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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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How to get Treasury Order Book History data? TY not working, neither is ZN
Hi! I'm using DAtascope and this API for chainrics: def get_chain_ric_market_depth(futures_ric, query_start_date, query_end_date): """ Example futures ric: 0#1YM: """ json_blob = { "ExtractionRequest": { "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",…
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How to get futures market depth data for DJIA, SP500, and NASDAQ?
This works for 0#1YM: but not for 0#1ES: or 0#1NQ or 0#ES or 0#NQ or 0#.ES def get_chain_ric_market_depth(futures_ric, query_start_date, query_end_date): """ Example futures ric: 0#1YM: """ json_blob = { "ExtractionRequest": { "@odata.type":…
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what is wrong with my futures request for BTC and ES?
This is giving me a 200 but I'm not getting any futures data. Where can I get a list of futures contracts and the months and the RIC btw? Where can I get this list? This is my code. I'm getting a 200 but no order book data for this futures. def get_tick_history(ticker, query_start_date, query_end_date): json_blob = {…
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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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How to get futures data for ES and BTC and AAPL?
I'm trying to get futures order book information for the E-mini (ES) and futures data for say Bitcoin: 0#BTC. Where can I get this information? Can you show me python code to use to get this order book data. This is how I get stock data. Is it similar? json_blob = { "ExtractionRequest": { "@odata.type":…
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Difference between A_PRICE_2 and BEST_ASK2 fields
How are these fields different from each other? How are they calculated? A_PRICE_2 [2473] BEST_ASK2 [442]
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When do CSVs become available for download for all exchanges? I'm download ticker order book ric
Hi I'm making requests to download TickHistoryMarketDepth data. "ExtractionRequest": { "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest", "IdentifierList": { "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",…
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How can I get the key in string type?
I am currently receiving market information for the RIC codes NQZ4 and ESZ4, with the domain type set to MARKET_BY_PRICE. The code I am using generates a unique key for each order in the order book entry, followed by the associated fields. Map.getEntry().getKey().getBuffer() Item Name: ESZ24 Service Name: hEDD Map Summary…
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How to access Level 2 data via SDK API?
Can you kindly advise how can a client access L2 data via SDK API please? The query is raised for the RIC details provided below, where a client is interested to access L20 data RIC <MOLB.BUf> MBP Domain, PE 3445
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Historical Bid/Ask price and size at 10 levels
Hi, I am using refinitiv data's get_history() function to retrieve historical bids/asks (1 minute frequency) along with sizes/depth. I only managed to get best bid/asks but not at level 2, 3, 4 and so on (I need upto 10 levels ideally). Please see the code snippet below. Can someone help as to what should I add more to get…
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How can I get the data of Order Book using Eikon Data Api in R Studio?
* I already installed library("eikonapir") * I already have the key (set_app_id) * I want the information contained in the image below:
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Retrieving full orderbook data via Data API (C# .Net)
I'm new to this, but I'm writing a custom app (in C# .Net, but potentially C++) to retrieve market data using the Data API. I can get price data, but I can't find out how to get full order book data - are there any examples of this anywhere please? I could potentially use the RFA API (either C# or C++), but I can't find…
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zero price but positive accumulated size on EMA L2 orderbook feed
I am using EMA to subscribe HKFE for L2 order book options feed, using the following IDN_SELECTFEED, MARKET_BY_PRICE, Ric: HSI30000D9.HF I encounter sometimes the orderbook I captured is not aligned with what showing in Eikon 0#HSI30000D9.HF One thing I noticed that, I regularly receive an UpdateMsg that something on the…
