How to identity order levels from market-by-price request.

rkumar02

We are subscribing to Level 2 Market-by-Price data for the E-mini S&P symbol from CME. Below is a sample of the update message response we are receiving:

Action = Update, key = 3133 3a35 3934 3635 2f32 13:59465/2
Entry data:
Name: ORDER_TONE Value: 1
Name: NO_ORD Value: 11
Name: ACC_SIZE Value: 20
Name: LV_TIM_NS Value: 11:28:29:578
Name: LV_TIM_MS Value: 41309578
Name: LV_DATE Value: 20 / 11 / 2024
Name: ORDER_PRC Value: 5946.5
Name: ORDER_SIDE Value: ASK

Could you clarify if there is a field that represents the price level for order book entry add/update/delete requests? Additionally, I would like more information about the ORDER_TONE field, including its purpose and the possible values it can take.

Thanks in advance.

Gurpreet

Hello @rkumar02,

Your example update message will just update an existing order in the book. The level information is not published, and how the application displays these orders and at what level, depends on the sorting algorithm used by the app.

ORDER_TONE is an alphanumeric data type, and can have any value which is dependent on the data source. Different markets can have their own values and can also change/add over time.

If you would like to find the values that a particular exchange can publish, and other content related questions, please reach out to the data content experts at LSEG MyAccount.

rkumar02

https://community.developers.refinitiv.com/discussion/comment/122972#Comment_122972

Thanks @Gurpreet. Can I get a full order book using EMA API?

Gurpreet

https://community.developers.refinitiv.com/discussion/comment/122990#Comment_122990

Yes, you can request complete order book. The app will have to request the Market By Order domain instead. See the example 140 from the RTSDK samples.

rkumar02

https://community.developers.refinitiv.com/discussion/comment/122994#Comment_122994

In my case, CME does not support Market by Order (MBO) for my RIC ESZ24. Additionally, as I understand it, MBO and MBP are two distinct types of order book representations. Please correct me if I'm mistaken.