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Level 1 data

The simplest market data tier: best bid, best offer, their sizes, and the last trade. Enough to trade with, and blind to everything behind the top of the book.

Almost every free quote you have ever seen is level 1. It answers what you would pay or receive right now for a small order, and nothing else.

Its blind spot is depth. Two stocks can show identical level 1 quotes while one has 50,000 shares behind each side and the other has 200. The first absorbs your order; the second gaps.

Example: both stock A and stock B show 10.00 / 10.01, 500 x 500. You buy 5,000 of each. A fills at an average of 10.011 because depth is stacked behind the offer; B fills at 10.09 because the next offers were 10.04, 10.07 and 10.12. Same level 1, very different market-impact.

Related: level-2, level-3-data, depth-of-market, market-by-price

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