Market data subscription classes

TT .NET SDK provides the following classes to access market data.

• PriceSubscription

  Allows you to subscribe for:

  • Inside Market, which includes fields such as Bid, Bid Quantity, Ask, Ask Quantity, Last, Last Quantity, and so on (client-side mode is coalesced up to 35ms).
  • Market Depth, which includes all Inside Market fields and full market depth (client-side mode is coalesced up to 80ms).
  • Detailed Depth, which includes Market Depth and full details of every order at every price level, if supported by the exchange (client-side mode is coalesced up to 80ms).
  • Trade Data, which includes settle, open, last, close, status, and additional trade data.

This class can be used to subscribe for market data for Autospreader and Aggregator instruments as well.

• TimeAndSalesSubscription

  Allows you to subscribe for non-coalesced LTP and LTQ data.

• OptionsChainSubscription

  Allows you to subscribe to options Greeks.