Retrieving full orderbook data via Data API (C# .Net)

julian.faber
julian.faber Newcomer
in Elektron

I'm new to this, but I'm writing a custom app (in C# .Net, but potentially C++) to retrieve market data using the Data API. I can get price data, but I can't find out how to get full order book data - are there any examples of this anywhere please?

I could potentially use the RFA API (either C# or C++), but I can't find any examples of this either?

Thanks

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  • umer.nalla
    umer.nalla LSEG
    Answer ✓

    Hi @julian.faber

    If you want to consume Full Depth orderbook data, your best route would be to use one of our strategic higher performance streaming APIs such as Elektron Message API

    RFA is now considered feature complete / legacy mode and therefore not recommended for new developments.

    However, if you can only use C# then you could consider the Websocket API or the alpha version of our upcoming Refinitiv Data Platform library

    You can read more about RDP Library here and here and the Websocket API here

    If at all possible, the EMA C++ route would be the recommended route to take - as it is best suited to the higher level of data throughput you may experience when consuming full order book for the more volatile instruments. If however, you will only be processing a limited number of Instruments e.g. for a display app and C# is much preferred, then you can consider using the Websocket or RDP Library.

    Just to be clear you will need access to a TREP server or ERT in Cloud account in order to consume full depth order book. I believe there is some limited Orderbook data available on Eikon as well - hopefully, one of my Eikon colleagues can advise on that.

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