Intro
While building a simple A‑share market monitor for my quant lab work, I initially only cared about extracting obvious metrics: last price, total trading volume, and so on. My naive assumption was that pulling raw JSON from an A‑share real‑time market API and rendering it would finish the job.
Once I started running short‑term trading simulation workflows, I realized most actionable insight lives inside structured order‑book data. Level‑2 data is far more than a basic price snapshot. It carries granular bid‑ask tiers plus real‑time order change events. Bad parsing logic will desync your local order book from the real exchange state and mislead your trading simulation decisions.
Pain points: Regular market data vs Level‑2 data
Standard market APIs return lightweight records built for simple UI display. You mostly get last traded price, total volume, and price change.
