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Mugu.m avatar image
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Submit FX order FXAll via python api

Hi,

I am in the processing of writing a proof of concept for submitting FX orders via a python api for a buy side client. I have an eikon login (trial).

I have experimented with the eikon api in Python and it see to stream only top of book (level 1) market data.

Please point me to examples that achieve the folowwing:

  • stream/process market depth orderbook.
  • send/manage orders to market in Python.

Does this become a TREP/DACS issue, which requires more that an eikon user?


Thanks

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chavalit-jintamalit avatar image
18.1k 21 12 20

Hi @Mugu.m

- send/manage orders to market in Python

This is not in the API capability


- stream/process market depth orderbook.

On TREP, you can specific domain when subscribing to an instrument.

However, on Eikon Data API - StreamingPrices, it only allows you to subscribe to the MARKET_PRICE domain.

The workaround to get level 2 data is to use the RIC carrying level 2 data.

For example, VOD.L has VOD.LO as the level 2 RIC code and the data is in BEST_BID<x>, BEST_ASK<x>, BEST_BSIZ<x> or BEST_ASIZ<x> fields.

Please note that different exchange may use different RIC name.




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Mugu.m avatar image
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Thank you for the response @chavalit.jintamalit.
I am getting Access denied error when I try the level 2 symbol option for retrieving market depth

Secondly:What are my options then for order send/managing if api does not enable me to do this?


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chavalit-jintamalit avatar image
18.1k 21 12 20

Hi @Mugu.m

Please contact your Refinitiv CSM or Refinitiv Account Manager for your company.

So they can help you with the following questions:

- The access denied is due to your account permission on the data content.

- I am not familiar with order submission, so CSM or Account Manager would be able to link you with an appropriate team.

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Thanks, chatting to account manager.