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Need L1 Bid/Ask Price In on_trade() callback

Dustin_LangDustin_Lang Posts: 25
edited March 2017 in Under The Hood

Is there a way while in 'on_trade' to fetch the L1 price of that symbol on a different exchange ?

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Comments

  • shayneshayne Posts: 70

    L1 is from the SIP data feed, which is a consolidated from all the exchanges. We do not maintain the L1 by exchange.

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