Level II market data (equities)

Question

I have been playing around with some equities historical market data and I understand that different exchanges have different definitions of what Level II (Limit Order Book) data means. What I'm interested in knowing is when/how often is the data updated.

In fact, I see that some exchanges (like NYSE with their OpenBook data) aggregates and refreshes the data every second, while others don't specify at all when/how but appear to do so at irregular time intervals. The question is: is the data updated at every occurrence of an event (such as the submission of a Limit Order, execution of a Limit Order or cancellation of a Limit Order, etc...) or is there some other way?

Answer 1

As you've mentioned, it depends on the trading venue and the exact market data product that you're subscribed to. Unless otherwise stated, the data is usually updated at every occurrence of an event (explains the irregualr intervals), and often, the data is not disseminated immediately and multiple events may be batched in a single message informing you of the update (explains why you often see events with the same timestamp on a third-party vendor's feed that abstracts away the messaging layer).