Quick definition Market by Price is a real-time feed showing total order volume at each price level, without showing individual orders. It is lighter weight than MBO feeds and more bandwidth-efficient. What it is An MBP feed shows the order book aggregated by price level: - Price 100.50: 1,000,000 shares bid - Price 100.49: 500,000 shares bid - Price 100.51: 800,000 shares ask - Price 100.52: 600,000 shares ask The feed updates when the total quantity at a price level changes but does not reveal individual orders. Why it matters MBP feeds are sufficient for most traders. You don't need to see individual orders; you care about total liquidity at each price level. MBP also consumes less bandwidth than MBO, making it cheaper and faster. MBP is the standard feed for retail traders and many institutional traders. MBP versus MBO MBO shows individual orders with order IDs. MBP shows aggregated volume. MBO reveals more information but uses more bandwidth and is more expensive. MBP is sufficient for most decision-making. A market maker needs MBO to manage inventory precisely. A day trader can work with MBP. Practical example You see an MBP feed showing: - 1,000,000 shares bid at 100.50 - 500,000 shares ask at 100.51 This tells you there is 1 million shares of demand at the best bid and 500,000 shares of supply at the best ask. You don't know if this is 1,000 traders bidding equally or 1 trader bidding all of it. If you need to buy 2 million shares, you can see from the MBP that you will consume all the stock at 100.51 and need to buy 1.5 million more at higher prices. An MBO feed would show you exactly which orders would be filled. Cost MBP feeds are cheaper than MBO feeds. Exchanges often provide MBP data for free or at a low cost. NASDAQ provides MBP via its Total View feed. See also - Market by Order - Order Book - Data Feed - Top-of-Book
