MarketByPrice fields - B3 data

salih.gonullu
salih.gonullu
in FX Market Data

Dear team,


I am getting full book from exchange B3 data in Refinitiv OMMItemStream class using this code, with domain MarketByPrice:


futures = rdp.OMMItemStream(session = session,name="DOLG23",domain = "MarketByPrice, on_refresh = lambda euro, event : display_event("Refresh", event),on_update = lambda euro, event : display_event("Update", event),on_status = lambda euro, event: display_event("Status", event))

futures.open()


The display_event function is implemented below:


def display_event(eventType, event):

currentTime = datetime.datetime.now().time()

print("----------------------------------------------------------")

print(">>> {} event received at {}".format(eventType, currentTime))

print(event)

return


And, as a result, a piece of the output is:


>>> Refresh event received at 15:26:51.287372

{'ID': 3, 'Type': 'Refresh', 'Domain': 'MarketByPrice', 'Key': {'Service': 'ELEKTRON_DD', 'Name': 'DOLG23'}, 'State': {'Stream': 'Open', 'Data': 'Ok', 'Code': 'UnsupportedViewType'}, 'Complete': False, 'Qos': {'Timeliness': 'Realtime', 'Rate': 'JitConflated'}, 'PartNumber': 0, 'PermData': 'AwEBZxnA', 'SeqNumber': 25440, 'Map': {'KeyType': 'Buffer', 'Summary': {'Fields': {'PROD_PERM': 6719, 'DSPLY_NAME': 'BMF USDBRL FEB3', 'CURRENCY': 'BRL', 'ACTIV_DATE': '2023-01-05', 'LOT_SIZE_A': 50000, 'RECORDTYPE': 114, 'RDN_EXCHD2': 'BMF', 'PROV_SYMB': 'DOLG23', 'PR_RNK_RUL': 'NOR', 'OR_RNK_RUL': 'PTS ', 'MNEMONIC': 'DOL', 'TRD_TYPE': '17', 'CONTEXT_ID': 3224, 'DDS_DSO_ID': 8409, 'SPS_SP_RIC': '.[SPSBMF01L2', 'BOOK_STATE': 'N', 'HALT_REASN': '2', 'ORD_ENT_ST': 'E', 'MKT_OR_RUL': 'I', 'TRD_STATUS': 'N ', 'HALT_RSN': ' ', 'DELBY_DT': None, 'SEE_RIC': None, 'PERIOD_CD2': '17', 'INST_PHASE': 'T ', 'L2_REPR': 'MBP-D ', 'ORDBK_DEPH': 'FB ', 'TIMACT_NS': '14:26:49.261', 'DBOR_DM_TP': None, 'VEH_PERMID': None, 'MAS_ID': None}}, 'CountHint': 307, 'Entries': [{'Action': 'Add', 'Key': 'NTQ0My41QQ==', 'Fields': {'ORDER_SIDE': 'ASK', 'ORDER_PRC': 5443.5, 'ACC_SIZE': 60, 'NO_ORD': 10, 'LV_TIM_MS': 52003059, 'LV_DATE': '2023-01-05'}}, {'Action': 'Add', 'Key': 'NTM2MC4wQg==', 'Fields': {'ORDER_SIDE': 'BID', 'ORDER_PRC': 5360.0, 'ACC_SIZE': 5, 'NO_ORD': 1, 'LV_DATE': '2023-01-05', 'LV_TIM_MS': 49118579}}, {'Action': 'Add', 'Key': 'NTU5OC4wQQ==', 'Fields': {'NO_ORD': 1, 'ACC_SIZE': 5, 'ORDER_PRC': 5598.0, 'ORDER_SIDE': 'ASK', 'LV_TIM_MS': 43250009, 'LV_DATE': '2023-01-05'}}, {'Action': 'Add', 'Key': 'NTQ2NS4wQQ==', 'Fields': {'ORDER_SIDE': 'ASK', 'ORDER_PRC': 5465.0, 'ACC_SIZE': 15, 'NO_ORD': 3, 'LV_TIM_MS': 49868825, 'LV_DATE': '2023-01-05'}}, {'Action': 'Add', 'Key': 'NTQxNS41Qg==', 'Fields': {'NO_ORD': 3, 'ACC_SIZE': 15, 'ORDER_PRC': 5415.5, 'ORDER_SIDE': 'BID', 'LV_TIM_MS': 51930733, 'LV_DATE': '2023-01-05'}}, {'Action': 'Add', 'Key': 'NTM4NS41Qg==', 'Fields': {'NO_ORD': 1, 'ACC_SIZE': 5, 'ORDER_PRC': 5385.5, 'ORDER_SIDE': 'BID'}}


I would like to know the amount of each bid/ask per level in the book. Could you please confirm if the ACC_SIZE is the number of contract in each quote? Or it’s volume in some measure? Because it comes always as a multiple of 5 and I didn’t find this specific information in the documentation I have. If you have any documentation that provides the information between B3 and Refinitiv, it would be very helpful for us (on B3 documentation they use another fields).


Thank you very much in advance,

Salih

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Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @salih.gonullu

    Thanks for reaching out to us.

    According to the question, you can use the RDP library to retrieve the data properly but you have questions about the retrieved content.

    I found the description of the ACC_SIZE field in the Data Model Discovery tool.

    1673237357784.png

    For more information, please contact the content support team directly via MyRefinitv.

    The support team will either have the required content expertise ready and available or can reach out to relevant content experts to get the answer for you.


Answers

  • wasin.w
    wasin.w admin

    Hello @salih.gonullu

    Thank you for contacting us. Please be informed that each exchange, data feed, and RIC has different data fields and behavior.

    Unfortunately, we are not the data or content experts, so I highly recommend you contact the Content support team directly to help you with this Market Price content question.

    You can contact the team via https://my.refinitiv.com/content/mytr/en/helpandsupport.html website.

    content-questions-3.png

    Hope this helps.

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