Key Takeaways
- MBP aggregates resting size by price level rather than listing individual orders.
- MBP is commonly referred to as Level 2 market data.
- MBP is useful for depth visualization, routing and broad liquidity checks, but not for queue reconstruction.
- MBP can often be derived from MBO.
- MBP is a practical middle ground between a simple top-of-book view and a fully order-level book.
MBP is the aggregated view of an order book. Instead of showing every individual order, it shows the total resting size at each price level. Market makers, execution algos and dashboards use it to gauge available liquidity without carrying the cost of a full order-level feed. It is lighter to process than MBO, but it removes queue position and order identity in the process.
How MBP Works
MBP keeps one running total for each price level. If multiple buy orders sit at $101.20, MBP reports only the aggregated size at that price, not the individual orders that created it. When an order is added, modified, executed or cancelled, the price-level total changes and the feed publishes the new total.
Suppose three buy orders arrive at $101.20 for 300, 250 and 150 shares. MBP reports a single line: $101.20 for 700 shares. If two more orders arrive at $101.19 for 250 and 200 shares, MBP reports $101.19 for 450 shares. Five separate orders have been collapsed into two price-level totals.
If 200 shares then execute at $101.20 and a trader cancels one resting order at $101.19, MBP updates the level totals rather than naming the orders that changed. The feed is still market-data rich, but it no longer shows queue identity.
Why MBP Matters
MBP gives traders and tools the information they need most often: how much size is resting at or near a price. That is enough for a depth chart, a heatmap, a route-to-venue decision or a simple liquidity check. It is also far cheaper to process than order-level data because the feed volume is lower and the schema is simpler.
Because the data is grouped by price, MBP is often easier to work with for analytics than a raw order-event stream — summarizing spreads, depth concentration, imbalance and near-touch liquidity, for example. That makes it a common input for dashboards and routing tools, even when the underlying source data is order-level.
MBP Variants and Limits
MBP-10. Most MBP feeds are depth-limited in practice. MBP-10 shows only the top 10 price levels on each side of the book — enough for most routing and visualization use cases without the bandwidth of full-depth data. Full-depth MBP shows every level the venue publishes.
Hidden liquidity. MBP only reports what the feed exposes. Iceberg orders, reserve size and other undisplayed liquidity can execute against the book without ever appearing in the visible aggregate depth. A price level showing 700 shares may have considerably more size actually available at that price.
MBP Versus MBO and L1/L2/L3
Market data comes in three tiers. Level 1 is the inside bid and ask only — the best price on each side, with no depth behind it. Level 2 is MBP: resting size aggregated by price level. Level 3 is MBO: every individual order, with its own identifier and size.
Use Level 1 when you only need the current best price. Use Level 2 (MBP) when you need to see depth for a routing decision, a depth chart or a liquidity check. Use Level 3 (MBO) when you need queue position, or when you need to reconstruct exactly how the book evolved around a specific fill.
MBP can be derived from MBO by grouping order-level events by price and summing live size at each level. The reverse is not possible — once orders are aggregated into a price-level total, individual order identity is gone.
Building and Storing MBP Systems
If you’re building systems that consume MBP data — storing it, querying historical depth patterns, or running analytics across venues — KDB-X is designed to handle that workload efficiently. Reach out to our team to see how KDB-X can help with your use case.
Frequently Asked Questions
How does MBP differ from MBO?
MBP shows the total size at each price level. MBO shows each individual order with its own identifier and size, preserving queue position — see MBP Versus MBO and L1/L2/L3 above for the full comparison.
Is MBP the same as Level 2?
Yes. Level 2 is the generic tier label; MBP is the market-by-price name for the same aggregated view.
Can MBP be derived from MBO?
Yes, by grouping order-level data by price and summing live size at each level. The reverse is not possible once order identity is aggregated away.
Why do desks still use MBP if MBO is richer?
MBP is lighter and cheaper to process, and sufficient for routing and visualization use cases that don’t require queue position.
What is MBP-10?
A depth-limited version of MBP showing only the top 10 price levels per side. See MBP Variants and Limits above.
Does MBP show hidden liquidity?
No. Iceberg and reserve orders can interact with the market without appearing in visible aggregate depth. See MBP Variants and Limits above.
Related Terms
- MBO (Market by Order) — the order-level feed MBP aggregates away
- L1/L2/L3 Market Data — the tier naming convention that MBP fits into as Level 2
- Order Book — the structure MBP compresses into price-level totals
