how to get full order book (10 buy + 10 sell)

Hi @qiang.zhu

To get full Order Book you need to make MarketByPrice domain request - rather than MarketPrice request.

You should refer to RFA C++ Tutorial 8 - Level 2 RDM data - for an explanation. Although the code is C++, the technique is much the same.

You can test this in RFA .NET by using the Consumer example that is in the Examples\Consumer folder.

Change the Consumer.cfg file to request MarketByPrice and see the result

# RFA Session to be used by the Consumer application
\ConsumerClient_10\session	= "Session1"
# Service name to be used to request
\ConsumerClient_10\service	= "ELEKTRON_DD"
# Comma separated RIC List to be used to request
\ConsumerClient_10\itemList	= "DXM8"
# RDM message type
\ConsumerClient_10\msgModelRequestType		= "marketByPrice"
# Switches between domain specific decoding (true) and generic decoding 
\ConsumerClient_10\msgModelDefaultDisplay	= true 

You will see that the OrderBook is delivered in Map structure with each Map Entry representing an Order and using the same field names:

Map Key   ORDER_PRC   ORDER_SIDE  NO_ORD  ACC_SIZE 
97.540A   97.540      ASK         1       3        
90.000B   90.000      BID         1       1        
91.210B   91.210      BID         1       15       
94.100A   94.100      ASK         1       2        
95.545A   95.545      ASK         1       1    
....
and so on....    

So, the above is known as Level 2 Full Order Book - MarketByPrice data.

For some of our data it is also possible to get just Top of Order Book - i.e. only Top 10 orders - by making a 'standard' MarketPrice request - for this type of request you do see fields like 'BID_1', 'ASK_1',... 'BID_10', 'ASK_10'. This type of data requires a different RIC code - you will need to speak to our Data Content team to find out which RIC code (if available) to request. Use the following link to contact the Content team -Contact Us.