Hello,
I recently began working with the NASDAQ Level II feed available on DTN RealTime and noticed a discrepancy between DTN's data and the data available via other providers. DTN appears to distribute Level II data on a per-market maker basis rather than a per-price level basis. If a market maker is active at multiple price levels, I will only see the closest price at which the market maker is bidding/offering the stock. This makes it very difficult/impossible to determine market depth using the DTN data.
I found a similar thread elsewhere in the forums (
http://forums.dtnma.com/index.cfm?page=topic&topicID=76), but Natalie's response did not indicate whether it was possible to tell if a Level II quote update message was merely updating/removing a price level for a market marker, or was reporting an entirely new price level for that market maker.
Is there some way to get this information? The ability to view the depth for a stock is what NASDAQ Level II is all about, but it is not immediately obvious how to determine market depth information with the DTN data feed.
Thank you for your help,
Michael Alyn Miller