot, there is only a single market participant at each level of Bid/Ask price in the entire FDAX index. I would have thought many people would be trading at each level on an index of this size.

For the Size column it says: "The total number of shares/contracts on the bid by ask price". So what does this actually mean? Like there are two numbers separated by an asterisk. I am unclear if I am spost to do a multiplication to get a value, or if the asterisk is just a separator. In ether case, what does each number represent? One I assume is the contracts, but what is the other? What is a bid by ask price? Isn't that the value in the first column, and if so there is just one of those in this row, and it is not a single digit number like the second number in the Size column. So what then is that number?

The Spread column actually does make sense, the different between the bid and ask price and it does add up.

I am sure these are super nooby questions, but it is just not clear to me how to interpret the data in this window.

Thank you for your time.

[NinjaTrader_PatrickG]

For Price column it says "The bid price by the ask price". What does bid price by ask price mean exactly?

Correct - we are showing these two values and using the asterisk to separate them. If you look at the 'Details' section below, you'll notice that the top line of the summary matches the top line of the bid and ask data.

For the Depth column it says: "Number of market participants on the bid by ask price". Again, I am unclear on this

This will always be '1 * 1' unless there are multiple market makers. Typically, there are only multiple market makers in an equities market. In the screenshot below, notice that there are two different market makers resting at 310.88 bid. therefore, the the depth reads "2 * 1"::

https://www.screencast.com/t/GDWvVbXDxc98

For the Size column it says: "The total number of shares/contracts on the bid by ask price". So what does this actually mean?

Again, the asterisk does not represent multiplication, it represents delineation of the bid and ask price

[codeowl]

Patrick,

Thanks for the response mate. That is making sense. So you are saying that the 1 * 2 value in the Depth column means one Bidding participant (Market Maker) at the Bid value in the Price column, and 2 Selling participants (Market Maker) at the Ask value in the Price column. Hence the asterisk represents delineation values for the bid and ask price.

Thanks for taking the time to respond ;-)