Do I need Level 2 (Market Depth) or Level 1 (Top of the Book)

Futures Trading Platforms Optimus Flow
1

Hello,

I would like to know which data feed should I get in order to use Only - Cluster charts in Optimus Flow? I’m not interested in DOM, TPO, Time and Sales. Is Level 1 (Top of the Book) enough to read the Footprint/Cluster charts? Thank you!

2

Hi @CBG,

Thanks for your question and welcome to the community forum!

Ultimately the data type you need requires on the type of data you will be filtering your cluster charts by. For example, Optimus Flow footprint and cluster charts have 3 types you can choose from:

image

  • Single cluster shows only one data type per each bar.
  • Double cluster allows you to select two data types that will be shown in each bar. For example, you can select Volume for the first data type and Delta for the second data type.
  • Imbalance in footprint chart highlights the price levels where a buy trade volume is excess over a sell trade volume. Diagonal Bid/Ask imbalance displays aggressive buy market orders lifting the offer and aggressive sell market orders hitting the bid.

If you utilize the Imbalance type for your cluster charts on Optimus flow, you do need level 2 data in order to receive the bid/ask data this setting requires.

If you only use single or double cluster types and do not filter by any sort of bid/ask data, level 1 should be sufficient in my opinion.

Here are the various data types that can be configured for single or double cluster charts:

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I hope this helps!
Jake
Optimus futures Support

1 Like
3

Hi Jake,

I think there may be a misunderstanding regarding the Imbalance footprint requirement.

An imbalance footprint usually compares the executed Ask volume at one price against the executed Bid volume on the diagonal price level (for example Ask@100 vs Bid@99.75). This information comes from the Time & Sales / trade feed combined with the current inside bid/ask at execution time.

That is still considered Level 1 market data in many platforms because it only requires:

  • Last traded price
  • Trade volume
  • Bid/Ask at execution

It does NOT necessarily require full Level 2 depth-of-market data (market depth / order book levels).

Level 2 is only needed when the platform uses actual DOM depth information beyond the best bid/ask, such as:

  • resting liquidity visualization
  • heatmaps
  • full order book imbalance
  • stacked liquidity analysis

Traditional footprint imbalance is simply a diagonal comparison displayed on the UI. The platform calculates it from executed trades, not from full market depth snapshots.

So unless Optimus Flow internally defines “Bid/Ask data” as requiring a Level 2 subscription from the provider, imbalance footprints themselves should technically work with Level 1 + Time & Sales data.

Could you clarify whether:

  1. Optimus Flow truly requires exchange Level 2 entitlement for imbalance calculation, or
  2. it only requires Bid/Ask trade classification data that is already included in Level 1 feeds?

Thanks!