TT CORE SDK

Working with Price Subscriptions

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 << “Price snapshot received.” << std::endl;
      }

      virtual void OnError(const uint64_t subId, const ttsdk::InstrumentPtr& instrument, 
              const ttsdk::SubscriptionError code, const char* error)
      {
              std::cout << "Error [" << error  << "] occurred for instrument:" 
                      << instrument->GetAlias() << " subId=" << subId 
                      << " code=" << (int)code << std::endl;
      }

      virtual void OnDisconnect(const uint64_t subId, 
              const ttsdk::InstrumentPtr& instrument, const ttsdk::PriceEventType type)
      {
              std::cout << "Prices disconnected for subscription for instrument:" 
                      << instrument->GetAlias() << " subid=" << subId << std::endl;
      }

      virtual void OnUnsubscribed(const uint64_t subId) 
      {
              std::cout << "Price observer for subId=" << subId 
                      << " has been successfully unsubscribed. " << std::endl;
      }        
};

void foo()
{
        // …

        PriceObserver prcObserver;

        ttsdk::Instrument::ResponseCode respCode;
        ttsdk::MarketId market = ttsdk::MarketId::CME;
        std::string product = “GE”;
        ttsdk::ProductType productType = ttsdk::ProductType::Future;
        std::string alias = "GE Sep28";
        ttsdk::InstrumentPtr instrument = ttsdk::GetInstrument(market, product.c_str(),
                  productType, alias.c_str(), respCode);
        if (!instrument)
        {
          std::cout << "Unable to find instrument with alias = “ << alias << std::endl;
        }
        else
        {
          uint64_t subId = 0;
          subId = ttsdk::SubscribePrices(instrument, 10, true, true, false, &prcObserver);
          std::cout << "Subscription id=" << subId << std::endl; 
        }

          // ...
}

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The Instrument Class

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Working with Time and Sales Subscriptions