DIH has expanded its Level 3 depth of book data offering to include more than 280 metrics you can receive via bulk file download or API.

These metrics are based on every individual order from over 45 exchanges and trading venues — including up to five years of history — and cover global equities, ETFs and futures. Metrics like this are very difficult to come by or replicate.

Here is just a small sample of the 280+ level 3 depth of book data metrics available:

  • Order Fill Probability: the probability of your order filling at a particular price within X seconds
  • Order Resting Times: the average time orders rest on the book before being executed or cancelled
  • Order Fill, Modify & Cancel Statistics: the percentage and count of orders filled at the BBO at a venue
  • Market Impact: the impact your order has on the next price that is traded relative to the size of your order
  • Auction Order Imbalances: the excess volume after the closing auction that stays on the book after the auction execution as a percentage of volume traded over the day

Buy- and Sell-Side Firms, Exchanges and Service Providers Gain an Advantage with Enhanced Level 3 Metrics

These level 3 metrics and analytics are used by a wide variety of institutional market participants to:

  • Uncover the liquidity risk profile of any stock or portfolio
  • Time their orders better in advance of market imbalances
  • Compare trading venues in unique ways to optimize their trading strategies
  • Identify the market behavior that matters most to maximize their trading and smart order routing decisions
  • Fully understand auction volume using level 3 cross-market auction data to improve their executions and order routing

In addition to these predefined metrics, you can use the DATA LAB via your Web browser to create your own bespoke metrics. This data as a service (DaaS) solution gives you full access to DIH’s 15+ petabyte data lake and research tools in a secure, scalable cloud environment.

What about you? Are you using or thinking about using Level 3 depth of book data? I’d love to hear your thoughts.

Also, please connect with DIH on LinkedIn and Twitter.

Stay Healthy. Stay Safe.

Tom Myers