What it is
Market by order, usually shortened to MBO and often labelled level 3 or L3, is an order-level feed published by the exchange. It sits above the two feeds most day traders know. A candle is a price result, a summary of what traded. A level 2 book is a snapshot of resting size at each price. MBO is neither: it follows each visible order through its whole life, from placement, through modification and cancellation, to execution.
The practical difference is granularity. Market by price collapses every order resting at one level into a single number, so when that number drops you only know something left. Market by order gives each order its own identifier, so orders sitting at the same price stay separate and trackable, and you can see which one moved, whether it was cancelled or filled, and in what sequence.
For a day trader, MBO is research material, not a signal. Price is driven by specific orders, and an order-level feed lets you watch that process: who is queuing, who is pulling, and whether new size refills after a print. It does not predict price and it does not answer the direction question for you.
What it looks like in order-by-order data
Structurally, MBO is a timestamped stream of events: add, modify, cancel and trade. Because every order carries its own identifier, orders resting side by side at the same price can be tracked individually, and queue position shifts as cancels and fills happen ahead of them.
That gives you a few things a consolidated book hides:
- You can separate why size disappears. A level shrinking may be a cancel or a fill, and order-level data tells the two apart.
- You can attribute trades to specific orders and see whether the trade was aggressive or passive.
- You can watch whether orders are genuinely willing to trade, whether liquidity is pulling, whether size keeps refilling after prints, and whether heavy volume is actually moving price.
The last point matters most. Heavy volume does not mean price gets pushed. When size is absorbed and price simply churns, the order-level tape usually shows one side repeatedly refilling; when refills dry up and the queue gets eaten through, price response looks quite different. That read has to be taken against what resting orders were doing at the time, not from volume alone.
Common misconceptions and limits
The first misconception is treating MBO as omniscient. It carries anonymous, exchange-published order-level events. It does not include trader identities, and it does not show orders that never reach the exchange. Iceberg and other hidden liquidity can only be inferred from repeated refills and the pattern of prints. That is an inference, not a confirmed fact. The same price reappearing after being hit may simply be different participants acting at the same time.
The second is assuming finer data means more certainty. Order-level data describes a process that has already happened; it does not predict the next move. Finer data also means more engineering: rebuilding the book, handling event ordering and timestamp alignment, and verifying that replay actually matches the full-book state from the time, or a detailed footprint tells you very little. Which order-level fields you can see depends on what the exchange discloses, so assumptions do not carry across markets.
The third is watching prints while ignoring resting orders. Fills are the loud part of the tape, but cancels, modifications and refills often explain why price refused to move, or why it moved cleanly. Reading one without the other tends to produce contradictory conclusions.
How to see it in TradeWhy
TradeWhy is an AI market-intent analysis and strategy validation tool built for CME Group futures day traders, starting with COMEX gold (GC) and CME Nasdaq (NQ). It puts real-time macro information, price response and L3 order-by-order behavior side by side to explain what the dominant force is currently doing. Behaviors that repeat can then be organised into strategies, and after historical and forward validation those strategies enter the strategy portfolio. Order-level data here is material for research, not a chart to guess direction from.
On the data side, GC covers more than a billion order-level events across nearly three hundred archived trading days, and local order book replay matched full-book snapshots at more than five thousand checkpoints. NQ was independently calibrated on over sixty million tick records from January through August 2026, spanning thirty-three weeks and more than two hundred thousand session minutes. Each dataset serves its own instrument's reconstruction, feature calibration, replay and validation; the statistics are not cross-applied between them.
Scope matters here: TradeWhy explains market behavior and supports research and strategy validation. It does not give buy or sell recommendations and makes no promises about results. The trading decision stays with the user.
FAQ
What is market by order?
Market by order (MBO) is an order-level feed in which every visible order is published individually with its own identifier, so you can follow it through placement, modification, cancellation and execution. It is often described as level 3 market data, as opposed to a consolidated level 2 book.
What is the difference between market by order and market by price?
Market by price aggregates all resting orders at a price into one size figure. Market by order keeps them separate, so you can see which individual order was added, changed, cancelled or filled. If you care about queue behavior and cancels rather than total size, market by order is more informative.
Is MBO data level 3?
In the usual industry shorthand, yes: aggregated book data is level 2 and order-level detail is level 3, which is where MBO sits. Which fields you can actually see still depends on what the exchange discloses.
Does MBO show trader identities or hidden orders?
No. MBO carries anonymous, exchange-published order-level events; it does not reveal who is trading and does not show orders outside the exchange. Iceberg liquidity can only be inferred from repeated refills and the trade trail, never confirmed.
How is MBO data different from a candle chart?
A candle summarises the result of trading over a period. MBO records the process that produced it: the sequence in which individual orders were placed, modified, cancelled and filled. Day traders usually read both together rather than treating one as a replacement for the other.
Does TradeWhy tell me whether to buy or sell?
No. TradeWhy explains market behavior and helps users research and validate strategies. It does not give buy or sell recommendations and makes no promises about results; the trading decision stays with the user.
Written by AI from TradeWhy's metric definitions, research findings and published product statements, then rule-checked. Analysis only, not investment advice.