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question

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MarketByOrder - Websockets API

I submit the below request to websockets

SENT on session1:

{

"Domain":"MarketByOrder",

"ID":2,

"Key":{

"Name":"FB.O"

}


and I receive this below. Note that the default domain works just fine. I have level 2 package (NAS2) entitled on my ID. Can you please suggest what may be wrong?

}

RECEIVED on session1:

[

{

"Domain":"MarketByOrder",

"ID":2,

"Key":{

"Name":"FB.O",

"Service":"ELEKTRON_DD"

},

"State":{

"Code":"NotFound",

"Data":"Suspect",

"Stream":"Closed",

"Text":"*The record could not be found"

},

"Type":"Status"

}

]


treprdp-apiwebsocketsrrtomarket-by-order
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1 Answer

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Hi @prashanth.suresh1,

Not all exchanges will provide level 2 data. For example, instead of FB.O, try BB.TO (which does provide level2 data on the TSX).

I would reach out to the Refinitiv support desk to understand/find out where level 2 data is provided.

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thanks @nick.zincone.1

If I have to receive to Trade and order Entries from Nasdaq and Nyse, do you know which Domain I have to subscribe to? Note, I am not referring to MarketPrice domain.


thanks

Prashanth

Hi @prashanth.suresh1,

The MARKET_BY_ORDER domain provides all buy side and ask side orders. The MARKET_BY_PRICE provides all the orders at a specific price level. You can see the different domains available within the Websocket API documentation: https://developers.refinitiv.com/elektron/websocket-api/docs

Hi @prashanth.suresh1

You may also find this article useful - on processing Level 2 orderbook data