Quick definition Market by Order is a real-time feed showing every individual buy and sell order in the order book, identified by order ID. It provides complete visibility into the state of the market. What it is An MBO feed shows: - Every order currently in the order book - The price and size of each order - A unique order ID - Updates when orders arrive, execute, or are cancelled Traders receiving an MBO feed can reconstruct the full order book at any moment. They see not just the top-of-book but all hidden depth. Why it matters MBO feeds are essential for market makers and HFT traders. They need complete visibility into order book state to make trading decisions and manage risk. MBO feeds are also useful for understanding market dynamics. Researchers use MBO data to study how prices form and how traders interact. MBO versus Market by Price Market by Price (MBP) shows aggregated volume at each price level, not individual orders. An MBP feed might show "1 million shares bid at 100.00". An MBO feed shows "Order #12345 from Trader A, 500,000 shares at 100.00, Order #12346 from Trader B, 500,000 shares at 100.00". MBO is more detailed but also more data; MBP is summarised but requires less bandwidth. Practical example A market maker receives an NASDAQ MBO feed. The feed shows: - Order #123: bid 100.50 for 50,000 shares (Trader A) - Order #124: bid 100.49 for 30,000 shares (Trader B) - Order #125: ask 100.51 for 60,000 shares (Trader C) If Order #123 is cancelled, the market maker sees the update immediately and knows the best bid is now 100.49 (from Order #124). Cost MBO feeds are expensive. Nasdaq charges for data feeds; NASDAQ MBO is one of the most expensive feed types. Many retail traders cannot afford it. Availability MBO feeds are available from major exchanges (NASDAQ, NYSE) but not all exchanges or markets. Crypto exchanges may or may not offer MBO data. See also - Market by Price - Order Book - Data Feed - NASDAQ ITCH
