We are currently looking for way to retrieve data based on the C# examples on ftp. after these code lines:
quoteCache.CacheEvent += quoteCacheHandler;
quoteCache.AddWatch(WatchType.L1OPT, Symbol, null, ref err);
quoteCache.Submit("L1", Symbol, ref err);
I should be able to get the following data on the callback(quoteCacheHandler):
*Daily number of trades
*Daily total quantity
I know about the fields in the attached link
, but there is no the fields im looking for. in addition, where can i find the description about L2 market data
If I understand correctly, you are looking to monitor REDI market data in C#.
If this is the case, it may be helpful to review Monitor L1 Quotes in C# tutorial, and the corresponding code example.
For the fields available in L1, please see REDI API Spec, section "L1 Market Data Subscription".
Please keep in mind, that some of the market data fields are relevant for equities, others- for options. The tutorial shows how to monitor both, and gives an example how field names can differ.
L2 market data is not supported at this time.