How does the Market Data feed aggregate odd lots?
Top of Book displays the worst price where an aggregated round lot is formed, or the worst price if no round lot exists.
Blue Ocean MEMOIR feeds and the FIX Top of Book feed apply consistent odd lot aggregation rules.
The Top of Book price is set to the worst level needed to accumulate a round lot. If the total size across the book is less than a round lot, the feed still reports the worst price. This mirrors how exchange top of book feeds operate.
For example, if a sequence of small orders accumulates to fewer than 100 shares, the Top of Book will show the total shares at the lowest bid price in the set. Only once a round lot is reached will the display move up to reflect the next best qualifying price.
Depth of Book feeds, in contrast, provide visibility into all price levels without this aggregation.