The Level 2 RTD server allows you to get Level 2 data in Excel. You may use it to build a traditional customized depth view. The overall structure is extremely fast and thus can show it as reliably as dedicated applications.
The work horse formula is:
=RTD("QL2",, <symbol>, <order>, <field>, <feed>)
The parameters used are:
| Parameter | Description |
|---|---|
| symbol | the ticker |
| order | The position on the stack maybe be positive negative see below |
| field | field to retrieve it may be: MMID, BID, ASK, BID SIZE, ASK, SIZE, TIME |
| feed | feed to used |
The order parameter is used to specify the ordered position and the way to order. Negative values mean descending order and positive ones ascending orders.
the bid from CSCO are =RTD(“QL2”,,”CSCO”, <n>, “BID”) n = -1 gives the best -2,-3, … gives the following ones ordered
the ask from CSCO are =RTD(“QL2”,,”CSCO”, <n>, “BID”) n = 1 gives the best -2,-3, … gives the following ones ordered
You can get the quotes for a particular Market maker
=RTD("QL2",,<symbol>, <MMID>, <field>, <feed>)