Limited Level-2 Market by Price Data Model (Domain = MP)

cdefusco
cdefusco
in EMA

Using the object thomsonreuters::ema::access::ReqMsg in EMA C++ how can I require a Limited Level-2 Market by Price Data Model ?
Aside from set the domain type to MMT_MARKET_BY_PRICE, which other parameters I need to set to have a Limited Level 2 using this domain?

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Best Answer

  • umer.nalla
    umer.nalla
    Answer ✓

    Hi @cdefusco

    Can you please explain what you mean by Limited?

    Do you mean top of order book e.g. top 10 or 20 orders?

    The purpose of the MarketByPrice Domain is to provide Full order book depth.

    If you want to obtain top of order book, then I recommend you contact the Content helpdesk to check if there are any appropriate RICs that provide the top of order book for your particular instruments. Note that this will be a MarketPrice domain and possibly in a Chain format - depending on the depth.

    Example MarketByPrice - note field names ORDER_PRC, ORDER_SIDE, ACC_SIZE etc.

    image

    Example top of orderbook - note field names BEST_BID1, BEST_BSIZ1, BEST_ASK1, BEST_ASIZ1 etc.

    image

    The above top of order book is just an example - the actual field names etc may vary depending on the asset class, exchange etc.

    If top of orderbook / limited orderbook is not available for your instruments, then you could obtain the full depth with a MarketByPrice request and then sort the book as described in this article - if required.

Answers

  • cdefusco
    cdefusco

    I refer to these kind of messages indicated here (in this case my interest is for Eurex Market).

    image

  • umer.nalla
    umer.nalla

    Hi @cdefusco

    As explained in my post above, if you refer to the 2nd image in my post and also the top of the image you posted, you will note that these are MMT_MARKET_PRICE domain.

    image

  • cdefusco
    cdefusco

    If I understand well, to obtain data similar to your first image (ORDER_PRC, ORDER_SIDE, ACC_SIZE etc.) I need to set as domain MMT_MARKET_BY_PRICE, otherwise to obtain data (BEST_BID1, BEST_BSIZ1, BEST_ASK1, BEST_ASIZ1 etc.) similar to your second image (and my posted image) I need to set as domain MMT_MARKET_PRICE.

    Right?

    However, Reading your article now is all more clear.

  • umer.nalla
    umer.nalla

    Hi @cdefusco

    Your understanding is correct - to a point. However, you need to understand that the RIC code with the relevant domain will differ. For example using:

    • 7230.T with MARKET_PRICE will return Quote and Trade data - it will not return top of order book data
    • 7230.T with MARKET_BY_PRICE will return Full Depth Order book data
    • D7203.T with MARKET_PRICE will return top of order book data

    In other words, the RIC code for top of order book will differ from the Quote and Trade RIC.

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