How does the MEMOIR Top of Book feed differ from the Depth of Book feed?
Top of Book aggregates to the worst price that forms a round lot, while Depth of Book shows every order.
The MEMOIR Depth of Book feed displays every order and price level in the book. The Top of Book feed, by contrast, aggregates orders to the worst price level required to form a round lot. If no round lot can be formed, the Top of Book feed shows the full book size at the worst available price.
This aggregation can produce behavior that looks non-intuitive when odd lots dominate the inside market.
For example:
30 shares @ 10.00, 65 shares @ 9.99, and 40 shares @ 9.98 would display as 135 shares @ 9.98
30 shares @ 10.00, 70 shares @ 9.99, and 40 shares @ 9.98 would display as 100 shares @ 9.99