MarketDepth (Level II) data through the Eikon python API

timothy.delise

I am working with Eikon through the python API.

I want to get historical chunks of MarketDepth (level II) data and also I need the same data in real-time streaming to create the real-time trade signals. I don't see anything about Market Depth data listed on the Eikon python API documents. It is possible through the Eikon python API?

umer.nalla

Hi @timothy.delise

You can only access Level 1 data or partial Level 2 data via Eikon.

If you want full depth Real-Time streaming Level 2 data, you would need access to an Elektron feed - either via deployed feed at your organisation or our cloud-based Refinitiv Real-Time Optimised service. You can discuss these options further with your Refinitiv Account team.

Once you have access to the above data sources, you could use the Python RD Library to consume the Full Depth order book data e.g. as demonstrated in Example.DataLibrary.Python/TUT_3.1.02-OMMStream-MarketByPrice.ipynb at main · Refinitiv-API-Samples/Example.DataLibrary.Python (github.com)

zoya faberov

Hello @timothy.delise ,

Please refer to this previous discussion thread and this previous discussion thread.

Hope that this information helps, let us know