more than 5 levels for RFA L2 client

petru.marginean
petru.marginean Newcomer
in RFA

I'm using RFA (rfa-7.6.0.L1) to get L2 market data.

Is it possible to get more than "five best bid/ask levels"?


Regards,

Petru


Example:

RIC = '000002.SZ'

BEST_BID1=27.35
BEST_BID2=27.34
BEST_BID3=27.33
BEST_BID4=27.32
BEST_BID5=27.31

BEST_BSIZ1=83825
BEST_BSIZ2=62600
BEST_BSIZ3=32000
BEST_BSIZ4=39600
BEST_BSIZ5=134800
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Best Answer

  • nick.zincone
    nick.zincone admin
    Answer ✓

    Hi @petru.marginean,

    Yes, you can get the full order book and price book when using the OMM MarketByPrice or MarketByOrder domains. There is a tutorial that will provide instructions and coding samples to do this. You can also refer to the RFA documentation and search for these domains to provide additional details.

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