In RDP API, how do we retrieve exchanges' level 2 market data which are in MBP (Market by Price) and MBO (Market by Order)?
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To access level 2 data, you would need a licence/access to a real-time streaming data service such as Refinitiv Real-Time Optimised - do you have a MachineID - which looks something like : GE-A-01103123-3-1234?
If you do have access to the above, then you can refer to the relevant tutorials e.g.
Websocket API Level 2 Tutorials
A few useful articles and examples:
https://developers.refinitiv.com/en/article-catalog/article/consuming-order-book-level-2-data-with-elektron-websocket-api
https://developers.refinitiv.com/en/article-catalog/article/how-sort-process-level-2-orderbook-data-using-ema-c-api
Github Examples using the RD Libraries:
Example.DataLibrary.Python/EX-3.02.02-OMMStream-MarkeByPrice.ipynb at main · Refinitiv-API-Samples/Example.DataLibrary.Python · GitHub
Example.DataLibrary.DotNet/src/3. Delivery/3.1-Streaming/3.1.02-Streaming-MarketByPrice at main · Refinitiv-API-Samples/Example.DataLibrary.DotNet · GitHub
