The data: level 1, level 2 and MBO

Order flow is a matter of data. The same tools, fed by a poor feed, show a blurry market; fed by a complete feed, they show every order. Before learning to read, you need to know what the screen really receives, and why some tools (the order-by-order heatmap, iceberg detection) require a specific type of data.

There are three levels of detail, from the poorest to the richest.

Volume and the side of the execution

To calculate delta or draw a footprint, the platform must know whether each transaction took place at the bid (an aggressive seller hit the passive buyer) or at the ask (an aggressive buyer lifted the offer). Quality feeds transmit every execution with that side. This is what is called tick-by-tick data: every transaction, not a summary per second or per minute.