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Looking for exchange timestamp for Osaka (i.e. JGBRU5) when subscribing market by price domain
wanted to ask when we subscribe to market by price domain we do not provide the set of fields that we require in the output of refresh message /update message so if we want to get the exchange related timestamp that those fields must be already present in the existing refresh/update messages we were told SALTIM_MS is the…
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SPY is an etf.I just want to get this same data on my python interface.Attached the screenshot
I am having issues pulling level 2 data into python. I have access to level 2 data (see screenshot) but my websocket connection through OMM_stream is saying the record could not be found. i am using code inspired by the LSEG Refinitiv Data Stream on Github (see this…
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How to retrieve full order book (bid and ask) for Osaka (i.e. JNIRH6) using domain MBP or MBO ?
HI Lseg Team, How to retrieve full order book (bid and ask) for Osaka (i.e. JNIRH6) using domain MBP or MBO using TREP API ?
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MarketByPrice Domain conflation for IDN_RDF service
Hi Team, We are connecting to HMDS with using IDN_RDF service , which is 330ms trade safe conflated. However, for some markets, e.g Tokyo Stocks Exchange, most of the time the update rate for MarketByPrice domain is above 3 updates/sec, sometimes reached more than 100 updates/sec for couple of consecutive seconds. Does the…
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For futures ExtractRaw CSVs, what does this DELETE message mean?
I'm trying to use the ExtractRaw endpoint in datascope for the RawMarketByPrice view. I see messages like this for 0#TU (the price is around $103 currently). TUM25,Market By Price,2025-05-02T09:30:01.148170445Z,-5,Raw,UPDATE,UNSPECIFIED,,,,3153,,1056,,0 ,,,,Summary,,,,,,,,,,4 ,,,,FID,1021,,SEQNUM,74937256,…
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Crossed order books between venues issue. Using RawMarketByPrice
I'm processing CSVS for order book data from the RawMarketByPrice view that look like this: #RIC,Domain,Date-Time,GMT Offset,Type,MsgClass/FID number,UpdateType/Action,FID Name,FID Value,FID Enum String,PE Code,Template Number,Key/Msg Sequence Number,Alias Underlying RIC,Number of FIDs QCOM.ARC,Market By…
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Why am not seeing anything in the response.text for this TickHistoryMarketDepthExtractionRequest
def get_futures_tick_data(ticker, query_start_date, query_end_date): """ Fetches historical tick-by-tick futures data from Refinitiv. :param ticker: The specific futures contract RIC (e.g., "BTCJ4" for April 2024 Bitcoin Futures) :param query_start_date: Start date in ISO format (e.g., "2025-03-01T09:30:00Z") :param…
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RFA Api : Multipart Refresh message with unexpected cache clearing instruction in between
Hello, we use RFA 8.2 C++ api to consume market data in MBP domain. Please let us know if following message format is expected and if yes where it is documented? <Refresh Message A> Part <1> of Refresh Message <A> with clear cache instruction and summary fields Part <2> of Refresh Message <A> with clear cache instruction…
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MarketByPrice fields - B3 data
Dear team, I am getting full book from exchange B3 data in Refinitiv OMMItemStream class using this code, with domain MarketByPrice: futures = rdp.OMMItemStream(session = session,name="DOLG23",domain = "MarketByPrice, on_refresh = lambda euro, event : display_event("Refresh", event),on_update = lambda euro, event :…
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[Level 2-MBP] How to identify market order in market-by-price update
Hi, We are subscribing the level 2 market-by-price data for SGX & CME and would like to know if the data includes information on market order. How can we identify the price point for market order and what value is expected in the field "ORDER_PRC"? Besides, as "ORDER_TONE" is sent as 'RMTES_STRING', what is the possible…
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MapEntry Action -> DELTE [ ORDER_ID] -> 1668520581231622381_1481511_1
Hi team, Need help for this query. thanks in advance We are using RFA 8.1 C++ API to consume depth data using MBP domain [Market By Price]. When we receive DELETE instruction we receive only OrderID. Side is not mentioned. Order ID are received in given format MapEntry Action -> DELTE [ ORDER_ID] ->…
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Sequences of trades/quotes/market updates within the same nanosecond
I'm looking at both the refinitiv real time SDK and the CSV per-exchange data. I see a few cases where (on LSE) we see this sequence of events: market status - opening auction ...events trade (MMT class implies it's outside of opening auction) market status - normal trading The sequence of events as delivered to our…
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EMPTY Levels in RFA API
I'm using the the MARKET_BY_PRICE to get the orderbook using RFA 8.1 . But I can't find any information in the documentation how empty levels are signaled. Say that there are only 3 levels. Will I receive a MAP with all (10) levels? In that case what will signal that only 3 of them are valid? I have seen people asking…
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Getting add entry for already existing levels. Getting update entry for non existing levels.
Hi, We are using RFA 8.1 API's with MarketByPrice domain. This is in regards with level 2 data. We received an add entry for an order id that already exists in our local book. Symbol : APPS.MC Timestamp : 20220907-06:30:17 EST Order Id : 6.6350B Similarly an update entry was received for an order ID that was not present in…
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Eikon Python API - close prices after market closes for Baltic Exchange Supramax Index (.BSIS) an...
...d CRB Index (.TRCCRB) I am trying to get the daily close price for for Baltic Exchange Supramax Index (.BSIS) and CRB Index (.TRCCRB) after the market closes. I run my script around 6:50pm UK time but the close price for the current day come up as 0. This is my code below: start_date =str(datetime.date.today() -…
