MBP-10

MBP-10 (Market by Price: 10 levels) is the CME’s standard market depth data feed, providing the 10 best bid price levels and 10 best ask price levels, each with their aggregated resting order quantities. It is the data foundation for DOM trading, ladder analysis, and order book imbalance detection.

What MBP-10 shows

With MBP-10, the DOM displays a 20-level view of the order book: 10 levels on each side: aggregated by price:

Level  Ask Price   Ask Qty
  10   5,252.50      67
   9   5,252.25     112
   8   5,252.00     203
  ...
   1   5,250.00     418  ← Best Ask
───────────────────────
   1   5,249.75     356  ← Best Bid
   2   5,249.50     201
  ...
  10   5,247.75      44

Why 10 levels matters

A single level (MBP-1) tells you the current spread. Ten levels tells you the depth structure: whether there is a wall of orders a few ticks away, whether one side thins out rapidly, and whether the overall book is balanced or skewed.

This context is essential for:

• Order book imbalance detection: comparing total bid vs ask depth across all 10 levels
• Identifying absorption: seeing a large order hold at a specific level as price tests it
• Stacked order recognition: spotting layered bids or asks across multiple consecutive levels
• Stop run anticipation: identifying thin areas in the book where price might accelerate

MBP-10 as an aggregated feed

MBP-10 is aggregated by price: all orders at 5,250.00 are combined into a single quantity. To see individual order IDs and sizes within a level, you need MBO (Market by Order) data, which requires a direct CME connection and is not available through standard retail brokers.

Data cost

MBP-10 is a paid CME data add-on, typically $10–$30/month through retail brokers, often bundled into active trader plans. For any trader using a DOM, it is a mandatory subscription.