CONNECT DATA Level 1, Level 2, and MBO on Level 3:
1) Level 1 data must be connected for Footprint, Footer, and Market Speed indicators.
Level 1 data definition:
Level 1 data is the most basic market data available for a traded instrument ticket, which includes the best bid price, best ask price, last traded price, and order size volume, essentially providing information on participation by aggressive market participants without detailed information about the order book depth, unlike Level 2 data which provides more granular details about passive buy and passive sell orders at various price levels.
2) Level 2 data must be connected for all data level 2 indicators, for example, Live Dom, Past Dom, Heat Map, Pulling and Stacking, BookMap NT, and Delta Level 2.
Level 2 Data Definition:
Level 2 data provides access to detailed market information, often known as an "order book," which shows passive participants limit orders waiting to be triggered by price. Level 2 Data provides insights into market depth, liquidity, and potential price movements, allowing traders to see beyond just the best bid and ask prices and understand the market sentiment by viewing the volume of orders at each price point or level.
3) Level 3 data for MBO = Market By Order data:
Level 3 MBO Data definition:
Market by Order (MBO) describes an order-based data feed that provides the ability to view individual queue positions, the full depth of the book, and the size of individual orders at each price level. It is This is the highest granularity of data available.
LEVEL 2 and Level 3 MBO data sources:
Want to use NinjaTrader as a Data Level 2 provider?
Here is what you must know about getting Data Level 2 from NinjaTrader: NinjaTrader CME data source provides only 20 price level 2 data, which is insufficient for small time frames and scalping or day trading.
How to get 400+ price levels for Data Level 2 and Data Level 3 MBO:
Connect with any prop firm capable of using the NinjaTrader platform and Data by Rithmic.
It may cost only $12 for Rithmic Data Level 2.
Rithmic is the source of 400+ price levels of Data Level 2 and Data Level 3 used by prop firms like Bulenox oar Apex. Make sure you do not overpay more than $12 for CME data.
How to set up Data Connections
Pre-requirements:
- Checkmark Multi-provider: Tools/ Options/General/ Properties: Checkmark Multi-provider
- Checkmark Show Tick Replay: Tools/ Options/General/ Properties: Checkmark Show Tick Replay
Instructions:
1) Select Connection on the NinjaTrader Administrative window to proceed with the Connection configuration.
2) Configure Configuration properties for connection:
Select the connection as Rithmic Paper Trading if your data source is Rithmic provided by some prop company. The company that provides you with Level 2 data should send you a guide on properly connecting with that data source. Request that information from your data provider company.
3)Set geolocation:
Select a geolocation form list of geolocations that are close to your country's region. For example, Rithmic Paper Trading (Chicago) is the closest server for the USA. Selecting an incorrect geolocation may lead to a time delay in data connection.
Images to Add a connection for level 2 Data: screenshot: click to maximize image:
