How can I retrieve multiple order book levels (bid/ask) using the lseg-data library?

AlexisNL

I have installed the lseg.data package in Python to retrieve LSEG data. To do so, I am using: ld.content.pricing.Definition(universe=["EUR="], fields=["BID", "ASK", "BID_2", "ASK_2", "BID_3", "ASK_3", ...]).

However, it seems that only the first two levels of bid and ask are available. Regarding my implementation, please note that I created a stream using ld.content.pricing.Definition().get_stream(), opened the stream, and then called stream.get_snapshot(). Also, please note that I do not have access to (or am not calling) ld.content.pricing.Definition().get_data().

Since the fields beyond Level 2 do not seem to populate in my snapshot, do you have an alternative solution or a different API/definition to fix this issue? I would like to retrieve as many bid/ask levels as possible (ideally a full depth/L2 book). Thank you.

Jirapongse

@AlexisNL

Thank you for reaching out to us.

This method is used to retrieve real-time streaming data using RICs. By default, it subscribes to the Level 1 Market Price domain.

The library can also be used to retrieve Level 2 Market By Order and Level 2 Market By Price data. However, you must know the RICs that provide the required data.

Based on my review, I could not find any FOREX RICs that provide Level 2 Market By Order data. To verify this, please contact the content support team directly through LSEG Support.

Alternatively, you can reach out to your LSEG account team or sales representative to confirm whether this requirement can be supported.