Level 1 vs Level 2 vs Level 3 Market Data
Executed volume by price level: the traded ladder (KO, 30 minutes)table ·
2026-08-07 · 63×3
Level 1 top of book: quoted spread across a full session (AAPL, June 17 2026)series ·
2026-08-07 · 32×3
Top-of-book message rate, minute by minute (NVDA, one hour)series ·
2026-08-07 · 60×3
Top-of-book spread and quote message count by name (10:00 to 11:00 a.m. ET)ranking ·
2026-08-07 · 5×3
Executed volume by price level: the traded ladder (KO, 30 minutes)
Executed volume by price level: the traded ladder (KO, 30 minutes)
| price_level | shares_thousands | prints |
|---|---|---|
| 79.42 | 0.1 | 3 |
| 79.43 | 0.1 | 4 |
| 79.44 | 0.4 | 8 |
| 79.45 | 1.1 | 19 |
| 79.46 | 1.2 | 20 |
| 79.47 | 1.9 | 115 |
| 79.48 | 2.4 | 105 |
| 79.49 | 12.6 | 189 |
| 79.5 | 16.6 | 497 |
| 79.51 | 12.1 | 880 |
| 79.52 | 20.7 | 1016 |
| 79.53 | 36.6 | 395 |
| 79.54 | 16.8 | 735 |
| 79.55 | 12.4 | 612 |
| 79.56 | 16.5 | 855 |
| 79.57 | 8.3 | 743 |
| 79.58 | 16.5 | 816 |
| 79.59 | 8.6 | 1060 |
| 79.6 | 5.8 | 660 |
| 79.61 | 0.7 | 25 |
| 79.62 | 1.5 | 15 |
| 79.63 | 0.8 | 65 |
| 79.64 | 0.4 | 74 |
| 79.65 | 1.9 | 55 |
| 79.66 | 10 | 434 |
| 79.67 | 1.9 | 281 |
| 79.68 | 1.2 | 119 |
| 79.69 | 0.2 | 32 |
| 79.7 | 6.2 | 42 |
| 79.71 | 1.8 | 74 |
| 79.72 | 5.3 | 248 |
| 79.73 | 5.5 | 253 |
| 79.74 | 7.3 | 377 |
| 79.75 | 4.6 | 395 |
| 79.76 | 7.2 | 358 |
| 79.77 | 3.1 | 80 |
| 79.78 | 1.1 | 90 |
| 79.79 | 1.3 | 59 |
| 79.8 | 8.8 | 301 |
| 79.81 | 0.1 | 2 |
| 79.82 | 4.7 | 73 |
| 79.83 | 8.2 | 300 |
| 79.84 | 18.7 | 587 |
| 79.85 | 14.8 | 866 |
| 79.86 | 23.9 | 1430 |
| 79.87 | 11.4 | 953 |
| 79.88 | 23.4 | 1097 |
| 79.89 | 23.4 | 1058 |
| 79.9 | 29.3 | 1404 |
| 79.91 | 24.3 | 1743 |
| 79.92 | 28.9 | 1964 |
| 79.93 | 18.8 | 1693 |
| 79.94 | 100.8 | 1856 |
| 79.95 | 23.1 | 1577 |
| 79.96 | 20.8 | 1948 |
| 79.97 | 17.1 | 687 |
| 79.98 | 4.1 | 307 |
| 79.99 | 0.7 | 39 |
| 80 | 6.5 | 198 |
| 80.01 | 2.1 | 35 |
| 80.02 | 6.8 | 78 |
| 80.03 | 8.2 | 96 |
| 80.04 | 0.8 | 10 |
the exact SQL behind every number
SELECT
toString(px) AS price_level,
round(sum(sz) / 1000, 1) AS shares_thousands,
count() AS prints
FROM
(
SELECT
round(toFloat64(price), 2) AS px,
toFloat64(size) AS sz
FROM global_markets.stocks_trades
WHERE ticker = 'KO'
AND sip_timestamp >= '2026-06-17 14:30:00'
AND sip_timestamp < '2026-06-17 15:00:00'
AND price > 0
AND size > 0
)
GROUP BY px
ORDER BY px
More from this analysisLevel 1 vs Level 2 vs Level 3 Market Data
Top-of-book message rate, minute by minute (NVDA, one hour)
series 60×3
→
Level 1 top of book: quoted spread across a full session (AAPL, June 17 2026)
series 32×3
→
Top-of-book spread and quote message count by name (10:00 to 11:00 a.m. ET)
ranking 5×3
→
US equity exchanges that feed the consolidated tape
table 18×4
→
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