Order Book Data (Level 2)

Order book data, often called Level 2 or market depth, shows the resting limit orders stacked at each price on both sides of the market, not just the single best bid and offer that top-of-book (Level 1) reports. It reveals where liquidity actually sits, how thick each price level is, and how the book leans - information that a last-trade price alone hides.

Because the book updates constantly as orders are placed, canceled, and filled, working with it means processing a high-rate event stream and maintaining a live reconstruction of state. Features derived from it - order-book imbalance, the shape of the ladder, the rate of cancellations - are staples of short-horizon prediction and execution. It is also where a lot of microstructure noise lives, so raw depth needs careful handling before it becomes a signal.