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What's the difference between tick data, market depth, MBP, L2, L3, and MBO? Data schemas (or "formats") have taken up various names over the years by different market data providers, and have become a common source of confusion. 😬 
Let's clear this up with a quick rundown! ⬇️
1- "Tick data" typically refers only to the prints of last sales, which lacks the granularity of MBO or even MBP data.
1- "Tick data" typically refers only to the prints of last sales, which lacks the granularity of MBO or even MBP data.
2- "Market depth" refers to snapshots of price levels and depth at a fixed number of levels from the top. It's usually interchangeable with market-by-price ("MBP").
3- "L2" generally refers to MBP data, but is sometimes used to refer to MBO instead.
3- "L2" generally refers to MBP data, but is sometimes used to refer to MBO instead.
