MBO stream receiving MBO orders but not receiving Trades

goran.stepanovic

Hi,

We do receive MBO order data, when requesting for RICs under a chained RIC. However we do not receive any trade activity flowing in at all. We did wait for the end of trading day before making the analysis, so there should be some trades happening at least. Am I missing something?

 {
  "ID": 3,
  "Domain": "MarketByOrder",
  "Key": {
    "Service": "ELEKTRON_DD",
    "Name": [
      "ETHG23",
      "ETHH23",
      "ETHJ23",
      "ETHK23",
      "ETHM23",
      "ETHN23",
      "ETHQ23",
      "ETHU23",
      "ETHV23",
      "ETHX23",
      "ETHZ23",
      "ETHF24"
    ]
  }
}

Gurpreet

Hi @goran.stepanovic,

The Market By Order is a Level 2 stream and carries the order book and the real time changes - i.e. market and matched orders will be deleted from the book. These will show up as trade messages on the Level 1 stream. There will be no Trade or Quote messages on the MBO domain.

goran.stepanovic

https://community.developers.refinitiv.com/discussion/comment/102375#Comment_102375

Hi @Gurpreet,

Thanks for clarifying that MBO level 2 only receives orders, however I have a few more questions then.

How do I indentify the difference between a DELETE order being a matched order versus being a actual delete (cancellation).

Is the any specification about Market By Order Level 2 Stream anywhere?

Gurpreet

https://community.developers.refinitiv.com/discussion/comment/102417#Comment_102417

There is no means to identify a delete due to a match. Best way is to subscribe to L1 stream for that instrument as well and look for trades.

goran.stepanovic

https://community.developers.refinitiv.com/discussion/comment/102419#Comment_102419

Do you know which would be the most optimal L1 stream to subscribe to, in order to "connect" Trades with the MBO L2 stream?

Gurpreet

To subscribe to L1 for same instruments, you can use MarketPrice domain. The subscribe request would look like:

{
  "ID": 3,
  "Domain": "MarketPrice",
  "Key": {
    "Service": "ELEKTRON_DD",
    "Name": [
      "ETHG23",
      "ETHH23",
      "ETHJ23",
      "ETHK23",
      "ETHM23",
      "ETHN23",
      "ETHQ23",
      "ETHU23",
      "ETHV23",
      "ETHX23",
      "ETHZ23",
      "ETHF24"
    ]
  }
}

If the domain is omitted, it defaults to MarketPrice.