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Order-book level

An order-book level aggregates displayed quantity at one price on one side. Separate price levels from individual orders, queue position and the limits of a depth feed.

An order-book level is a price on one side of an order book, together with the displayed quantity aggregated at that price. It is a useful unit for estimating how much an aggressive order could trade before reaching a worse price. Counting levels as though they were individual orders misreads the liquidity available to a strategy.

Identify the instrument, venue or aggregation scope, side and observation time before comparing levels. The same numerical price on different venues is not automatically the same queue. Quantities also need a unit: shares, contracts and base-currency units are not interchangeable.

Two orders can occupy one level

Consider a synthetic snapshot of one instrument at one venue. Prices are USD per share, and quantities are displayed whole shares. Two known resting sell orders quote 101: order A offers 30 shares and order B offers 20. The next displayed ask price is 102, with aggregate quantity 100 shares; its individual orders are unspecified.
Ask rank in this snapshotPrice, USD per shareDisplayed quantity, sharesIndividual-order information
First10150Two known orders: 30 and 20
Second102100Breakdown unspecified

At 101, the aggregation is simply

Vask(101)=30+20=50 shares.V_{\mathrm{ask}}(101)=30+20=50\text{ shares}.
The two orders create one price level. Across the two displayed ask levels, cumulative displayed quantity is 150 shares. That total describes this observed slice of the ask book, rather than all liquidity in the market.
Synthetic ask snapshot: orders of 30 and 20 shares at USD 101 aggregate to one 50-share price level; the next level is USD 102 with 100 shares and an unspecified order breakdown.
Synthetic ask snapshot: orders of 30 and 20 shares at USD 101 aggregate to one 50-share price level; the next level is USD 102 with 100 shares and an unspecified order breakdown.
Original single-venue snapshot for one instrument. Prices are USD per share; quantities are displayed whole shares. The two orders at 101 are stipulated, not inferred from aggregate size. No individual-order breakdown is stipulated at 102.

Ask ranks run from the lowest displayed sell price upward; bid ranks run from the highest displayed buy price downward. Thus “first level” means best displayed price on the specified side, whereas “price 101” identifies a particular price. If order A disappears, 20 shares remain at 101 and it remains the first ask. If both known orders disappear while the rest of this snapshot stays unchanged, 102 becomes the first ask with 100 shares. A rank can change without the surviving price changing.

What the feed preserves

Market-by-price data report aggregated price-level information. Market-by-order data provide individual displayed-order records, which can be grouped into levels. Exact fields and coverage depend on the feed.

A quantity-only record showing 50 shares at 101 cannot tell you whether there is one 50-share order or the two orders in the example. Some aggregate feeds do report an order count: CME’s MBP documentation explicitly includes both summarized quantity and order count. Even a count does not identify each order’s size or your queue position. CME’s MBO explanation describes the additional individual-order and priority information in that feed.

A depth limit is a separate restriction. If a feed supplies only a specified number of levels per side, prices beyond that window are unobserved; their absence from the message is not evidence of zero liquidity. A snapshot also does not reveal the sequence of additions, cancellations and executions that produced it. Reconstructing history requires the relevant messages and correct feed processing. Displayed size can change before an arriving order trades, and hidden quantity is outside this displayed-level total.

To turn these rows into a conditional execution calculation, continue with Order Books. Its full lesson requires membership and has a public preview; it develops cumulative depth and explains why a snapshot alone cannot establish a passive fill.

Sources

  • CME Group — Market by Order (MBO), especially “Background” and “MBP versus MBO”: individual-order granularity, order identifiers and priority information.
  • CME Group — MDP 3.0: Market by Price — Multiple Depth Book: aggregate quantities and counts, bid/ask ordering, depth limits and book updates.
  • Narang, R. K. (2013). Inside the Black Box: A Simple Guide to Quantitative and High-Frequency Trading, 2nd ed., Wiley, Chapter 7, “Aggressive versus Passive,” pp. 120–122: resting orders, price priority and allocation within a price.
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  • order book
  • price levels
  • market data
  • displayed depth
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