Level 2 Trade information SZSE/SHSE data feeds

aross

Good afternoon,

I'm currently processing the UPA Level 1 Market Price Domain messages for the SZSE/SHSE markets to get information about executed trade volumes. This data feed provides 3 second snapshots of the market data volumes.

I would like to instead process Level 2 market data, however the only Level 2 domains that I see in the documentation (based on the UPA-RDM Usage guide) are Market by Price and Market by Order which only seem to contain information on orders/price levels not about executed trades.

How can I request Level 2 market data messages that contain information about executed trading volume? Which domain would contain this information?

Thank you,

Alexandra

Jirapongse

@aross

Thank you for reaching out to us.

According to the RDM usage guide, the Level 2 domains are Market by Order and Market by Price.

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