MM files download

Ayan
Ayan
in TRTH

We are looking to download Market by Maker files. What API do we need to use. Attaching a code snippet for MBO. I believe it will not a lot of differences between MBO and MM.

allcom.txt

allricsfile.txt

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Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    To request raw Market Maker data, you just change the value of View from RawMarketByOrder to RawMarketMaker.

    {
      "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
        "IdentifierList": {
          "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
          "InstrumentIdentifiers": [
            {
              "@odata.type": "#ThomsonReuters.Dss.Api.Search.HistoricalSearchResult",
              "Identifier": "AAPC.O",
              "IdentifierType": "Ric"
            }
          ],
          "ValidationOptions": {
            "AllowHistoricalInstruments": true
          }
        },
        "Condition": {
          "View": "RawMarketMaker",
          "MessageTimeStampIn": "GmtUtc",
          "ReportDateRangeType": "Range",
          "QueryStartDate": "2017-08-07T00:00:00.000Z",
          "QueryEndDate": "2017-08-07T23:59:59.000Z",
          "DisplaySourceRIC": true
        }
      }
    }

    As mentioned by Rakesh.Singh, MM data is only available for the NASDAQ Consolidated exchanges i.e. NAQ, NSQ and NMQ.

    All valid options for View are:

    <EnumType Name="TickHistoryMarketDepthViewOptions">
    <Member Name="RawMarketByPrice" Value="0"/>
    <Member Name="RawMarketByOrder" Value="1"/>
    <Member Name="RawMarketMaker" Value="2"/>
    <Member Name="LegacyLevel2" Value="3"/>
    <Member Name="NormalizedLL2" Value="4"/>
    </EnumType>

Answers

  • Rakesh.Singh
    Rakesh.Singh

    Hi Ayan

    That's right. Requests for MM (Market Makers) will be very similar to requests for MBO data. Please keep in mind that MM data is only available for the NASDAQ Consolidated exchanges i.e. NAQ, NSQ and NMQ.

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