RIC request works for MP Domain but doesn't work with MBO or MBP domain.

Hi,

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?

Thank you

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Accepted answers

Tim Smith

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.

Tim

All comments

Gurpreet

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.

I know TSX instruments do have MBP and MBO data, so you could try TD.TO, RY.TO etc if you have permissions.

cdefusco

Yes I know it.

For an our customer we are giving market data for three venues: Eurex, CME and ICE.

I know that Eurex market has not a not aggregated book but only aggregated. So I use RICs as 1FGBXc1 to obtain aggregated book using MP Domain (as documented). For CME I use RICs as 1USM0m to obtain aggregated book using MP Domain (as documented).

My question now is how to require RICs for ICE to obtain at least aggregated book as other two venues above.

I tried to navigated in SpeedGuide to find information about these questions about ICE but I found nothing of useful.

Could someone give me more informations?

Thank you.

Tim Smith

Tim

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