I'm using RFA (rfa-7.6.0.L1) to get L2 market data.
Is it possible to get more than "five best bid/ask levels"?
Regards,
Petru
Example:
RIC = '000002.SZ' BEST_BID1=27.35 BEST_BID2=27.34 BEST_BID3=27.33 BEST_BID4=27.32 BEST_BID5=27.31 BEST_BSIZ1=83825 BEST_BSIZ2=62600 BEST_BSIZ3=32000 BEST_BSIZ4=39600 BEST_BSIZ5=134800
Hi @petru.marginean,
Yes, you can get the full order book and price book when using the OMM MarketByPrice or MarketByOrder domains. There is a tutorial that will provide instructions and coding samples to do this. You can also refer to the RFA documentation and search for these domains to provide additional details.
