Understanding the order-level MBO feed

Market By Order, in one sentence

The four sources of a DOM

What the feed actually carries

What aggregation cannot tell apart

A queue is maintained, not recomputed

The queue and priority

Reading a queue: the bar, the blocks, the ramp

Your place in the queue, measured not guessed

Counting hands rather than lots

What granularity makes visible, and what it does not

Three readings aggregated data does not allow

What order-level data costs

Availability: the exchange, the provider, your entitlements

Limits of the reading