# Extract time and sales from the level 2

I need data to test some mathematical models. So far I have the level 2 over 120 layers, but I can't pay for the time and sales. Is it possible to extract the time and sales from the level 2? By layers I mean market depth, with layer 1 being the top-level quote in queue.

The level 2 is the one offered by data.nasdaq.com. Here is a little picture

So I have the bid, ask, the number of orders, number of shares, the time, I can aggregate them by price as well.

I have implemented a discrete actor-critic model.

• could u describe what the 120 layers are for this level 2 data? and which mathematical models do you plan to test with the level 2 data? – develarist May 27 '20 at 12:40
• @develarist I have updated the question. Let me know if you need me to add some more details. – jgauth May 27 '20 at 13:10
• so by layers u mean market depth, with layer 1 being the top-level bid/ask limit order in queue? i see time in the far right column, what do u mean by extracting time and sales? by sales do u mean executed limit orders? what is the significance of the orange, blue and teal rows? and what is a discrete actor-critic model – develarist May 27 '20 at 13:13
• Yeah, I mean market depth. Actor-Critic (A3C) is a reinforcement learning model (arxiv.org/abs/1602.01783). I am wondering if I can extract the sales from the level 2. You can have more information following this video : youtube.com/watch?v=H4FMMBhnEFY. The color means it is the same bid or ask prices – jgauth May 27 '20 at 13:20