Hi, I am working on a monitoring tool for SAFEX contracts. I'm trying to pull the blended order book and log the transactions per broker in excel. I'm stuck on the data stream though, I cant find a way to get the data to pull the data from the "BY order" tab seen in Refinitiv Workspace, it keeps pulling from the first tab "best only". Thus, the broker names don't get pulled. They appear in the format of "JSE:broker code". See the screenshot below what i mean by the tabs.
The specific function in the script I have is in the stream, which is seen here:
def setup_stream(contract_code: str, retries: int = 3) -> None:
"""Set up market data stream with BY ORDER view configuration"""
for attempt in range(retries):
try:
# Create fields list for BY ORDER view
fields = [
# Core fields
"OPEN_PRC", "ACVOL_1",
# Venue columns
"VENUE.BID.0.ID", "VENUE.ASK.0.ID", # First row venue
"VENUE.BID.CNT", "VENUE.ASK.CNT", # Count
"VENUE.BID.ACC", "VENUE.ASK.ACC", # AccSize
"VENUE.BID.SZ", "VENUE.ASK.SZ", # Size
"VENUE.BID.PRC", "VENUE.ASK.PRC", # Bid/Ask prices
# Try additional market depth fields
"MARKET_DEPTH",
"ORDER_DEPTH",
"BOOK_DEPTH",
# Row fields
*[f"DEPTH_{i}" for i in range(50)],
# State fields
"VIEW", # Current view
"MODE", # Display mode
"STATE" # Order book state
]
# Set up stream with view configuration
pricing_stream = pricing.Definition(
universe=[f"{contract_code}:BOB", contract_code], # Try BOB suffix
fields=fields,
domain="MARKET_PRICE" # Specify market price domain
).get_stream()
def on_refresh(fields, instrument_name, stream):
logging.info(f"\n{'='*80}")
logging.info(f"REFRESH {instrument_name} - BY ORDER View:")
logging.info(f"{'='*80}")
# Log all fields for debugging
for key, value in sorted(fields.items()):
if value is not None:
logging.info(f"{key:30} | {str(value):>20} | Type: {type(value).__name__}")
process_data(fields, contract_code)
def on_update(fields, instrument_name, stream):
logging.info(f"\n{'-'*80}")
logging.info(f"UPDATE {instrument_name} - BY ORDER View:")
logging.info(f"{'-'*80}")
# Log all changes
for key, value in sorted(fields.items()):
if value is not None:
logging.info(f"{key:30} | {str(value):>20} | Type: {type(value).__name__}")
process_data(fields, contract_code)
pricing_stream.on_refresh(on_refresh)
pricing_stream.on_update(on_update)
# Try to set view before opening stream
pricing_stream.set_attribute("VIEW", "BY_ORDER")
pricing_stream.open()
logging.info(f"Stream opened for {contract_code} with BY ORDER view")
return
except Exception as e:
logging.error(f"Error setting up stream for {contract_code}, attempt {attempt + 1}: {e}")
if attempt < retries - 1:
time_module.sleep(2)
else:
logging.error(f"Failed to set up stream for {contract_code} after {retries} attempts.")
I have attempted multiple ways of getting the stream to open the right tab to no avail. I have attached the full script for reference.
Any assistance will be greatly appreciated.
