Level-2 data

[patz1398]

Hi i wanted to ask something regarding L2 data, the operations, remove, add, update, for remove operation, does it removes price at current position and maps it to new position in ladder or basically means the order got executed or someone cancelled it.

[NinjaTrader_ChelseaB]

Hello patz1398,

I don't think you would be able to tell this from the level 2 data as there is a lox of orders with combined volume.
There isn't a way to identify who the orders are from.

However it's certainly possible if there is a remove and an add someone cancelled an order and submitted a new order.
If there is a remove this would mean this position is no longer within the 10 rows of ask or bid of the level 2.
If there is an add this would mean a new price position is within the 10 rows of ask or bid and is now showing volume of orders at that price.