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?
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.
Best,
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 THECSE.com and TMXMONEY.com 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!!
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.