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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…
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We need price & quantity with Broker ID in SEHK in orderbook per L2 market feed? is there such ki...
...nd of information? We are using Java EMA library to subscribe L2 orderbook. e.g. 0005.HK & 0#0005.HK We need price & quantity with Broker ID in SEHK in orderbook per L2 market feed? is there such kind of information?
