I'm new to this, but I'm writing a custom app (in C# .Net, but potentially C++) to retrieve market data using the Data API. I can get price data, but I can't find out how to get full order book data - are there any examples of this anywhere please?
I could potentially use the RFA API (either C# or C++), but I can't find any examples of this either?
If you want to consume Full Depth orderbook data, your best route would be to use one of our strategic higher performance streaming APIs such as Elektron Message API
RFA is now considered feature complete / legacy mode and therefore not recommended for new developments.
If at all possible, the EMA C++ route would be the recommended route to take - as it is best suited to the higher level of data throughput you may experience when consuming full order book for the more volatile instruments. If however, you will only be processing a limited number of Instruments e.g. for a display app and C# is much preferred, then you can consider using the Websocket or RDP Library.
Just to be clear you will need access to a TREP server or ERT in Cloud account in order to consume full depth order book. I believe there is some limited Orderbook data available on Eikon as well - hopefully, one of my Eikon colleagues can advise on that.
The examples I referred you to are both Consumer examples - not server-side examples.
In order to consume the Full order book realtime data, you will need to have access to either
If you are unable to access either of the above - e.g. because you only have access to Eikon desktop - you can reach out to your Refinitiv account team or I can ask them to contact you directly.
For first time EMA users, we always recommend they use the relevant Quick Start to validate their EMA installation and login/connectivity details: