How do I get Level 2 multiple bids/offers for the same price level using Java SFC library?

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How do I get Level 2 multiple bids/offers for the same price level

using Java SFC library? I am only seeing BEST_ASK1-ASK10, BEST_BID1-BID10 which are different price levels. Are these consolidated? Judgin by small sizes for each price level it does not look like it. I want ot see all liquidity at each particular price level please?

Thank you,

-Max

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Best Answer

  • Jonathan Haruni - Refinitiv
    Jonathan Haruni - Refinitiv
    Answer ✓

    The SFC API provides 10 price levels. If you want them all you should use our newer Elektron SDK. It can be downloaded from this site and includes sample code showing how to consume order book data. Make sure to log in to this site before trying to download the SDK.

Answers

  • Gurpreet
    Gurpreet

    You will need to subscribe to Market by Order (OrderBook) which is delivered in OMM datatype. Use a newer API like EMA or RFA to subscribe to it.

  • Thomas P. Fuller
    Thomas P. Fuller

    @Max Avramenko If you're interested in using RFA we provide an api which delivers Market By Order functionality and a data model that you can work with or just borrow ideas from here.

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