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Market data subscriptions are typically classified by the data availability of the order book - number of price levels and access to orders on each price level. Order book is a list of buy and sell orders on a particular financial instrument. There are two basic classifications of data availability - Level 1 and Level 2.

Level 1 market data

The first type - Level 1 data or Top of Book - provides the highest bid and the lowest ask across multiple exchanges (NBBO) or the highest bid and the lowest ask of a single exchange.

Level 2 market data

The second type - Level 2 data or Depth of Book - lists multiple price levels of bids and asks on a given financial instrument. Level 2 data can either:

• Provide access to an aggregated view of quotes at the specific price level, showing all quotes for the same bid or ask price as one line in the book and one aggregate volume. It is also called Price Levels or “market-by-price”.

• Provide access to all quotes at each price level. It is also called Market Depth or “market-by-order”.