Working with instruments

Steps for fetching a single instrument

To fetch a single Instrument, you:

Instantiating the InstrumentLookup class

The InstrumentLookup class provides several overloaded constructors that let you identify instruments using different sets of criteria. These are listed below along with code snippets showing their use.

Synchronous fetch

Once an InstrumentLookup object has been created, you can simply call the Get() method to perform a synchronous lookup of the instrument as shown below. Note that although this is normally fairly quick, your execution thread will be blocked until this action is complete.

Asynchronous fetch

If you prefer not to be blocked, you can register a callback function to be called once the fetching has been completed as shown below.

After the GetAsync() method of the InstrumentLookup instance is called, TT .NET SDK performs a lookup for the instrument based on the inputs that it are given. Whether the instrument is found or not, the specified event handler method is called. The following code snippet illustrates the structure of this event handler.

Cleaning up

When you shut down your application, you should detach all event handlers and call the Dispose() method for each instance of the InstrumentLookup class as follows:

To fetch all instruments for a single product, you:

Instantiating the InstrumentCatalog class

The InstrumentCatalog class provides several constructors that let you identify a product using specific criteria.

The following code snippet shows how to instantiate an InstrumentCatalog object for the CME ES Future product.

Note

Synchronous fetch

Once an InstrumentCatalog object has been created, you can simply call the Get() method to perform a synchronous lookup of the product’s instruments as shown below. Note that although this is normally fairly quick, your execution thread will be blocked until this action is complete.

Asynchronous fetch

If you prefer not to be blocked, you can register a callback function to be called once the fetching has been completed as shown below.

After the GetAsync() method of the InstrumentCatalog instance is called, TT .NET SDK performs a lookup for the instruments based on the inputs that it is given. Whether the instruments were found or not, the specified event handler method is called. The following code snippet illustrates the structure of this event handler.

Cleaning up

When you shut down your application, you should detach all event handlers and call the Dispose() method for each instance of the InstrumentCatalog class as follows:

TT .NET SDK provides the ability to construct exchange-tradable, user-defined strategies and then submit them to the exchange to be listed. The legs of these strategies can be options, futures, or spreads depending on the exchange.

For an overview of creating strategies in TT, refer to the Strategy Creation Overview in the Trade help.

Note: Currently, TT .NET SDK supports creating strategies on the same exhanges as the Strategy Creation widget except for LME and FEX.

The following code snippet shows the creation of a simple two leg strategy. In this sample, we set the following parameters for the strategy:

All markets supported by TT are listed in the MarketId enumeration.

Note: The market name for Autospreader instruments is “ASE” and the market name for Aggregator instruments is “AGGREGATOR”.

You can also access the full list of markets supported by TT via the MarketCatalog member variable of the TTAPI class. The MarketCatalog class has a member variable named Markets which is a Dictionary of Market instances.

The Market class provides several public members, including:

The MarketCatalog also provides the ability to register for changes to the IsTradingEnabled flag. The following code snippet demonstrates how to register for these event notifications.

All product types supported by TT are listed in the ProductType enumeration.

Note: The product type for Autospreader and Aggregator instruments is “Synthetic”.

The Product class offers a static function that allows you to convert from a string to enumerated value.

Fetching all products for a given market

To fetch all products for a given market, you:

Instantiating the ProductCatalog class

The ProductCatalog class provides the following constructors that let you identify a market using specific criteria.

The following code snippet illustrates how to instantiate this class using a MarketId.

Synchronous fetch

Once an ProductCatalog object has been created, you can simply call the Get() method to perform a synchronous lookup of the products as shown below. Note that although this is normally fairly quick, your execution thread will be blocked until this action is complete.

Asynchronous fetch

If you prefer not to be blocked, you can register a callback function to be called once the fetching has been completed as shown below.

After the GetAsync() method of the ProductCatalog instance is called, TT .NET SDK performs a lookup for the products based on the market that it is given. Whether the products were found or not, the specified event handler method is called. The following code snippet illustrates the structure of this event handler.

Cleaning up

When you shut down your application, you should detach all event handlers and call the Dispose() method for each instance of the ProductCatalog class as follows:

About the Product class

The Product class provides the data as it relates to a given product. Its members include:

The ProductKey struct is a simple collection of the product’s descriptive information. Its constructors and members include:

Note that the ProductId is only populated if the instance is constructed as a result of a product fetch via the ProductCatalog class.

Steps for searching instruments by Query

To search for an Instrument, you must perform the following tasks:

Instantiating the InstrumentSearcher class

The InstrumentSearcher class provides several ways via constructors that let you search instruments by text query using different sets of filters. These are listed below along with code snippets showing their use.

Synchronous search

Once an InstrumentSearcher object has been created, you can simply call the Get() method to perform a synchronous search of the instruments as shown below.

Note: Although this process normally completes fairly quickly, your execution thread will remain blocked until this action completes.

Asynchronous fetch

You can register a callback function to be called once the searching has been completed as shown below.

Note: This approach allows the execution thread to remain unblocked.

After the GetAsync() method of the InstrumentSearcher instance is called, TT .NET SDK performs a search for the instrument based on the given inputs. Whether the instrument is found or not, the specified event handler method is called. The following code snippet illustrates the structure of this event handler.

Cleaning up

When you shut down your application, you should detach all event handlers and call the Dispose() method for each instance of the InstrumentSearcher class as follows:

The Instrument class provides the data as it relates to a given tradable entity. Its members include:

The InstrumentDetails class provides all of the detailed properties of an instrument. Some of its members include:

The InstrumentKey struct is a simple collection of the instrument’s descriptive information. Its constructors and members include:

Note that the InstrumentId is only populated if the instance is constructed as a result of a product fetch via the InstrumentCatalog or InstrumentLookup class.

The ProductDataEvent enumeration defines all of the possible reasons that a lookup of the instrument will succeed or fail. These include:

The Market class represents a tradable market, the TT .NET SDK class represents a tradable product and the Instrument class represents a tradable entity. You cannot create these objects directly. Instead, you must submit a request to fetch this data. By using this model, TT .NET SDK ensures that an instrument’s details are valid before subscribing for prices or submitting orders.