Market by order (MBO)

• Individual Order Details: Unlike aggregated data feeds that show only the total volume at each price level, MBO data lists each order individually. This includes the size of the order, the price level at which it's placed, and whether it's a buy or sell order.
• Order Queue Position: MBO data shows not just the orders at each price but also their position in the queue, indicating how many orders are ahead of a given order at the same price level.
• Order Changes: MBO data provides real-time updates on modifications to orders, such as cancellations or changes in size or price.
• Full Depth of Book: This data feed gives a full view of the market's depth, showing all orders across all price levels, not just the top of the book.

Although MBO typically provides the highest level of granularity, some venues have a separate trades feed that includes additional information from their MBO feed. This may include trades not displayed on their MBO feed. In this situation, we would recommend accessing both the MBO and trades schemas for the highest level of granularity.

You can find our MBO schema's list of fields in our documentation.