The signature of the methods to which event handler delegates point takes the form:

The first argument is a reference to the request object. As it is passed as a System.Object, you must cast it to the appropriate type of the request object before using it. The following example shows how to cast the request sender as an InstrumentLookup object:

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

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

The TT .NET SDK delivers live market updates to the application through subscriptions associated with the types of data. As with all subscriptions, you must create the subscription object, set any options, register for events, and start the subscription.

Note: In Client Side mode, inside market data (best bid, best, ask, etc.) is coalesced at 35ms and full market depth is coalesced at 80ms. In Server Side mode, market data is uncoalesced.

Note: In Server Side mode, market data subscriptions are throttled at 500 per second and applications are limited to making no more than 15,000 market data subscriptions.

Note: In Server Side mode, applications are limited to making market data subscriptions from no more than 4 unique markets.

Note: The use of TT .NET SDK Server Side mode is not suitable for applications which require Time & Sales. Such applications should use TT Core SDK or TT .NET SDK Client Side

TT’s Options trading tools provide traders with all the tools they need to view and analyze option markets, identify opportunities, and assess position risk. TT’s Advanced Options Package is an add-on that enables options analytics and other powerful tools for viewing and trading options. If you are permissioned for this feature, you can also access the options chain through TT .NET SDK.

Process for creating options chain subscriptions

To create an options chain subscription and start receiving updates, you:

Subscribing for options chains

The following snippet demonstrates how to instantiate an OptionsChainSubscription instance with specifying a low and high strike in the constructor.

Creating the subscription event handler

After the subscription starts, TT .NET SDK retrieves the options chain and invokes the event handler method you registered with the subscription. Subsequent events are then fired as the options chain changes.

The following code snippet shows the structure of a sample options chain subscription event handler method:

Process for creating price subscriptions

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

Warning : TT strongly recommends users maintain their price subscriptions. To prevent issues, users must avoid unsubscribing and immediately resubscribing to market updates.

Subscribing for market data

Typically, you start a price subscription for an Instrument when TT .NET SDK fires the Update event for the InstrumentLookup object you created to find the Instrument.

The following snippet modifies the OnData event handler to start a price subscription for market depth data.

Creating the subscription event handler

After the subscription starts, TT .NET SDK retrieves all of the market data for the Instrument and invokes the event handler method you registered with the subscription. TT .NET SDK fires the FieldsUpdated event with the FieldsUpdatedEventArgs.UpdateType property set to UpdateType.Snapshot for the initial market data snapshot. You can use the PriceSubscriptionFields.GetFieldIds method to process all of market data. Subsequently, when any of the market data fields change, TT .NET SDK sets the FieldsUpdatedEventArgs.UpdateType property to UpdateType.Incremental to indicate that only some of the market data changed. In this case, you can use the PriceSubscriptionFields.GetChangedFieldIds method to retrieve the ids of only the fields whose values changed.

The following code snippet shows the structure of a sample price subscription event handler method.

Extracting market data values

FieldId is an enumerated type defining the set of valid market data fields, such as DirectBidPrice, DirectBidQuantity, etc. When used as an index to extract market data fields from the Fields property of the FieldsUpdatedEventArgs object, it returns a Field object.

To extract the actual value, you can call the FormattedValue property of the tt_net_sdk.Field object, for example:

You can also use the FormattedValue property of the tt_net_sdk.Field object object to reference to the Object storing the value. You can then cast it to its real type. For example:

Alternatively, you can access specific tt_net_sdk.Field values directly without needing to cast the return value, as follows:

Working with the Price class

For efficiency, TT .NET SDK processes and stores prices as integer values. However, you can represent price in different formats, such as Double or String, and in styles such as Ticks. You also might want to perform mathematical calculations with these prices. TT .NET SDK exposes this functionality in the Price object.

The following snippet shows some of the ways you can manipulate prices.

Note

TT .NET SDK guarantees that any Price object returned from a price subscription is a valid object. However, because the underlying value might be invalid or null. To ensure that a price contains a valid value, you should check the Price.IsValid property of the returned object before using its value.

Working with the Quantity class

As quantities can also be expressed in a variety of ways, TT .NET SDK exposes a Quantity class. This class allows you to extract order quantities in Lots and Flow (e.g. Energy contracts). For example:

The Quantity class also supports the increment and decrement operators, which are particularly useful when changing the quantity of a contract that trades in flow.

Note

TT .NET SDK guarantees that any Quantity object returned from a price subscription is a valid object. However, because the underlying value might be invalid or null. To ensure that a quantity contains a valid value, you should check the Quantity property of the returned object before using its value.

Other ways to use the Price and Quantity classes

The Price and Quantity classes also contain a series of useful static methods that allow you to create instances directly. For example, assume your application allows users to enter prices (ps) and quantities (qs) as strings. To convert a string representation of a price to a Price class or a quantity string to a Quantity class for a given Instrument (instr), you could use the static Price.FromString (or Quantity.FromString) method as follows.

Subscribing for time and sales data

Time and Sales subscriptions follow the same pattern as other subscriptions within TT .NET SDK. You create the TimeAndSalesSubscription, attach the event handler, and then start the subscription, as shown in the following example.

Creating the subscription event handler

Because many trades can occur within a short time span, when TT .NET SDK fires the TimeAndSalesSubscription.Update event, it passes a collection of TimeAndSalesData objects in the TimeAndSalesEventArgs event handler parameter, where each object represents a single trade that occurred for this contract. The following code snippet shows the basic structure of a sample callback for the TimeAndSalesSubscription.Update event.