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!

4

Hello @PhamBaLong,

Thank you for following up on this thread.

We spoke to our developers regarding this matter, and for further clarification as to how this feature utilizes different data types after your follow-up response. Our developers confirmed that you are correct, level 2 data is not technically required in order to use imbalance footprint charts. We apologize for the confusion and thank you for pointing this out!

To answer your questions:

  1. According to our developers, no, level 2 data is not required. Top of book level 1 data should be sufficient for imbalance footprint charts on Optimus Flow.

  2. Yes, that is correct.

On a separate, but semi-related note: Please keep in mind that Optimus Flow supports multiple data feeds for live trading such as Rithmic, CQG and Certigo. When subscribing to level 1 data on Rithmic and CQG, the most market depth bid/ask data that is displayed is 1 level above and below the current market price. With Certigo level 1 data, bid/ask data will display for 10 levels; however, the bid/ask data that is showing is actually delayed by 10 minutes. Please keep this in mind if you select the Certigo data feed for your trading and use the DOM or any features that rely on bid/ask data, as those features will inherently show 10 minute delayed bid/ask data if you do not subscribe to level 2 market depth data.

Best,
Jake
Optimus Futures Support