market depth from datascope

jeevan.kopelli
jeevan.kopelli Newcomer
in TRTH

hi Team, looking at the Market Depth pulled from Datascope , there are very limited columns

For example: VOD.L

Here are few questions

1. Is the data Aggregated?

2. Is this continuously snapped quotes data?

3. Does this have a EBBO view? If so, how to identify the exchanges

4. Also, what is the update time on each of the snapshots?

Thanks,

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Best Answer

  • Christiaan Meihsl
    Christiaan Meihsl LSEG
    Answer ✓

    @jeevan.kopelli,

    Very limited columns

    When requesting Tick History market depth you can select different views, with a parameter called View. Here are the possible values:

    <EnumType Name="TickHistoryMarketDepthViewOptions">
    <Member Name="RawMarketByPrice" Value="0"/>
    <Member Name="RawMarketByOrder" Value="1"/>
    <Member Name="RawMarketMaker" Value="2"/>
    <Member Name="LegacyLevel2" Value="3"/>
    <Member Name="NormalizedLL2" Value="4"/>
    </EnumType>

    These views deliver data in different formats.

    The NormalizedLL2 view allow selecting the main output fields from this list: "Ask Price", "Ask Size", "Bid Price", "Bid Size", "Number of Buyers", "Number of Sellers".

    It also allows defining how many levels of depth you require. The maximum available level depends on the exchange, so you might receive less than what you requested; many exchanges deliver 10 levels.

    This tutorial illustrates a request using the NormalizedLL2 view, which is the most common and easy to use view.

    Note that the availability of data depends on exchanges. For coverage information, refer to the Market Depth sheet in the latest Data Coverage Guide, which you can find in the documentation under section Data.

    The API Reference Tree describes the available parameters, go here and in the drop down for the 1st parameter (ExtractionRequest) select value TickHistoryMarketDepthExtractionRequest.

    1. Is the data Aggregated?

    No. A new entry is recorded any time the order book changes.

    2. Is this continuously snapped quotes data?

    It is not snapped. Market depth is a representation of the order book, i.e. open buy and sell orders, with the best prices. The number of best prices is defined by parameter NumberOfLevels, which only applies when view is one of RawMarketMaker or NormalizedLL2.

    3. Does this have a EBBO view? If so, how to identify the exchanges

    No, these are not consolidated views over multiple exchanges, we do not deliver European Best Bid and Offer.

    4. Also, what is the update time on each of the snapshots?

    A new entry is recorded with its timestamp each time the order book changes. The timestamp is delivered with the resulting data.

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