Read the players on Level 2: venues, refills and size

"Players" is trader shorthand for the big participants who move a small-cap stock: a fund working a large order, a market maker, a seller unloading shares, a buyer quietly accumulating. On Level 2 you never see their names. You see their footprints. This guide shows each footprint as it looks in Scalpel, what it can mean for a long trade, and where the honest limits are.

How Scalpel builds the montage

The layout follows the DAS Trader montage many momentum traders learned on: bids on the left, asks on the right, the best prices meeting in the middle, one row per venue at each price, and every price level in its own colour band. Scalpel is independent and not affiliated with DAS.

Under it is your own IBKR data:

1. SMART depth from IBKR. When you load a symbol, Scalpel subscribes to Interactive Brokers' SMART depth for it, up to 15 levels a side. Each level IBKR sends is one venue's displayed quote at one price, labelled with the venue code: the MMID column (glossary: MMID).
2. Kept live row by row. IBKR streams changes as inserts, updates and deletes at a row position. Scalpel applies each one to its copy of the book, so the montage is the book as IBKR sees it, not a snapshot every few seconds. If TWS drops its book, Scalpel clears the rows and the next updates rebuild them.
3. Drawn as a montage. The panel shows Rows per side from the LEVEL 2 cog, 14 by default (5 to 20; IBKR sends at most 15). Same price, same colour: green at the inside, then salmon, yellow, cyan, orange and lavender as price steps away.

Four things are drawn on top of the rows, and they are the tools for reading players:

The reads under the book

Between the summary bar and the book, the read strip does the adding up the flickering rows ask your eye to do:

• IMBALANCE weighs the shares on each side, with the levels nearest the inside counting most (the first row in full, the second half, the third a third, and so on, over the rows you show). +100% is all bids, -100% all asks. Within 12% either way it counts as balanced.
• DELTA is shares bought at the ask minus shares sold at the bid over the last 10s, 1m and 5m of today's tape (glossary: delta). Prints between the bid and ask are left out. Each number is green or red by how one-sided that window was.
• The read line puts both into words. A hidden order comes first, with a cyan layers icon: Hidden seller refilling at the offer or Hidden buyer refilling at the bid. Otherwise it combines the book and the flow: Bid-heavy book, buyers lifting, Sellers hitting, Balanced book and flow, and so on. The book and flow numbers behind it are smoothed, so the line settles instead of flickering every tick.

Only one read is coloured as a warning: Ask-heavy book: offers tend to cap price, in gold. It is the one book read that held up when Scalpel's reads were replayed over recorded sessions; the "this means up" kind did no better than a coin flip and were removed (guide 3.6).

Reading players from behaviour

Six situations you will see every morning, each on the demo stock ABCD. Scalpel is long only, so each one is read for a long trade: can I get in, is there room above, can I get out?

A seller refilling at the ask

Buyers have lifted 5.71 again and again: the tape is a column of green 5.71 prints, about 10,000 shares or $57,000 in the last 20 seconds. Yet IEX never shows more than 200 at 5.71. Someone is selling far more than they display and topping the quote back up after each fill. That passes every part of the rule (3+ hits, over $15,000, more than 3 x 200 traded, IEX still there, 5.71 still the offer), so the row gets the layers icon and the read line says Hidden seller refilling at the offer. The 1m delta of +9.6K says the buying is real; the price not moving says the seller is matching it.

What it can mean for a long: while the seller is there, buyers do not get through 5.71. Buying into it just adds to what the seller fills. The useful moment is when it ends. If buyers exhaust the seller, a print above 5.71 clears the icon (a lit print through the price ends a detection) and the offer can thin out fast. If buyers give up first, price slips back. Watching for which one happens, rather than guessing, is the read.

See guide 3.2 for the detector in full.

A big bid that holds

At 09:41:05 NSDQ is bidding 9,000 shares at 5.62. Every other row on screen is a few hundred shares, so 9,000 is far over three times the average and its size shows in amber. That is a footprint worth watching: someone is showing they will buy a lot at 5.62.

At 09:41:32 sellers have pushed price down to it. The tape shows them hitting 5.62 (red prints, sellers hitting on the read line, 10s delta -1.6K), and NSDQ's row flashes red as it shrinks, 9,000 to 6,800. About 2,400 shares traded at 5.62 and the buyer is still there. That is displayed size that means it: it traded and stayed.

What it can mean for a long: a level you can lean on with a small, clear risk. An entry near 5.63 with a stop a few cents under 5.62 risks little, and if the bid is eaten or pulled you know quickly. It is not a floor. A buyer with a fixed amount to buy is done when it fills, and the support goes with it.

