Try it against the live book in SIM.Get Scalpel
, 6 min read
Level 2 is where scalpers live, and most montages make it harder than it needs to be. Here is how Scalpel lays out the book, and what replaying every read over recorded sessions taught us about what the book can and can't tell you.
The montage shows one row per venue, best price first, with bids on the left and asks on the right. The two sides mirror around the center, so the inside bid and ask sit next to each other where your eye lands:
MMID SIZE PRICE | PRICE SIZE MMID
IEX 600 5.69 | 5.71 100 DRCTEDGE
MEMX 231 5.68 | 5.72 145 IEX
By default each row is a solid block colored by price tier: green for the inside price, then salmon, yellow, cyan, orange and lavender as you step away from it. It reads like the colored books many traders learned on, and a thin level stands out at a glance. You can color by venue instead, or turn the blocks off and use depth bars.
Above the book, a summary bar shows bid volume, the best bid, the spread in dollars and percent, the best ask and ask volume. Under it, an imbalance gauge and the aggressor delta for the last 10 seconds, minute and five minutes.
When one venue keeps re-showing a small size at a price while far more trades there, Scalpel marks the row with a cyan layers icon. The bar is high on purpose: at least three separate hits, $15K or more traded, three times the most the venue ever showed, and the price holding. Only lit prints count.
It means a big hidden order is working at that price. It does not mean the level will hold. In the recordings, levels like this broke within a minute more often than ordinary ones, as the hidden order got filled.
Under the book, one line says what the book and the tape are doing, in plain words:
It describes. It doesn't predict. When we replayed the reads over recorded sessions, calls like "leaning up" did no better than a coin flip, so they went.
The one read that held up is an ask-heavy book, with offers stacked over the bids. After it, price tended to stay capped. That read alone is colored, in gold, as a caution.
The time and sales column sits to the right of the book. Prints at the ask fill green from the left, prints at the bid fill red, and a print between the spread is gray. Each bar's length is the print's size against the biggest one on screen, so a block trade jumps out. Turn on dollar value in the panel settings to show price times size instead of shares.
Use the book to see who is there and who is taking. Don't read it as a forecast. The montage is built to make the picture fast and honest, so the decision stays yours.