We give a complete classification of integrable Markovian boundary conditions for the asymmetric simple exclusion process with two species (or classes) of particles. Some of these boundary conditions lead to non-vanishing particle currents for each species. We explain how the stationary state of all these models can be expressed in a matrix product form, starting from two key components, the Zamolodchikov-Faddeev and Ghoshal-Zamolodchikov relations. This statement is illustrated by studying in detail a specific example, for which the matrix Ansatz (involving 9 generators) is explicitly constructed and physical observables (such as currents, densities) calculated.