Glossary/L2 order book
L2 order book
An L2 (level-2) order book lists aggregated size at each price level on both the bid and ask sides, not just the single best bid and ask (L1). Traders use L2 depth to estimate liquidity, slippage, and imbalance beyond the touch.
How AymarData records it
AymarData returns L2 books via GET /v1/book as arrays of {price, size} for bids and asks, plus spread when both sides exist. Optional depth truncates levels per side. Historical at= reconstructs from checkpoints and deltas. Coverage spans Polymarket outcomes, Binance spot/perps, Hyperliquid, and Kalshi series as they go Live.