Is there a way to get market depth/book depth from the JET Quote service in App Studio- Web SDK?

cherndon
cherndon Explorer
in App Studio

I see that you can get BID_1, BID_2, etc. and ASK_1, ASK_2, etc. But there are no sizes/volumes that seem be associated with those fields. And while some RICs have a BEST_BID1 and accompanying BEST_BSIZ1, etc., those seem rare and usually are all 0 when I've tested.

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Best Answer

  • Zhenya Kovalyov
    Zhenya Kovalyov LSEG
    Answer ✓

    @cherndon it largely depends on the asset that you are after and the exchange where it is traded. Usually, if you add a 0# before the RIC for an exchange traded instrument, it will show you the order book.

    0# sign means that the requested entity is a series, or a chain. The chain contains a link to the market depth RIC. For example, 0#BARC.L is the order book for Barclays on LSE, it contains BARC.LO, that has the order book with the price and the size.

    There is a separate call in JET for those. The following call will give you all RICs on a chain:

    JET.Quotes.create()
    		.chain("0#BARC.L")
    		.formattedFields("X_RIC_NAME")
    		.onNewRow(onNewRow)
    		.onUpdate(onUpdate)
    		.start();

    Once you get the depth RIC, you can create a regular JET subscription with BEST_BIDx and BEST_BSIZx fields (where x is the field's number)

    For more information, you can open the JET.js API Demo (Eikon Menu > Developer tab), select Quotes plugin and then Chains.

Answers

  • Nitesh Saha
    Nitesh Saha LSEG

    Hello,

    Market Depth (BID_1, BID_2, etc. and ASK_1, ASK_2, BEST_BSIZ1,BEST_ASIZ1,etc.) is available via Quotes method in TRKD API. Level 2 data requires permission from respective exchanges. The RICs for level 2 data is the normal Equity RIC prefixed with a "0#" for most exchanges.Below is a FAQ with details of level 2 data for US Exchanges. Attached screenshot for Reliance Industries listed at Bombay Stock Exchange showing BID / ASK and corresponding volume data.

    FAQ: Level 2 data for US and Canadian Exchanges:

    US Exchanges
    Level 2 data is depicted in the following manner:
    NYSE OpenBook represents the aggregated size of limit orders on the Specialists’ book for NYSE-listed issues. . Reuters provides top 10 quotes.

    Sample RIC: For NYO: 0#IBM.NYO
    The Nasdaq Stock Exchange
    NASDAQ Level 2 provides a montage of attributed best bid/offer prices from all market participants. The current NL2 feed covers NASDAQ-listed and OTC Bulletin Board issues.

    Sample NASDAQ Level 2 chain RIC: 0#DELL.O , Sample NL2 participant quote RICs: DELLGSCO.O MSFTARCX.O
    Nyse/Amex Level 2 chain RIC: 0#IBM.O & 0#SPY.O, Sample participant quotes RICs: IBMAUTO.O & SPYCDRG.O
    NASDAQ Bulletin Board (all securities including preferred issues warrants, units etc.,) have market in depth data.

    OTC Bulletin Board Level 2 quotes are included with the NASDAQ Level 2 subscription.
    Sample chain RIC: 0#CNCG.OB Sample market participant quote RIC: CNCGETRD.OB
    Pink Sheets
    Pink Sheets level 1 data. Level 1 quotes are a separate subscription from the trade data.

    Canadian Exchanges
    Level 2 data is depicted in the following manner:
    Toronto Stock Exchange
    Reuters provides Toronto SE Market by Order (MBO) and Market by Price (MBP) - top 10 quotes for both MBP and MBO.

    Sample RICs:
    0#NT.TO for MBP
    0#NT.TOB for MBO
    TSX Venture Exchange - CVE
    Reuters carries TSX Venture Market by Order (MBO) and Market by Price (MBP) - top 10 quotes for both MBP and MBO.

    Sample RICs:
    0#BTR.V for MBP
    0#BTR.VO for MBO
    Canadian Trading and Quotation System – CNQ
    CNQ bundles 10 levels of Market by Order (MBO) and 5 levels of Market by Price (MBP) with their Level 1 subscription.

    Sample RICs:
    0#FCI.CD for MBP
    0#FCI.CDO for MBO

    image

  • Zhenya Kovalyov
    Zhenya Kovalyov LSEG
    https://community.developers.refinitiv.com/discussion/comment/8933#Comment_8933

    cherndon is looking for a solution within the JET API, by posting in the App Studio forum.

  • cherndon
    cherndon Explorer
    https://community.developers.refinitiv.com/discussion/comment/8949#Comment_8949

    Perfect, thank you very much!

  • cherndon
    cherndon Explorer
    https://community.developers.refinitiv.com/discussion/comment/8933#Comment_8933

    Yes, Zhenya is correct, but thank you Nitesh!

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