TT CORE SDK

Working with Time and Sales Subscriptions

Working with Time and Sales Subscriptions

To create a Time and Sales subscription and start receiving updates, you:

  1. Create a class that is derived from ttsdk::ITimeSalesEventHandler and defines your event handler. You must provide implementations for:
    • virtual void OnTimeSalesUpdate(const uint64_t subId, const InstrumentPtr& instrument, const TimeSales& ts) = 0;
    • Callback fired when trades occur in the market
    • 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 SubscribeTimeAndSales() function passing your event handler instance variable.
    • The SubscribeTimeAndSales() function allows you to specify whether to wish to optionally receive TT’s simulation price stream.

The following code snippet demonstrates an example of this process.



class TSObserver : public ttsdk::ITimeSalesEventHandler
{
  public:
      TSObserver() {}

      virtual void OnTimeSalesUpdate(const uint64_t subId, 
              const ttsdk::InstrumentPtr& instrument, const ttsdk::TimeSales& ts)
      {
              std::cout << “Time and Sales event 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 << "TimeAndSales disconnected for subscription for instrument:" 
                      << instrument->GetAlias() << " subid=" << subId << std::endl;
      }

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


void foo()
{
        // …

        TSObserver tsObserver;

        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::SubscribeTimeAndSales(instrument, false, &tsObserver);
          std::cout << "Subscription id=" << subId << std::endl; 
        }
      
        // ...
}