I have a consumer client written using EMA C++ library.
The consumer works fine and receive refresh and update messages when use MP Domain.
However when I try to change the domain to Market by Order or Market by Price to read level 2 data I have an error as "The record could not be found".
Maybe I need to use a different RIC to use MBO(MarketByOrder) and MBP(MarketByPrice) domain?
For example I use this RICs from three different exchange to receive data with MP Domain: FGBXc1, USc1, FEIc1. I need to add something to these RICs structure to have MBO and MBP data?
Hi, Usually best to go via the Content helpdesk for this sort of thing, However the "c1" RIC is a continuation RIC, meaning it rolls over each month/quarter etc as the futures roll over. In this venue the depth/level 2 is not available on the continuation RIC but the actual contract RIC.
Currently the actual contract RIC for the continuation RIC USc1 is 1USM0. If you take a look at the MBO/MBP depth using that code you will see the depth data going through the Globex electronic platform. The problem with this will be that you will need to ensure you are pointing at the latest front month contract ie when 1USM0 expires in June, the front month contract will change to 1USU0 if yo u always want the front month depth data.
Hi @cdefusco,Not every venue supports level 2 data. You will have to contact Refinitiv content helpdesk to find out if there is level 2 data available for those instruments.