How to identity order levels from market-by-price request.
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.
Answers
-
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.
0 -
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.
0 -
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.
0
Categories
- All Categories
- 6 AHS
- 36 Alpha
- 166 App Studio
- 6 Block Chain
- 4 Bot Platform
- 18 Connected Risk APIs
- 47 Data Fusion
- 34 Data Model Discovery
- 683 Datastream
- 1.4K DSS
- 613 Eikon COM
- 5.2K Eikon Data APIs
- 10 Electronic Trading
- Generic FIX
- 7 Local Bank Node API
- 3 Trading API
- 2.9K Elektron
- 1.4K EMA
- 248 ETA
- 552 WebSocket API
- 37 FX Venues
- 14 FX Market Data
- 1 FX Post Trade
- 1 FX Trading - Matching
- 12 FX Trading – RFQ Maker
- 5 Intelligent Tagging
- 2 Legal One
- 23 Messenger Bot
- 3 Messenger Side by Side
- 9 ONESOURCE
- 7 Indirect Tax
- 60 Open Calais
- 275 Open PermID
- 44 Entity Search
- 2 Org ID
- 1 PAM
- PAM - Logging
- 6 Product Insight
- Project Tracking
- ProView
- ProView Internal
- 22 RDMS
- 1.9K Refinitiv Data Platform
- 626 Refinitiv Data Platform Libraries
- 5 LSEG Due Diligence
- 1 LSEG Due Diligence Portal API
- 4 Refinitiv Due Dilligence Centre
- Rose's Space
- 1.2K Screening
- 18 Qual-ID API
- 13 Screening Deployed
- 23 Screening Online
- 12 World-Check Customer Risk Screener
- 1K World-Check One
- 46 World-Check One Zero Footprint
- 45 Side by Side Integration API
- 2 Test Space
- 3 Thomson One Smart
- 10 TR Knowledge Graph
- 151 Transactions
- 143 REDI API
- 1.8K TREP APIs
- 4 CAT
- 26 DACS Station
- 121 Open DACS
- 1.1K RFA
- 104 UPA
- 191 TREP Infrastructure
- 228 TRKD
- 915 TRTH
- 5 Velocity Analytics
- 9 Wealth Management Web Services
- 84 Workspace SDK
- 11 Element Framework
- 5 Grid
- 18 World-Check Data File
- 1 Yield Book Analytics
- 46 中文论坛