Market by price (MBP)
Market by price (MBP) is an order book feed aggregated by price level: for each price on each side it publishes the total resting size and, on some venues, the number of orders, without identifying individual orders. It is the form of depth most DOM ladders and heatmaps consume, and it is what the exchange calls the aggregated alternative to market by order.
Senzoukria · Glossary · Updated September 2026
The aggregated book
An MBP feed represents the order book as a list of price levels. Each level carries a total size, and on CME also an order count. When any resting order at that price changes, the feed sends the new total for the level. Consumers maintain the list by applying those updates in sequence; if a message is missed, the book drifts until a fresh snapshot resynchronises it.
The feed is published to a fixed number of levels per side, for example ten, and the levels shift as price moves: when the best bid is taken out, the next price becomes level one and a new level appears at the bottom of the published window.
MBP compared with MBO
| Question | Market by price | Market by order |
|---|---|---|
| Total size resting at a price | Yes | Yes, by summation |
| Number of orders at a price | On venues that publish it | Yes |
| Which order was cancelled | No | Yes, anonymously |
| Queue position of a new order | Estimate only | Yes |
| Bandwidth and message rate | Lower | Higher |
In Senzoukria
The DOM ladder on the heatmap screen and the DOM profile are built from the aggregated book: each row is one price with its resting size. The ladder's depth title reports how many levels the feed publishes per side. The heatmap itself paints those per-level sizes over time, and the Cumulative depth option and the Levels per side control operate on the same aggregated data. On crypto, the Binance and Bybit depth streams are aggregated by price, and the Historical order book view for Bybit loads 200 levels per side sampled once per second.
Readings that would require order-level detail but are derived from the aggregated book carry the hint "Inferred from the aggregated book — never presented as an MBO observation", so that an estimate is not mistaken for an observation.
Practical consequences
- Level totals shrink for two reasons, execution and cancellation; MBP alone shows the total, the trade stream shows executions, and the difference is withdrawal.
- A published window of N levels means that liquidity beyond level N is not absent, only unpublished.
- Two consumers with different level counts see different books for the same instrument at the same time.
Related
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Frequently asked questions
- Is market by price the same as Level 2?
- In everyday usage, yes: Level 2 is the aggregated depth beyond the best bid and ask, which is what MBP delivers. The distinction the exchange draws is between MBP and MBO, both of which go beyond top of book. A platform that says Level 2 almost always means an MBP-style aggregated book.
- Can I tell from MBP whether a wall was cancelled or executed?
- Not from the depth feed alone. Combine it with the trade stream: executions at that price are printed as trades, so size that left the level without matching trades was withdrawn. The estimate is reasonable but not exact, because trades and depth updates are not always aligned to the same instant.