Market depth service
The Market Depth service is subscription-based and allows the subscription to all levels of market depth data. From this service user can obtain both "Market By Order" (MBO) and aggregated Market By Level (MBL) data books. Adapter supports DEPTH/ORDERBOOK stream type of books and performed the corresponding action on that.
Example: Symbol is "TT314347@UKRB" and CtrlParams parameter "YELLOW_KEY":"corp"
for Depth | //blp/mktdepth/ticker/TT314347@UKRB corp?type=MBL" |
for ORDERBOOK | //blp/mktdepth/ticker/TT314347@UKRB corp?type=MBO" |
To support the market depth service you must enable the transport configuration property (SupportLegacyMarketDepthService).