I'm trying to get L2 data, while at the same time retain Time and Sales for futures markets... looking at ExtractionRequest type TickHistoryRawExtractionRequest ... As far as I can tell this can't be done... for the MarketByPrice and MarketByOrder Domains, it seems you get a Delete message, but I don't see a definitive way to tell if it was a TS or simply a cancel, yet in the MarketPrice Domain, you get all the trades, but only L1 data... am I missing something?
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How to fetch both TS data as well as Level2 data in Datascope
Hello @jwaldron
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Hello @jwaldron,
Tick history raw data TickHistoryRawExtractionRequest will result is the raw data response, as recorded from Elektron data feed. MarketPrice is how L1 realtime data is structured, and MarketByPrice and MarketByOrder is how L2 is structured, if available for the instrument. To concolude, what is available from realtime feed, is exactly what is recorded in Refinitiv Tick History.
For example, MbO request:
{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest",
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [{
"Identifier": "CARR.PA",
"IdentifierType": "Ric"
}]
},
"Condition": {
"MessageTimeStampIn": "GmtUtc",
"ReportDateRangeType": "Range",
"QueryStartDate": "2016-09-29T12:00:00.000Z",
"QueryEndDate": "2016-09-29T12:10:00.000Z",
"ExtractBy": "Ric",
"SortBy": "SingleByRic",
"DomainCode": "MarketByOrder",
"DisplaySourceRIC": true
}
}
}
Will return order book, that consists from adds and deletes:
... CARR.PA,Market By Order,2016-09-29T12:02:32.567054249Z,+2,Raw,UPDATE,UNSPECIFIED,,,,6508,,42256,,0 ,,,,Summary,,,,,,,,,,2 ,,,,FID,4148,,TIMACT_MS,43352516, ,,,,FID,6952,,TIMACT_MSP,871, ,,,,MapEntry,,ADD,,,,,,14428-20160929-95796,,11 ,,,,FID,3426,,ORDER_ID,14428-20160929-95796, ,,,,FID,3427,,ORDER_PRC,23.26, ,,,,FID,3428,,ORDER_SIDE,2,ASK ,,,,FID,3429,,ORDER_SIZE,250, ,,,,FID,6524,,OR_TIM_MS,43352516, ,,,,FID,6525,,OR_TIM_MSP,871, ,,,,FID,3886,,ORDER_TONE,2, ,,,,FID,6520,,PR_TIM_MS,33832516, ,,,,FID,6521,,PR_TIM_MSP,869, ,,,,FID,6522,,PR_DATE,2016-09-29, ,,,,FID,6526,,OR_DATE,2016-09-29, ...
Does this answer your question?
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@zoya.farberov ... thanks for the reply... You touch on it in the MarketByOrder.. the point is, as far as I would understand it not all Deletes are trades... many Orders are simply cancelled, so it does not seem to me that one could accurately compute Time & Sales in either the MarketByPrice or MarketByOrder View.. if all Deletes are trades, than it is easy... so I guess if someone can clarify that, it would help.
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Hello @jwaldron,
I am gathering that the clarification you are looking for is, what kind of market situation can result in Delete action in an order book, except for execution. As a customer, the most efficient approach to clarify a matter of content is via Refinitiv Helpdesk Online -> select "I need help understanding content within the product ", and your question will be assigned directly to a Refinitiv content expert.
This forum is targeted at Refinitiv API specifics general questions and discussions.
If you are unable to do so, let us know and we will create a content case on your behalf?
I am a developer, rather then an expert on content, so what I think of this should not be considered a complete definitive answer, but to me, it does not make sense that all order book Deletes are executions. One can, at a minimum, cancel an order, that is not executed yet. Plus, most markets allow for modifications of the active orders...
