Does the MEMOIR Top of Book feed aggregate odd lots?
Yes. Odd lots are aggregated to form round lots when possible, with pricing set to the worst level required.
The MEMOIR Top of Book feed applies the same logic used by exchange top of book feeds. When the inside bid or offer is composed of odd lots, the feed aggregates prices until a cumulative round lot is reached. If no round lot can be formed, the full size of the book is used, displayed at the worst price level.