{"slug":"a-share-level-2-market-data","qid":"event_density","label":"Book events per three second interval across five household names (10:00 to 10:30 a.m. ET, 16 September 2026)","post_title":"What A-share Level 2 Data Actually Contains","post_url":"/blog/a-share-level-2-market-data#q-event_density","columns":["symbol","quote_updates_per_3s_window","quote_updates_per_trade"],"rows":[{"symbol":"SPY","quote_updates_per_3s_window":277.3,"quote_updates_per_trade":4.9},{"symbol":"NVDA","quote_updates_per_3s_window":257.4,"quote_updates_per_trade":0.8},{"symbol":"AAPL","quote_updates_per_3s_window":76.2,"quote_updates_per_trade":0.8},{"symbol":"KO","quote_updates_per_3s_window":56.6,"quote_updates_per_trade":1.5},{"symbol":"MSFT","quote_updates_per_3s_window":27.2,"quote_updates_per_trade":0.5}],"shape":"ranking","sql":"SELECT\n    q.ticker                             AS symbol,\n    q.quote_updates_per_3s_window        AS quote_updates_per_3s_window,\n    round(q.quote_updates / t.trades, 1) AS quote_updates_per_trade\nFROM\n(\n    SELECT\n        ticker,\n        count()                                                                            AS quote_updates,\n        round(count() / uniqExact(toStartOfInterval(sip_timestamp, INTERVAL 3 SECOND)), 1) AS quote_updates_per_3s_window\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker IN ('AAPL', 'KO', 'MSFT', 'NVDA', 'SPY')\n      AND sip_timestamp >= '2026-09-16 14:00:00'\n      AND sip_timestamp <  '2026-09-16 14:30:00'\n    GROUP BY ticker\n) AS q\nINNER JOIN\n(\n    SELECT\n        ticker,\n        count() AS trades\n    FROM global_markets.stocks_trades\n    WHERE ticker IN ('AAPL', 'KO', 'MSFT', 'NVDA', 'SPY')\n      AND sip_timestamp >= '2026-09-16 14:00:00'\n      AND sip_timestamp <  '2026-09-16 14:30:00'\n    GROUP BY ticker\n) AS t ON q.ticker = t.ticker\nORDER BY quote_updates_per_3s_window DESC","computed_at":"2026-10-07T15:17:10.833830+00:00","elapsed":0.00308158}