MBP MBO Level Data

objective

Process and validate level-data feeds with consistent mbp/mbo semantics and queue-aware diagnostics.

workflow

1. define feed taxonomy for level-1, level-2, and level-3 records.
2. normalize market-by-price and market-by-order events into a common schema.
3. reconstruct top-of-book and depth ladders by side and level.
4. analyze queue turnover, cancellation pressure, and depth imbalance.
5. release only when book-state consistency checks pass across feed types.

required diagnostics

• level consistency between mbo and aggregated mbp snapshots.
• top-of-book drift and depth divergence by venue and symbol.
• queue churn, cancellation ratio, and replenishment behavior.
• crossed-level and negative-depth anomaly incidence.
• event sequencing integrity and gap-recovery metrics.