Request for NFE Market Depth data download

Ayan

Hi,

Please share the sample request format to download Market Depth data for NFE exchange.

Thanks

veerapath.rungruengrayubkul

Hi @Ayan

I think the market depth data in the reply is the legacy market depth. The data is similar to the NORMALIZEDLL2 and LEGACYLEVEL2 VBD files.

You can change the "View" condition to "NormalizedLL2" and "LegacyLevel2" to retrieve the data. The sample of requests are attached.

legacylevel2.txt

normalizedll2.txt

Christiaan Meihsl

@Ayan,

Is your query in the context of VBD (Venue by Day) standard extractions (which allows you to download 1 entire day of data for all instruments of an exchange) ?

Or is this in the context of custom requests (either scheduled or On Demand).

Note: VBD is subject to special permissioning, you might not have this capability.

Ayan

Hi,

We would require On Demand Request format for downloading Market Depth Data for NFE. To summarize the background , We were previously requesting for MBO data for NFE using the attached request nfe-reqfile-mbo-2909.txt which failed to fetch us data beyond 6 months. TRTH had replied as follows for this issue.

"There was an mapping error which
resulted an MBO output in the past. However, on our investigation we had
identified that MBO data is not available for NFE instruments (as it is not
supplied by the exchange). The NFE supplies only 5 levels of market depth data."

Hence we would require a request format similar to the attachment so that we can fetch Market Depth Data for NFE.

Thanks