MBP-10 (ten-level market by price)
MBP-10 is a market-by-price book format that carries the ten best price levels on each side, with the resting size at each level, on every book update. It is the depth format Databento uses for its ten-level book schema and the one Senzoukria's Databento heatmap reads: enough to see the inside of the book, not enough to see liquidity beyond ten levels.
Senzoukria · Glossary · Updated September 2026
Definition
Market by price aggregates all resting orders at a price into one size. MBP-10 limits the view to the best ten prices per side and publishes the state of those levels each time something changes in them. Each record therefore describes the top of the book after the event, including the price and size of each level, and where the source publishes it, the number of orders at that level.
How much of the market ten levels show
| Contract | Tick | Ten levels |
|---|---|---|
| ES / MES | 0.25 | 2.50 index points |
| NQ / MNQ | 0.25 | 2.50 index points |
| CL | 0.01 | 0.10 dollars |
| ZN | 1/64 = 0.015625 | 0.15625 points |
What it cannot show
- Walls resting more than ten ticks away from the inside.
- Individual orders, their queue position or their cancellation; that needs market by order.
- Implied versus direct size, unless the vendor separates them.
- History that was not recorded: a live MBP-10 session starts when it connects.
In Senzoukria
With a Databento key and a live GLBX.MDP3 licence, the heatmap subscribes to an MBP-10 book per contract. Each record carries the ten best levels after the event and is applied as a snapshot, not a delta; the book is published to the heatmap at about 30 updates a second, since drawing faster would only burn processor time. Levels with no price or a zero size are discarded, so an empty level cannot become a phantom wall. The book is not replayed on connection: hours of old depth have nothing to do on a live heatmap. If the licence does not cover the schema, the gateway's refusal ('Not authorized for mbp-10 schema') ends the session as a refusal instead of retrying every 30 seconds, and the heatmap needs that L2 depth to draw anything.
Common mistakes
- Reading the edge of a ten-level heatmap as the edge of the market's liquidity.
- Comparing a ten-level heatmap with one built from a deeper feed and blaming the rendering.
- Assuming a data key licensed for trades also covers MBP-10.
Related
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Frequently asked questions
- Is MBP-10 the same as Level 2?
- It is one form of Level 2 data: aggregated depth by price, limited to ten levels per side. Other Level 2 feeds may carry more or fewer levels, or individual orders.
- Why does my heatmap show nothing far from the price?
- With a ten-level feed, nothing beyond ten ticks from the best bid or ask is ever received. On ES that is 2.50 points each side; a wider view needs a deeper feed.