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How do I derive trade info from level2 MBO?

Hi - I am working with L2 MBO from oslo equities exchange. Its been suggested to me that one can derive trade info from the MBO delete key action. For example if I recieve a "delete key F0" and that removes 1000@1.32 of liquidity from the BID side....can I generate a SELL1000@1.32?

If each delete action in the MBO data stream represents a trade, how do you represent these order book events:

  • pull order - ie remove liquidify without a trade
  • modify order - ie change the size of an order
  • partial executions

is this approach valid? can you comment please?

elektronrefinitiv-realtimeelektron-sdktradelevel-2market-by-order
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Hi @duncan_kerr

Please note that this is being looked at and will get back to you once we have some answers.

11 Answers

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Hi @duncan_kerr


I'm going to take a hazardous guess that you are thinking along the line of "Order Exected" message from ITCH.


Unlike consuming data from an exchange feed directly, data vendors who provide consolidated feed will typically "normalised" how market data is disseminated where customers will not need to worry about the different protocol and feed behaviour adopted by the various exchanges and markets.


Specifically, instead of having to process different messages like Trade, Auction Trade, Order Executed in the case of ITCH/MITCH feed, Refinitiv Real-Time provides trade reports via L1 MarketPrice (MP) RIC and Orderbook/L2 data via OMM MBO/MBP or MP LL2. In other words, we have done the heavy lifting of processing the Order Executed messages to generate trade updates in L1 and order delete/modify updated in L2.


OMM MBO updates result from either Order Execute or "pure" Delete/Modify order messages. However, it's nearly impossible to tell whether an update is resulted from an Order Execute or order maintenance messages like Modify or Delete.

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thanks @umer.nalla - Im very keen to get your opinion on this.

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Hi @duncan_kerr

Thanks - whilst I have an understanding of how to consume L2 data from a developers perspective, I am not familiar with the ins and outs of the content side - which are the key aspects of your query.
I have reached out to an L2 content expert and I am waiting some definitive guidance.

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Hi @Bruce Hu - we are trying to generate a timeseries which shows all the exact changes to the ordebook, and as you say thats not possible from MBO only. As far as I can see if we join the L1 trade data with timeseries we get from processing the MBO we can almost do that. What's missing are orders being pulled or modified as opposed to executions.

Do Refinitiv offer a feed delivering what Im describing? Ive heard it described as a L3 feed? We're interested in cash equities BTW.

Thanks

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Hi @duncan_kerr - I'd think that you're describing is a slightly different use case compared to the majority of our customers who consume MBO data.

A more straightforward solution could be for Refinitiv to provide additional information like order update types (I.e., delete-cancelled, delete-executed) as part of the MBO row/order delete events. That said, we need to conduct a full evaluation of the costs and benefits of providing such data on a consolidated feed if only a small percentage of our users would find it useful.

Perhaps the next step could be for you to reach out to your Refinitiv account representative to raise a formal enhancement request and getting the ball rolling.


For me, an L3 feed is an attributed MBO - orderbook with broker IDs. Although, it could mean different thing depending on who you talk to... :-)

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Hi @Bruce Hu @umer.nalla - I just saw another question on the forum which talks about order types in the L2 MBP feed for HK IDN_SELECTFEED. I dont see these order types on my oslo feed, MBO or MBP. Can you explain why some feeds have order types and others dont? The item Im talking about is: https://community.developers.refinitiv.com/questions/41160/zero-price-but-positive-accumulated-size-on-ema-l2.html?childToView=63534#answer-63534

Thanks

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@Bruce Hu @umer.nalla - did you see this question ^^?

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Hi @duncan_kerr

I expect @Bruce Hu can provide a definitive answer, but I suspect the presence or lack of order type would be down to the originating exchange/source of data i.e. if the origin does not provide the order type....

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@umer.nalla @Bruce Hu - I was wondering about that. My test feed is actually bloomberg bpipe over TREP, so maybe its a feature of bloomberg sourced feeds?


I currently dont have permissioning for MBO/MBP on any of my IDN_RSF feeds - would I be able to get access to a delayed L2 feed over IDN_RDF for free so I can experiment with a Refinitiv source of data?

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Hi @duncan_kerr

As your organisation is an existing customer, if you have a Refinitiv Real-time feed as well as the BPIPE, then your internal market data team or business team may be able to permission you to consume the chargeable data.

I have discussed your case with a technical solutions consultant internally who will reach out to your Refinitiv account team etc.

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hi @duncan_kerr, apologies, I rely on Outlook to notify me with any forum updates, and I only got the notification email today.

Re: HK OMD-D order type. I think you might be referring to the map keys which is provided in all OMM MBO and MBP update messages. There could be slight inconsistencies for the earlier venues, but the overall, all real-time venues follow the same Map Key structure and construction rules documented in the Map Key article shared by @umer.nalla.

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hi @Bruce Hu - the map keys Im seeing on my MBO BPIPE Oslo feed are just hex numbers. they definitvely do not contain extra order type info. Could you forward me the article that @umer.nalla mentioned? I really need to get to the bottom of this - do you think its likely to be a refinitiv or a bloomberg problem and how do you think I should proceed to find out why Im missing this information? Also, I have to say that some of the examples Ive seen on the refinitiv website suggest that the MBO feed is key only, no order type?

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Hi @duncan_kerr, the map keys structure that we discussed above is a Refinitiv construct and doesn't apply to BPIPE. Although, I'm sure other vendors would have developed something very similar.


At this stage, I think the best way to go forward is to reach out to your account team to see if they could get you trial access to MBO data for Euronext Derivative or any other venues that you may be interested. It's much easier to understand OMM MBO/MBP by looking at the actual data, IMHO.

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