Level 1 Order Flow: Does it Include VWAP, Imbalances, and Heatmap?

Futures Trading Platforms Optimus Flow
1

I have been looking into the Level 1 “top of the book” feature and want to know more about its capabilities. Does it include VWAP (Volume Weighted Average Price), imbalances, and the heatmap? Are these features accessible with Level 1 access, or do I need to upgrade to Level 2? I would appreciate any insights or personal experiences you may have. Thank you.

1 Like
2

Hi @Pocir,

Thank you for your question and welcome to the community forum!

We created a blog post a few years ago that summarizes the differences between level 1 and level 2 data. When you have a moment I would encourage you to read it. In my opinion, it does a very good job of explaining the differences and how they can be potentially implemented in your trading: How to Read Level II Market Data | Analyzing Trading Activity on the DOM

Level 2 data market depth data displays all limit orders in queue that have been sent to the exchange. You will typically see this throughout the platform listed as “bid and ask” data.

To answer your question, any features that rely on bid/ask data to display properly require level 2. For example, the heatmap features solely relies on level 2 data to function properly. So if this feature is important to you, it is necessary to subscribe to level 2 data. If I am not mistaken, imbalance relies on this data as well in certain scenarios.

Volume data is fully included with top of the book level 1 data, so level 2 data is not required to use VWAP.

I hope this helps! Please let us know if you have any additional questions about level 2 data!
Thanks,
Jake
Optimus Futures Support

2 Likes