Market by Order (MBO) vs Market by Limit (MBL)

11 May 2022

This article describes the two representations of the market book : Market by Order (MBO) / Market by Limit (MBL).

Order Book

The Order Book contains the list of orders to record the interest of buyers (bid side) and sellers (ask side) in a particular financial instrument. Then, the matching engine, specific to each exchange, uses the book to determine which orders can be fully or partially executed : trades.

Market by Order (MBO)

The Market by Order (MBO) is the simple view of the Order Book. It describes an order-based data feed that provides the ability to view individual queue position, the full order book and the details of each individual order at each price level.

The order contains:

  • TimeStamp: date and time of the order
  • Identifier: unique identifier of the order
  • Price: limit price to buy or sell
  • Size: quantity to buy or sell
  • Condition: trading condition
  • Side: buy (bid) or sell (ask)

Below is a the common representation of the book by order, retrieved with our API.

Market by Order (MBO)

Market by Limit (MBL)

The Market by Limit, also known as Market by Price (MBP), is the price-based data of the book. It is built using the MBO. It restricts updates for a given side (bid or ask) to a maximum of specified depth price levels and consolidates all the quantity (size) into a single level (or limit) for each price level, which includes the total quantity (size). i.e. When several orders contain the same price, they are referred as a price level. It means that if, for example, a bid comes at that price level, all the sell orders (ask) on that price level could potentially fulfill the order. Then the list of consolidated buy orders and sell orders are sorted : the highest bid price is on top of bids list and the lowest ask price is on top of the asks list. The highest bid and the lowest ask are referred to as the Top of the Book (depth = 0).

The level or limit contains:

  • Depth: the index of price on the list
  • Price: the price level
  • Size: the total quantity
  • Side: bid or ask

For example, below is the MBL representation. The Bid_Details and Ask_Details columns give the details of the contributors on the sizes of each order at the specific depth.


It is often more convenient to visualize the data in a chart as shown below:

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