Working with Price Subscriptions

Note Market data subscriptions are throttled at 750 per second and applications are limited to making no more than 15,000 market data subscriptions.

To create a price subscription and start receiving updates, you:

1. Create a class that is derived from ttsdk::IPriceEventHandler and defines your event handler. You must provide implementations for:
   • virtual void OnPriceUpdate(const uint64_t subId, const InstrumentPtr& instrument, const PriceSnap& snap) = 0;
     • Callback delivering price updates
   • virtual void OnError(const uint64_t subId, const InstrumentPtr& instrument, const SubscriptionError code, const char* error) = 0;
     • Callback fired when an error occurs fulfilling a price subscription request
   • virtual void OnDisconnect(const uint64_t subId, const InstrumentPtr& instrument, const PriceEventType type) = 0;
     • Callback fired when an disconnection event happens
   • virtual void OnUnsubscribed(const uint64_t subId) = 0;
     • Callback fired when the unsubscribe request is complete and it is safe to destroy the handler object
2. Call the SubscribePrices() function passing your event handler instance variable.
   • The SubscribePrices() function allows you to specify whether to wish to optionally receive:
     • market depth
     • exchange calculated and disseminated implied prices
     • TT calculated and disseminated implied prices
     • TT’s simulation price stream

The following code snippet demonstrates an example of this process.

class PriceObserver : public ttsdk::IPriceEventHandler
{
  public:
        PriceObserver() {}

      virtual void OnPriceUpdate(const uint64_t subId, 
              const ttsdk::InstrumentPtr& instrument, const ttsdk::PriceSnap& snap)
      {
              std::cout GetAlias() GetAlias()