Market by price (MBP)
Quick definition
Market by price (MBP) data provides every order book event at the top price level or across the top ten price levels. It's often referred to as L1 (top of book) or L2 (market depth) data.
What is Market by price (MBP)?
MBP-1 schema provides every order book event that updates the top price level, also known as the best bid and offer (BBO). This includes every trade and changes to book depth, alongside total size and order count at the BBO.
MBP-10 schema provides every order book event across the top ten price levels, keyed by price. This includes every trade and changes to aggregate market depth, alongside total size and order count at the top ten price levels.
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