Hello, I am using Refinitiv real time data feed (TREP) to consume level2 market data using C++ api. I tried to request level2 data for RIC AEV.PS using "MP" domain but did not receive any data.. May I know why I am not receiving the data?
Hello, I am using Refinitiv real time data feed (TREP) to consume level2 market data using C++ api. I tried to request level2 data for RIC AEV.PS using "MP" domain but did not receive any data.. May I know why I am not receiving the data?
If you mean getting the legacy level 2 market price data, you can subscribe to AEV.PSd. It will return the following fields.
However, it is better to use either the Market By Order (MBO) or Market By Price (MBP) domain instead, as mentioned by my colleague.
@Jirapongse , thanks for spot on suggestion. I have two queries though -
1. Where I can read about difference between using "MP' domain for level1 and legacy level2? Does "MP" domain for level1 produce different data than yours?
2. I have a pdf called "TR_RIC_Level_2_Data_-_Global_Exchanges_-_All_Instruments.pdf" with me that explains different prefix/suffix to add to get level 2 data but for given symbol AEV.PS(Philippine exchange), they didn't mention to add suffix "d". Is there any update to that document? If you check the attachment, one of your representative provided below screen shot according to it, "AEV.PS" should pull "MP" domian level2 data. isn't it?
Please contact the content support team directly via MyRefinitiv to clarify the differences between using "MP' domain for level1 and legacy level2.
I got AEV.PSd when subscribing to 0#AEV.PS.
Typically, one of them provides the legacy level 2 data.
You may also contact the content support team for more information.
Which C# API are you using? I could get the OrderBook data for this RIC using the MarketByOrder domain. I used the semantic described in this websocket tutorial.
[ { "Complete":false, "Domain":"MarketByOrder", "ID":2, "Key":{ "Name":"AEV.PS", "Service":"ELEKTRON_DD" }, "Map":{ "CountHint":241, "Entries":[ { "Action":"Add", "Fields":{ "ORDER_ID":"202208040000004887", "ORDER_PRC":61.75, "ORDER_SIDE":"ASK", "ORDER_SIZE":200, "PR_TIM_MS":0 }, "Key":"MjAyMjA4MDQwMDAwMDA0ODg3" }, { "Action":"Add", "Fields":{ "ORDER_ID":"202207150000011452", "ORDER_PRC":47.0, "ORDER_SIDE":"BID", "ORDER_SIZE":20000, "PR_TIM_MS":0 }, "Key":"MjAyMjA3MTUwMDAwMDExNDUy" }, ...