Is there a difference between Futures and market data?
Yes. In the context of trading, Futures are financial instruments, while market data refers to the information about current market conditions—specifically the buy and sell orders.
Futures market data subscriptions are categorized by how much detail they provide about the order book, which lists all active buy and sell orders for a specific instrument.
Level 1 Market Data
Also known as the Top of Book, Level 1 market data provides basic trading information:
Best Bid – The highest price buyers are offering
Best Ask – The lowest price sellers are accepting
Level 1 data may reflect:
A consolidated view across exchanges (e.g., NBBO)
Or just a single exchange’s bid/ask prices
Level 2 Market Data
Also called Depth of Book, Level 2 data goes deeper by showing multiple layers of prices for both bids and asks.
There are two primary types:
Aggregated Quotes by Price Level
Combines all orders at the same price into one entry
Shows the total volume at each price
Known as market-by-price or price levels
Individual Quotes by Order
Shows each individual order at every price level
Offers the most detailed view of market depth
Referred to as market-by-order