Kahulugan
Level 2 data
Order book data showing aggregated size at every price level.
Level 2 data is the order book feed that shows aggregated size (quantity) available at each price level on both the bid and ask sides. Where Level 1 gives you the best bid and best ask, Level 2 expands the view to multiple price tiers so you can see depth, stacked interest, and how liquidity is distributed across prices.
On Polymarket Level 2 appears on the Market WebSocket channel. The feed reports price levels and aggregated sizes per level for each instrument, enabling you to reconstruct the visible book, measure depth, and calculate metrics such as cumulative depth or order-book imbalance. Because Polymarket uses a CLOB, Level 2 lines correspond to resting limit orders placed in the matching engine.
In context
Traders and bots use Level 2 data to detect execution opportunities and short-lived imbalances. For intra-market arbitrage strategies (for example, buying both legs in a binary when the sum of best asks is below $1.00), Level 2 shows how much quantity exists at the top-of-book and how much additional volume sits behind it. On Polymarket the Market WebSocket sends real-time book updates — subscribe to the market channel to receive Level 2 changes, along with other events like price_change, best_bid_ask, and last_trade_price.
See also
- /glossary/order-book