MBO is the highest-fidelity view a venue sells. Because you see each add, modify, cancel and fill with its own identifier, you can maintain an exact replica of the engine's book.
The cost is volume and complexity. A single busy instrument can produce millions of messages a day, and a dropped message silently corrupts your book unless you handle sequence gaps and recovery properly.
Example: at a price level with 8,000 shares, MBO tells you your 1,000-share order has 2,300 shares ahead of it. If 2,300 shares trade, you know you are next. market-by-price would only tell you the level fell from 8,000 to 5,700, leaving your position a guess.
Related: market-by-price, queue-position, level-3-data, direct-feed