Updated 21 September 2026 · Versión en español
Because there is no single book to publish. A US stock trades on more than a dozen exchanges and on off-exchange venues, each with its own order book. The public consolidated feed publishes the best bid and offer across all of them and every trade — not the depth behind the best price. Depth exists only in each exchange's own paid feed. That is market structure, not a missing feature.
The consolidated feed is produced by the securities information processors (SIPs), one for each of two plans: CTA for stocks listed on NYSE and most other exchanges, UTP for Nasdaq-listed stocks. It publishes the NBBO — the national best bid and offer — and the trades. That is Level 1, the top of the book.
It is growing slowly at the top, not in depth: the plans scheduled the best odd-lot quotes to start in spring 2026, and the requirement to publish odd-lot quotes beyond each exchange's best was deferred to May 2028 by an exemption the SIP operators requested and the SEC granted. The SEC's 2020 Market Data Infrastructure rule envisioned five levels of depth in consolidated data; that depth is not in the public feed today.
Each exchange sells its own depth-of-book feed — Nasdaq TotalView and NYSE OpenBook are examples — under its own licence, covering only its own venue. A "Level 2" screen for a US stock is one exchange's book, or a vendor's stitch of several paid feeds; off-exchange volume is in none of them. Specialist vendors resell some of these feeds at their own prices; the stock data APIs TradingZona connects to carry quotes and trades, not depth — Polygon.io (now Massive), for one, states that it does "not currently provide level 2 market depth information for stocks".
| Tool | Needs | US stocks via standard APIs |
|---|---|---|
| Depth heatmap, iceberg detection, book imbalance | An order book | Not possible — there is no book in the data |
| Footprint, CVD, delta | The trade tape, with each trade's side | Possible — the tape is real; the side is inferred |
| Volume profile | Bars with volume | Possible on every provider |
The side of a stock trade is not published, so it has to be inferred. The standard method is Lee and Ready's (1991): a trade above the midpoint of the prevailing best bid and offer was probably a buy, below it probably a sell, and a trade exactly at the midpoint is decided by the tick test — up from the last different price, a buy. On early-1990s data it classified about 85% of trades correctly (Odders-White, 2000); it is an estimate, and it should be labelled as one.
For US stocks, the depth tools are marked unavailable, with the reason, and stay unavailable even with a paid data key — no plan upgrade produces a book that the feed does not carry. Footprint, CVD and delta run on the real trade tape, with the side inferred by the Lee–Ready quote rule and badged as inferred. The volume profile works on every provider.
By contrast, crypto exchanges each publish their own full order book publicly, so the depth tools run on real depth there. CME futures also have real depth, but it is sold through dedicated feeds TradingZona has not connected yet. Forex and CFDs trade over the counter, with no central book at all.
TradingZona is research and signal software. It places no orders, it is not a broker and it is not investment advice. Trading involves substantial risk of loss.