Eikon Python API - get live Blended Order Book Data

Hi all,

As per the title, I am trying to pull the Blended Order Book data for a given commodity straight into python. I can see the data in Eikon so hopefully this should be doable

Any ideas where to start please?

Thanks

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Accepted answers

Alex Putkov.1

Streaming market data is not yet available through Eikon Data APIs. At the moment you can only retrieve market data as a snapshot using Eikon Data APIs. Here's an example retrieving a snapshot of top 10 bid and ask quotes for CLM9:

fields = []
for i in range(1, 10):
    fields.append('BEST_BSIZ' + str(i))
    fields.append('BEST_BID' + str(i))
    fields.append('BEST_ASK' + str(i))
    fields.append('BEST_ASIZ' + str(i))
fields = fields + ['BEST_BSZ10', 'BEST_BID10', 'BEST_ASK10', 'BEST_ASZ10']
ek.get_data('CLM9m',fields)

All comments

Alex Putkov.1

fields = []
for i in range(1, 10):
    fields.append('BEST_BSIZ' + str(i))
    fields.append('BEST_BID' + str(i))
    fields.append('BEST_ASK' + str(i))
    fields.append('BEST_ASIZ' + str(i))
fields = fields + ['BEST_BSZ10', 'BEST_BID10', 'BEST_ASK10', 'BEST_ASZ10']
ek.get_data('CLM9m',fields)

kzr

Thanks! this worked on my side for CLM9m, but for some reason throws NaN for others (ICE). Is it possible the field names are different depending on the venue?

Alex Putkov.1

Both the RIC construction logic and the field names may vary by venue, and I think there's more variation in the RIC construction logic than in the field names. E.g. for LCO (ICE Brent) the field names are the same as for CL (NYMEX WTI), but the RIC containing the order book for say LCON9 is DLCON9.
If you call up the chain quote for individual future contract (e.g. 0#CLM9 or 0#LCON9) in a Quote app in Eikon and hover the mouse pointer over a field you're interested in, the tooltip will tell you both the RIC and the field name containing this piece of data.

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