Book Levels (Data Grade)
How many depth levels your feed actually carries — a data-quality fact your strategy should check.
What it means
Not all market data is equal: depending on broker and subscription, a symbol may stream ten depth levels, five, or only the best bid/ask. A rule that reads the fifth level on a feed that only carries one silently compares against zero.
TraderWe exposes the number of levels present as a factor, so a strategy can verify its data grade instead of assuming it — the difference between a strategy that degrades gracefully and one that fails invisibly.
Why traders care
- Makes data assumptions explicit and testable inside the strategy itself.
- Lets one strategy run correctly across brokers with different data plans.
In a TraderWe strategy
if AskLevels >= 5 and BidLevels >= 5 and TotalBidSize > TotalAskSize:
Buy()Require real 5-level depth before trusting a depth-based rule.
Related terms
Educational content, not investment advice. Engine details describe how TraderWe computes this value; other platforms may define it differently.