Quick definition A limit order book aggregated by price level. All orders resting at the same price are combined and published as a single entry with total size and order count. What it is An MBP feed aggregates orders by price level rather than showing each order separately. If five different traders have buy orders for 1,000 shares each at 100.00, MBP publishes a single entry: 5,000 total shares at 100.00, with a count of 5 orders. Why it matters MBP is the standard view of the limit order book. It is much cheaper to consume than order level data because the message volume is an order of magnitude smaller. Most traders and systems use MBP to understand the state of the book. MBP versus MBO (Market by Order) A market by order (MBO) feed publishes each individual order with its own identifier. An MBP feed aggregates all orders at the same price into a single level. MBP is cheaper and easier to consume. MBO allows analysis of queue position and individual order behavior. Practical usage A trader looking at the MBP feed sees: - Bid: 10,000 shares at 100.00, 8,000 shares at 99.99, 5,000 shares at 99.98 - Ask: 12,000 shares at 100.01, 7,000 shares at 100.02, 3,000 shares at 100.03 The trader can see the depth at each price but not which individual orders make up that depth. Information loss versus MBO Because orders are aggregated, MBP loses information about order size distribution. If 50 orders of 200 shares each make up the 10,000 at 100.00, the MBP feed does not reveal this. A trader using MBP cannot detect icebergs or other order size patterns. Message volume MBP typically generates one message per price level per update. MBO generates one message per order event (add, modify, execute, cancel). For a busy market, MBP message volume is a fraction of MBO volume. See also - Market by order (MBO) - Level 1 data - Level 2 data - Order book - Top of book