A big bid that vanishes

Same start, another morning. At 09:41:09, four seconds later, the 9,000 is simply gone: no red shrink on its row, no prints at 5.62 on the tape, and the rows below moved up. The order was cancelled while price was still 2 or 3 cents above it.

What it can mean: size that leaves before it trades was never willing to trade there. Large orders that appear and vanish as price approaches are common, and some exist only to look like support. Do not size or place a stop on the assumption that displayed size will be there. Wait until it trades and stays, as in the previous example. And look at what is left: a bid of 300, 300, 400 shares a level under your long is the thin bid the exit warning below is about.

Bids stepping up

In 15 seconds the best bid moved from 5.66 to 5.69, and it moved because new bids kept arriving above the old ones at 5.67, 5.68 and 5.69, each flashing green as it appeared. With venue colouring you can see NSDQ's colour at two prices, 5.66 and 5.69: a buyer at that venue raising their bid rather than waiting. On the ask side MEMX's offer at 5.70 has shrunk from 900 to 300 as buyers took its shares, and the tape is green prints climbing a cent at a time. The read line: Bid-heavy book, buyers lifting.

What it can mean for a long: buyers chasing the price is support that moves with it. It is the picture you want under a position, and a reason to trail rather than sell early (guide 5.3). The opposite, bids pulling back and the gap under the price widening, is the time to tighten up, not to hope.

An ask-heavy book capping price

Here the offers dwarf the bids: 4,200, 6,100, 5,300 shares on the first ask levels, and the IMBALANCE gauge at -41%. The delta says sellers are the ones taking (10s -2.1K, 1m -9.8K), even though the stock is up 23% on the day and the 5-minute delta is still positive from the earlier run.

This is the one read that held up in replay: after an ask-heavy book, price tended to stay capped. For a long: do not chase a breakout into it. If you already hold, it is a sensible place to take some off into strength (guide 4.5). It is a tendency, not a rule; a buyer who takes out the stacked offers can still move the stock.

Who is taking: the tape and the delta

The book is what people offer; the tape is what they do. A print at the ask is a buyer who would not wait (green), a print at the bid a seller who would not wait (red) (guide 3.3). Put the two side by side:

Tape sound helps here: with it on, buys ring in your right ear and sells in your left, so you hear the flow change while your eyes stay on the book (guide 3.4).

When the players leave your bid: the thin bid exit warning

While you hold a long, Scalpel works out what selling the whole position into the visible bids would cost: it walks down the bid side level by level and compares the average fill with the best bid. In the example, 2,000 shares take every bid from 5.63 down to 5.52 and average about 5.587, which is 0.8% under 5.63. At 0.6% or worse you get the red strip Exit carefully: poor bid-side liquidity (~0.8% slippage), the toast ABCD: thin bid side, exit carefully and the spoken "Thin bids. Exit carefully." (at most once every 12 seconds). Turn it off with Thin bid exit warning in the cog, though there are few good reasons to.

What to do: scale out in pieces rather than dumping it all (guide 4.5), and next time size for the bid you can see, not the one you hope for.

The honest limits

• Venues, not firms. IBKR's SMART depth labels each row with the venue it rests on. NSDQ might be a market maker, a fund's algorithm or another day trader routing to Nasdaq, and two NSDQ rows are not necessarily the same trader.
• Hidden size is invisible until it refills. The layers icon needs a venue to refill while 3 times its displayed size trades. Hidden orders that never refill, and orders resting off-exchange, do not show at all. The detector counts only lit prints, so off-exchange volume never triggers it.
• An iceberg is not a floor, and not a wall. A hidden buyer is filling its order; when it is full, it is gone. When Scalpel's reads were replayed over recorded sessions, levels with a hidden order broke within a minute more often than ordinary ones.
• Most reads are coin flips. In the same replays, calls like "leaning up" did no better than chance; only the ask-heavy book held up as a tendency. The blog post Reading the Level 2 montage has the details.
• Size can be pulled in an instant. Displayed size is an offer, not a promise. Your exit is only as good as the bids that are still there when it arrives.

What can go wrong

• No venues, or an empty book. Your IBKR account needs Level 2 subscriptions for the exchanges you want to see (guide 1.6), and IBKR limits how many books you can stream at once (guide 13.4).
• No amber sizes. Big orders are only marked with Coloring set to Off.
• No flashes. Flash size changes is off in the LEVEL 2 cog, or the change happened below the rows you show.
• You leaned on a big bid and it vanished. That is the lesson of the third example: wait for size to trade before you trust it.