SPY is an etf.I just want to get this same data on my python interface.Attached the screenshot

Uday_PK

I am having issues pulling level 2 data into python. I have access to level 2 data (see screenshot) but my websocket connection through OMM_stream is saying the record could not be found. i am using code inspired by the LSEG Refinitiv Data Stream on Github (see this link: https://github.com/LSEG-API-Samples/Example.DataLibrary.Python/tree/main/Examples/3-Delivery/3.02-Streaming). I am using SPY as my RIC which you can see in my screenshot.

Here is my python code:

import refinitiv.data as rd

from refinitiv.data.delivery import omm_stream

import datetime

from IPython.display import clear_output

import logging

import pandas as pd

# Set up logging

logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(levelname)s - %(message)s')

logger = logging.getLogger(__name__)

# Define a callback to display market data updates

def display_market_data(response, instrument_name, stream):

try:

clear_output(wait=True)

current_time = datetime.datetime.now().time()

logger.info(f"{current_time} - Market data update for {instrument_name}")

# Log the raw response for debugging

logger.debug(f"Raw response: {response}")

# Handle response as a dictionary

if isinstance(response, dict):

# Check for 'Fields' (Level 1) or 'Map' (Level 2)

if 'Fields' in response:

data = response.get('Fields', {})

if data:

df = pd.DataFrame([data])

print(df)

else:

logger.warning(f"No data found in Fields for {instrument_name}")

elif 'Map' in response:

# Handle Level 2 MarketByPrice data

map_data = response.get('Map', {})

entries = map_data.get('Entries', [])

if entries:

# Convert map entries to a list of dictionaries

data_list = []

for entry in entries:

key = entry.get('Key', '') # Price level or order key

fields = entry.get('Fields', {})

fields['PriceLevel'] = key # Add price level as a field

data_list.append(fields)

if data_list:

df = pd.DataFrame(data_list)

print(df)

else:

logger.warning(f"No map entries found for {instrument_name}")

else:

logger.warning(f"No map data found for {instrument_name}")

else:

logger.warning(f"Unexpected response structure for {instrument_name}")

else:

# Try accessing response.data.df if it's not a dict

print(response.data.df)

except Exception as e:

logger.error(f"Error processing market data for {instrument_name}: {e}")

# Define a status callback

def on_status(status, stream):

logger.info(f"Status update: {status}")

state = status.get('State', {})

if state.get('Data') == 'Suspect' and state.get('Code') == 'NotFound':

logger.error(f"RIC {stream.name} not found. Verify RIC or check permissions.")

# Open a desktop session

try:

rd.open_session()

logger.info("Session opened successfully")

except Exception as e:

logger.error(f"Failed to open session: {e}")

exit(1)

# Define the RIC for the instrument

ric = "SPY" # Verify if this RIC supports MarketByPrice

# Create an OMM stream for Level 2 market data

try:

stream = omm_stream.Definition(

name=ric,

domain="MarketByPrice", # Use MarketByPrice for Level 2 data

fields=[

"DSPLY_NAME", # Display name (Level 1 field)

"BID_PRICE_1", "BID_SIZE_1", # Level 2: Bid price/size at level 1

"ASK_PRICE_1", "ASK_SIZE_1", # Level 2: Ask price/size at level 1

"BID_PRICE_2", "BID_SIZE_2", # Level 2: Bid price/size at level 2

"ASK_PRICE_2", "ASK_SIZE_2", # Level 2: Ask price/size at level 2

"NO_ORD", # Number of orders at price level

"ORDER_SIDE", # Bid or Ask

"PRICELVL" # Price level

]

).get_stream()

logger.info(f"Stream created for RIC: {ric}")

except Exception as e:

logger.error(f"Failed to create stream for {ric}: {e}")

rd.close_session()

exit(1)

# Register callbacks

stream.on_refresh(lambda response, stream: display_market_data(response, ric, stream))

stream.on_update(lambda response, stream: display_market_data(response, ric, stream))

stream.on_status(on_status)

stream.on_error(lambda error, stream: logger.error(f"Stream error: {error}"))

# Open the stream

try:

stream.open()

logger.info(f"Stream opened for {ric}")

except Exception as e:

logger.error(f"Failed to open stream for {ric}: {e}")

rd.close_session()

exit(1)

# Keep the stream open for 60 seconds

import time

time.sleep(60)

# Clean up

try:

stream.close()

logger.info("Stream closed")

rd.close_session()

logger.info("Session closed")

except Exception as e:

logger.error(f"Error during cleanup: {e}")

and here is the output:

2025-07-08 08:44:46,124 - INFO - HTTP Request: GET http://localhost:9000/api/status "HTTP/1.1 200 OK"

2025-07-08 08:44:46,124 - INFO - HTTP Request: POST http://localhost:9000/api/handshake "HTTP/1.1 200 OK"

20

25-07-08 08:44:46,124 - INFO - Session opened successfully

2025-07-08 08:44:46,124 - INFO - Stream created for RIC: SPY

2025-07-08 08:44:46,149 - INFO - HTTP Request: GET http://localhost:9000/api/rdp/streaming/pricing/v1/ "HTTP/1.1 200 OK"

2025-07-08 08:44:46,177 - INFO - Websocket connected

2025-07-08 08:44:46,382 - INFO - Status update: {'Domain': 'MarketByPrice', 'Type': 'Status', 'ID': 5, 'Key': {'Name': 'SPY'}, 'State': {'Data': 'Suspect', 'Stream': 'Closed', 'Code': 'NotFound', 'Text': 'The record could not be found'}}

2025-07-08 08:44:46,384 - INFO - Stream opened for SPY

2025-07-08 08:44:46,385 - ERROR - RIC SPY not found. Verify RIC or check permissions.

Screenshot 2025-07-08 08.47.10 (1).jpeg

Gurpreet

The Blended Order Book data as shown in the screenshot is not available from the real time stream. The orderbook for SPY might be available, but you will need to contact helpdesk to get the correct RIC for it.

Please raise a ticket at LSEG MyAccount.

Uday_PK

https://community.developers.refinitiv.com/discussion/comment/126783#Comment_126783

Hi Gurpreet the RIC is SPY

Gurpreet

https://community.developers.refinitiv.com/discussion/comment/126802#Comment_126802

That is not the MarketByPrice domain that the user asked for in original question. For getting Level 1 data use the Pricing Stream example and SPY as the universe.