How to extract both NBBO and normal bid/ask/bid size/ask size

Y_Intercept
Y_Intercept Newcomer
edited December 2024 in EMA

Context:

We want to understand the extraction of NBBO data from Real-Time Direct. We can get data from Real-Time Direct using its SDK.

Our Real-Time Direct username is AM2_MFMA_US07318. We raise a ticket Case 14176873, the support team requests us to post the question in this forum instead.

Main body:

Usually, for non-American market, we just look for Refinitiv's BID, ASK, BIDSIZE, ASKSIZE fields to extract the bid price, ask price, ask size and bid size. But now for the American markets, say we are trading GS.N, then we are interested two sets of bid/ask/bid size/ask size:

  1. the normal bid/ask/bid size/ask size from NYSE, where GS.N is normally traded
  2. the NBBO bid/ask/bid size/ask size from NBBOWe are aware of the existence of NBBO_IND,

how should we extract the above two sets of bid/ask/bid size/ask size with the help of the NBBO_IND field?

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Best Answer

  • Gurpreet
    Gurpreet admin
    Answer ✓

    Hello @Y_Intercept,

    I apologize that you were referred to developers forum to ask a content question. We are only able to help with technology related issues.

    Usually my understanding is that NBBO is traded as a separate instrument, and to get NBBO quotes, your application will need to subscribe to an NBBO RIC. The identifier GS.N - will only provide rates for NYSE.

    I would recommend that you re-contact the old ticket and ask to get help with data content.

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