Market By Price (MBP)
Market By Price (MBP) is a market data feed that displays the depth of the order book organized by price levels, showing the total quantity available at each price rather than individual orders. It is used to gauge liquidity at specific prices and to visualize how liquidity changes across price levels.
Example: In a streaming MBP feed, at $100.50 the aggregated size is 12,000 shares, at $100.75 there are 8,500 shares, and at $101.00 there are 4,000 shares.
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