Not able to receive level2 data for RIC AEV.PS using MP domain

mktdata
mktdata
in TREP APIs

Hello, I am using Refinitiv real time data feed (TREP) to consume level2 market data using C++ api. I tried to request level2 data for RIC AEV.PS using "MP" domain but did not receive any data.. May I know why I am not receiving the data?

Tagged:

Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @mktdata

    If you mean getting the legacy level 2 market price data, you can subscribe to AEV.PSd. It will return the following fields.

    1660096518114.png

    However, it is better to use either the Market By Order (MBO) or Market By Price (MBP) domain instead, as mentioned by my colleague.

Answers

  • Gurpreet
    Gurpreet

    Hi @mktdata,

    MP is MarketPrice a.k.a level 1 data and not level 2, and there is L1 data available for this RIC - AEV.PS. If you want level 2, the domain to use is either MBO or MBP - either or both may/may not be available for this RIC.

  • Gurpreet
    Gurpreet

    Which C# API are you using? I could get the OrderBook data for this RIC using the MarketByOrder domain. I used the semantic described in this websocket tutorial.

     [
      {
        "Complete":false,
        "Domain":"MarketByOrder",
        "ID":2,
        "Key":{
          "Name":"AEV.PS",
          "Service":"ELEKTRON_DD"
        },
        "Map":{
          "CountHint":241,
          "Entries":[
            {
              "Action":"Add",
              "Fields":{
                "ORDER_ID":"202208040000004887",
                "ORDER_PRC":61.75,
                "ORDER_SIDE":"ASK",
                "ORDER_SIZE":200,
                "PR_TIM_MS":0
              },
              "Key":"MjAyMjA4MDQwMDAwMDA0ODg3"
            },
            {
              "Action":"Add",
              "Fields":{
                "ORDER_ID":"202207150000011452",
                "ORDER_PRC":47.0,
                "ORDER_SIDE":"BID",
                "ORDER_SIZE":20000,
                "PR_TIM_MS":0
              },
              "Key":"MjAyMjA3MTUwMDAwMDExNDUy"
            },
    ...



  • mktdata
    mktdata

    @Jirapongse , thanks for spot on suggestion. I have two queries though -

    1. Where I can read about difference between using "MP' domain for level1 and legacy level2? Does "MP" domain for level1 produce different data than yours?

    2. I have a pdf called "TR_RIC_Level_2_Data_-_Global_Exchanges_-_All_Instruments.pdf" with me that explains different prefix/suffix to add to get level 2 data but for given symbol AEV.PS(Philippine exchange), they didn't mention to add suffix "d". Is there any update to that document? If you check the attachment, one of your representative provided below screen shot according to it, "AEV.PS" should pull "MP" domian level2 data. isn't it?

    1660104221120.png

  • Jirapongse
    Jirapongse

    @mktdata

    Please contact the content support team directly via MyRefinitiv to clarify the differences between using "MP' domain for level1 and legacy level2.

    I got AEV.PSd when subscribing to 0#AEV.PS.

    1660111742024.png

    Typically, one of them provides the legacy level 2 data.

    You may also contact the content support team for more information.

Categories