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LEVEL 2 EQUITY DATA - WHERE IS TRADE TYPE?

Hi Im subscribing to LEVEL 2 MBO equity pricing from Oslo exchange, (example RIC AKA.NO). How can I find the trade/order type in this price stream?
Do I need to change my domain to get trade type or is it the case that trade data is delivered in the L1 MARKET_PRICE domain?

rfardp-apirefinitiv-data-platformequitieslevel-2market-by-order
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Hi @duncan_kerr

Can you please confirm the RIC code you are using? I cannot find AKA.NO - unless you have a direct feed and not sourcing from Elektron.

Also, I am not a content expert, but my understanding of MBO data is that it represents 'open' orders i.e. with Quote date and Quote Time and therefore would not be expected to contain Trade-related data.

If I have misunderstood the question please correct my understanding.

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@duncan_kerr,

The message I posted previously was the MBO as that is what you were referring to in your question. The Market By Price message is different and looks like this:

MapEntry action="Add" key dataType="Buffer" value="372E ****" dataType="FieldList"
  FieldList FieldListNum="32767" DictionaryId="1"
    FieldEntry fid="3427" name="ORDER_PRC" dataType="Real" value="7.98"
    FieldEntry fid="3428" name="ORDER_SIDE" dataType="Enum" value="2"
    FieldEntry fid="3430" name="NO_ORD" dataType="UInt" value="1"
    FieldEntry fid="3886" name="ORDER_TONE" dataType="Rmtes" value="0"
    FieldEntry fid="4356" name="ACC_SIZE" dataType="Real" value="2000.0"
    FieldEntry fid="6527" name="LV_TIM_MS" dataType="UInt" value="54302722"
    FieldEntry fid="6529" name="LV_DATE" dataType="Date" value="11 NOV 2020"
    FieldEntry fid="14268" name="LV_TIM_NS" dataType="Time" value="15:05:02:722:025:000"
  FieldListEnd
MapEntryEnd

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Hi @duncan_kerr,

The Market by Order (order book) data only contains the orders. Any matches on the BID and ASK side are removed from the book and show up as trades. Trade information is not available on the Level 2 stream, and you will need to subscribe to Market Price (L1) domain for that.

Here is what an OMM message for an order for AKAS.OL on Oslo exchange looks like:

MapEntry action="Add" key dataType="Buffer" value="3531***" dataType="FieldList"
  FieldList FieldListNum="32767" DictionaryId="1"
    FieldEntry fid="3426" name="ORDER_ID" dataType="Rmtes" value="51486573296191456"
    FieldEntry fid="3427" name="ORDER_PRC" dataType="Real" value="7.79"
    FieldEntry fid="3428" name="ORDER_SIDE" dataType="Enum" value="2"
    FieldEntry fid="3429" name="ORDER_SIZE" dataType="Real" value="10000.0"
    FieldEntry fid="3886" name="ORDER_TONE" dataType="Rmtes" value="0"
    FieldEntry fid="6520" name="PR_TIM_MS" dataType="UInt" value="47103936"
    FieldEntry fid="6521" name="PR_TIM_MSP" dataType="UInt" value="936880"
    FieldEntry fid="6522" name="PR_DATE" dataType="Date" value="10 NOV 2020"
    FieldEntry fid="6524" name="OR_TIM_MS" dataType="UInt" value="55200295"
    FieldEntry fid="6525" name="OR_TIM_MSP" dataType="UInt" value="295304"
    FieldEntry fid="6526" name="OR_DATE" dataType="Date" value="10 NOV 2020"
    FieldEntry fid="14268" name="LV_TIM_NS" dataType="Time" value="15:20:00:295:304:000"
    FieldEntry fid="14275" name="PR_TIM_NS" dataType="Time" value="13:05:03:936:880:000"
  FieldListEnd
MapEntryEnd

An order does not have a type, the whole book does. The market trading status etc, is available in the summary message of the order book.

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Hi Gurpreet - Im accessing the MBP tickstream from Bloomberg over TREP, and I see an ADD message for oslo exchange like this:

MapEntry action="Add" key dataType="Buffer" value="31 1"

dataType="FieldList"

FieldList

FieldEntry fid="3428" name="ORDER_SIDE" dataType="Enum" value="2"

FieldEntry fid="3427" name="ORDER_PRC" dataType="Real" value="153.55"

FieldEntry fid="4356" name="ACC_SIZE" dataType="Real" value="1346.0"

FieldEntry fid="3430" name="NO_ORD" dataType="UInt" value="5"

FieldEntry fid="6527" name="LV_TIM_MS" dataType="UInt" value="52840822"

FieldListEnd

MapEntryEnd


Is see a UPDATE like this:

MapEntry action="Update" key dataType="Buffer" value="6566 ef"

dataType="FieldList"

FieldList

FieldEntry fid="3428" name="ORDER_SIDE" dataType="Enum" value="2"

FieldEntry fid="3427" name="ORDER_PRC" dataType="Real" value="153.65"

FieldEntry fid="4356" name="ACC_SIZE" dataType="Real" value="630.0"

FieldEntry fid="3430" name="NO_ORD" dataType="UInt" value="2"

FieldEntry fid="6527" name="LV_TIM_MS" dataType="UInt" value="53327612"

FieldListEnd

MapEntryEnd

I suspect I need to talk to bloomberg about the missing FIDs.

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