{"slug":"level-1-vs-level-2-market-data","qid":"conflation","label":"Top-of-book message rate, minute by minute (NVDA, one hour)","post_title":"Level 1 vs Level 2 vs Level 3 Market Data","post_url":"/blog/level-1-vs-level-2-market-data#q-conflation","columns":["et_time","avg_updates_per_second","peak_updates_in_one_second"],"rows":[{"et_time":"10:00","avg_updates_per_second":163.8,"peak_updates_in_one_second":371},{"et_time":"10:01","avg_updates_per_second":200.9,"peak_updates_in_one_second":497},{"et_time":"10:02","avg_updates_per_second":205.7,"peak_updates_in_one_second":601},{"et_time":"10:03","avg_updates_per_second":183.4,"peak_updates_in_one_second":428},{"et_time":"10:04","avg_updates_per_second":184.8,"peak_updates_in_one_second":403},{"et_time":"10:05","avg_updates_per_second":157.1,"peak_updates_in_one_second":390},{"et_time":"10:06","avg_updates_per_second":196.3,"peak_updates_in_one_second":1355},{"et_time":"10:07","avg_updates_per_second":163,"peak_updates_in_one_second":442},{"et_time":"10:08","avg_updates_per_second":179.6,"peak_updates_in_one_second":379},{"et_time":"10:09","avg_updates_per_second":183.6,"peak_updates_in_one_second":413},{"et_time":"10:10","avg_updates_per_second":208.4,"peak_updates_in_one_second":586},{"et_time":"10:11","avg_updates_per_second":168.6,"peak_updates_in_one_second":381},{"et_time":"10:12","avg_updates_per_second":152.3,"peak_updates_in_one_second":321},{"et_time":"10:13","avg_updates_per_second":134,"peak_updates_in_one_second":507},{"et_time":"10:14","avg_updates_per_second":127.6,"peak_updates_in_one_second":267},{"et_time":"10:15","avg_updates_per_second":126.6,"peak_updates_in_one_second":308},{"et_time":"10:16","avg_updates_per_second":127.1,"peak_updates_in_one_second":257},{"et_time":"10:17","avg_updates_per_second":132.5,"peak_updates_in_one_second":663},{"et_time":"10:18","avg_updates_per_second":165.7,"peak_updates_in_one_second":410},{"et_time":"10:19","avg_updates_per_second":120.8,"peak_updates_in_one_second":458},{"et_time":"10:20","avg_updates_per_second":170.6,"peak_updates_in_one_second":449},{"et_time":"10:21","avg_updates_per_second":122.1,"peak_updates_in_one_second":432},{"et_time":"10:22","avg_updates_per_second":171.3,"peak_updates_in_one_second":534},{"et_time":"10:23","avg_updates_per_second":146.6,"peak_updates_in_one_second":433},{"et_time":"10:24","avg_updates_per_second":136.3,"peak_updates_in_one_second":813},{"et_time":"10:25","avg_updates_per_second":133.2,"peak_updates_in_one_second":313},{"et_time":"10:26","avg_updates_per_second":117.7,"peak_updates_in_one_second":306},{"et_time":"10:27","avg_updates_per_second":144.2,"peak_updates_in_one_second":301},{"et_time":"10:28","avg_updates_per_second":123,"peak_updates_in_one_second":597},{"et_time":"10:29","avg_updates_per_second":106.1,"peak_updates_in_one_second":264},{"et_time":"10:30","avg_updates_per_second":116.4,"peak_updates_in_one_second":321},{"et_time":"10:31","avg_updates_per_second":120.5,"peak_updates_in_one_second":470},{"et_time":"10:32","avg_updates_per_second":109,"peak_updates_in_one_second":335},{"et_time":"10:33","avg_updates_per_second":109.4,"peak_updates_in_one_second":405},{"et_time":"10:34","avg_updates_per_second":96,"peak_updates_in_one_second":389},{"et_time":"10:35","avg_updates_per_second":125.9,"peak_updates_in_one_second":362},{"et_time":"10:36","avg_updates_per_second":143.8,"peak_updates_in_one_second":362},{"et_time":"10:37","avg_updates_per_second":126.1,"peak_updates_in_one_second":319},{"et_time":"10:38","avg_updates_per_second":123,"peak_updates_in_one_second":464},{"et_time":"10:39","avg_updates_per_second":96.3,"peak_updates_in_one_second":264},{"et_time":"10:40","avg_updates_per_second":133,"peak_updates_in_one_second":651},{"et_time":"10:41","avg_updates_per_second":133.1,"peak_updates_in_one_second":489},{"et_time":"10:42","avg_updates_per_second":133.9,"peak_updates_in_one_second":280},{"et_time":"10:43","avg_updates_per_second":116.8,"peak_updates_in_one_second":307},{"et_time":"10:44","avg_updates_per_second":91.2,"peak_updates_in_one_second":306},{"et_time":"10:45","avg_updates_per_second":126.9,"peak_updates_in_one_second":342},{"et_time":"10:46","avg_updates_per_second":119,"peak_updates_in_one_second":349},{"et_time":"10:47","avg_updates_per_second":399.8,"peak_updates_in_one_second":1434},{"et_time":"10:48","avg_updates_per_second":216.6,"peak_updates_in_one_second":573},{"et_time":"10:49","avg_updates_per_second":151.5,"peak_updates_in_one_second":423},{"et_time":"10:50","avg_updates_per_second":148.2,"peak_updates_in_one_second":291},{"et_time":"10:51","avg_updates_per_second":154.1,"peak_updates_in_one_second":390},{"et_time":"10:52","avg_updates_per_second":198.2,"peak_updates_in_one_second":558},{"et_time":"10:53","avg_updates_per_second":142.5,"peak_updates_in_one_second":312},{"et_time":"10:54","avg_updates_per_second":134.6,"peak_updates_in_one_second":361},{"et_time":"10:55","avg_updates_per_second":143.1,"peak_updates_in_one_second":358},{"et_time":"10:56","avg_updates_per_second":130,"peak_updates_in_one_second":381},{"et_time":"10:57","avg_updates_per_second":113,"peak_updates_in_one_second":3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   et_time,\n    round(avg(sec_updates), 1) AS avg_updates_per_second,\n    max(sec_updates)           AS peak_updates_in_one_second\nFROM\n(\n    SELECT\n        formatDateTime(toStartOfMinute(toTimeZone(sip_timestamp, 'America/New_York')), '%H:%i') AS et_time,\n        toDateTime(sip_timestamp)                                                              AS et_second,\n        count()                                                                                AS sec_updates\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker = 'NVDA'\n      AND sip_timestamp >= '2026-06-17 14:00:00'\n      AND sip_timestamp <  '2026-06-17 15:00:00'\n    GROUP BY et_time, et_second\n)\nGROUP BY et_time\nORDER BY et_time","computed_at":"2026-08-07T15:34:41.140373+00:00","elapsed":0.002127042}