Microstructure Analysis Now Possible for All Major US Markets with Level 3 Book Depth via OneTick Cloud

By Peter Simpson, OneTick Product Owner, KX

We’re excited to announce that you can now use OneTick Cloud's On-Demand Level-3 Market Data sourced from US Equity Exchange PCAPs, to analyze both market structure across venues and microstructure within venues.

ABout OneTick Cloud

OneTick Cloud is a high-quality, on-demand managed time-series data and analytics platform that provides instant, global, AI-ready market data, seamlessly fueling compute and analytics engines. This service offers a single vendor end-to-end solution, significantly reducing the time to value.

Expanding to new markets constantly, view our full market data coverage here.

Industry Standard Features

OneTick's new standardized US Level 3 book depth offering allows quants and analysts to analyze unified US equities and options market data with nanosecond-precision, in a research-ready format, without the heavy burden of in-house engineering. See every individual order, execution, modification, and cancellation on the order book.

Market Data as a Service

The single biggest obstacle to agentic AI in capital markets today is the market data itself. KX and OneTick are the only vendor delivering AI-ready, hydrated, temporal market data as a managed service.

Our data is pre-normalized across 250+ venues and 30+ years of history, point-in-time with no look-ahead bias, machine-readable from day one, and fed natively into Python, SQL, and KDB-X.

Save time, money, and resources by letting the KX OneTick team clean feeds, map symbols, and align timestamps so your quants, analysts, and AI models can do their work.

Want to learn more? Save your seat for our upcoming July 9th webinar: registration here.

Webinar Agenda:

OneTick Cloud Datasets

• L1 through to L3
• Real Time, Intraday and Historic
• Global Equities, Futures, Spreads & Options

Calculating Market Structure Metrics

• Calculating US Trade Volume Types, by Venue
• Comparing Exchange Trades against NBBO
• Comparing Exchange Quotes against NBBO

Calculating & Visualizing Books

• Single and Consolidated Books Across Time
• Single & Consolidated Books at a Point in Time
• Replaying Composite Markets

Calculating Market Microstructure Metrics

• Sweeps to Book Level
• Sweeps to Price Skew
• Sweeps to Accumulated Quantity
• Order & Order Msg Metrics
• Trade & Cancel Durations

This session is designed for financial professionals who are interested in learning about both available Book Depth datasets and analysis techniques. The workshop will focus on SQL and Python market structure and microstructure analysis.

Start your OneTick Cloud free trial today at onetick.com/cloud-services

Best wishes,

Peter Simpson