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Level 2 strategy?

Hi, I am wondering if I can build a strategy using level 2 data. For example, if I have historical level 2 data for the past year, I would be able to know if any market maker has a heavy holding of a certain security as long as the entry price, then I just follow the market maker (buy if the price falls below their entry price, sell if the price raise up to a certain extent that the market maker want to sell) because they have a good chance to make money. I have done some research online and nobody talks about it. Is this just my silly thought?

2 responses

Hi Amilia,

While level 2 data is not currently available on Quantopian, I would recommend that you still explore your ideas in the Research environment.
There's an excellent tutorial on the research environment that I think would help you get your ideas onto the platform.

If you have any questions, please feel free to ask.

Lotanna Ezenwa


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Hey Amilia Bay!
I actually have the same idea in my head! I am looking for a website or a broker with a full list of buys and sales throughout the day. So far I found and have only the last 25 trades so web crawling that makes it harder. If I could find a way to get the level 2 data to a CVE we can use python to organize it and let us if any big positions have been taken on a certain stock in a certain day and use that data to our advantage. Really looking for help with this subject!!