To create a price subscription and start receiving updates, you:<\/p>\n\n\n\n
Warning<\/em> : TT strongly recommends users maintain their price subscriptions. To prevent issues, users must avoid unsubscribing and immediately resubscribing to market updates.<\/p>\n\n\n\n Typically, you start a price subscription for an Instrument<\/a> when TT .NET SDK fires the Update event for the InstrumentLookup<\/a> object you created to find the Instrument.<\/p>\n\n\n\n The following snippet modifies the OnData<\/a> event handler to start a price subscription for market depth data.<\/p>\n\n\n\n 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<\/a> event with the FieldsUpdatedEventArgs.UpdateType<\/a> property set to UpdateType.Snapshot<\/strong> for the initial market data snapshot. You can use the PriceSubscriptionFields.GetFieldIds<\/a> method to process all of market data. Subsequently, when any of the market data fields change, TT .NET SDK sets the FieldsUpdatedEventArgs.UpdateType<\/a> property to UpdateType.Incremental<\/strong> to indicate that only some of the market data changed. In this case, you can use the PriceSubscriptionFields.GetChangedFieldIds<\/a> method to retrieve the ids of only the fields whose values changed.<\/p>\n\n\n\n The following code snippet shows the structure of a sample price subscription event handler method.<\/p>\n\n\n\n FieldId<\/a> 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<\/a> property of the FieldsUpdatedEventArgs<\/a> object, it returns a Field<\/a> object.<\/p>\n\n\n\n To extract the actual value, you can call the FormattedValue<\/a> property of the tt_net_sdk.Field<\/a> object, for example:<\/p>\n\n\n\n You can also use the FormattedValue<\/a> property of the tt_net_sdk.Field<\/a> object object to reference to the Object storing the value. You can then cast it to its real type. For example:<\/p>\n\n\n\n<\/a>Subscribing for market data<\/h2>\n\n\n\n
void m_instrLookupRequest_OnData(object sender, InstrumentLookupEventArgs e)\n{\n if (e.Event == ProductDataEvent.Found)\n {\n \/\/ Instrument was found\n Instrument instrument = e.InstrumentLookup.Instrument;\n Console.WriteLine(\"Found: {0}\", instrument);\n\n \/\/ Subscribe for market Data\n m_priceSubsciption = new PriceSubscription(instrument, tt_net_sdk.Dispatcher.Current);\n m_priceSubsciption.Settings = new PriceSubscriptionSettings(PriceSubscriptionType.MarketDepth);\n m_priceSubsciption.FieldsUpdated += m_priceSubscription_FieldsUpdated;\n m_priceSubsciption.Start();\n }\n else if (e.Event == ProductDataEvent.NotAllowed)\n {\n Console.WriteLine(\"Not Allowed : Please check your Token access\");\n }\n else\n {\n \/\/ Instrument was not found and TT API has given up looking for it\n Console.WriteLine(\"Cannot find instrument: {0}\", e.Message);\n }\n}\n<\/code><\/pre>\n\n\n\n<\/a>Creating the subscription event handler<\/h2>\n\n\n\n
void m_priceSubscription_FieldsUpdated(object sender, FieldsUpdatedEventArgs e)\n{\n \/\/ Inside market fields\n foreach (FieldId id in e.Fields.GetFieldIds())\n {\n Field f = e.Fields[id];\n \/\/ Put code to process the field here\n }\n Console.WriteLine(\"Ask Depth Snapshot\");\n int askDepthLevels = e.Fields.GetLargestCurrentDepthLevel(FieldId.BestAskPrice);\n for (int i = askDepthLevels - 1; i >= 0; i--)\n {\n Quantity q = e.Fields.GetBestAskQuantityField(i).Value;\n if (Quantity.IsEmpty(q))\n continue;\n Console.WriteLine(\" Level=\" + i + \" Qty=\" + q + \" Price=\" + e.Fields.GetBestAskPriceField(i).Value.ToString());\n int askDetailedDepthLevels = e.Fields.GetLargestCurrentDetailedDepthLevel(FieldId.AskDetailedDepthQuantity, i);\n for (int j = 0; j < askDetailedDepthLevels; j++)\n {\n Quantity qu = e.Fields.GetAskDetailedDepthQuantityField(i, j).Value;\n if (Quantity.IsEmpty(qu))\n continue;\n Console.WriteLine(\" DETAILED DEPTH Level=\" + j + \" Detailed Depth Qty=\" + qu + \" Price=\" + e.Fields.GetBestAskPriceField(i).Value.ToString());\n }\n }\n Console.WriteLine(\"Bid Depth Snapshot\");\n int bidDepthLevels = e.Fields.GetLargestCurrentDepthLevel(FieldId.BestBidPrice);\n for (int i = 0; i < bidDepthLevels; i++)\n {\n Quantity q = e.Fields.GetBestBidQuantityField(i).Value;\n if (Quantity.IsEmpty(q))\n continue;\n Console.WriteLine(\" Level=\" + i + \" Qty=\" + q + \" Price=\" + e.Fields.GetBestBidPriceField(i).Value.ToString());\n int bidDetailedDepthLevels = e.Fields.GetLargestCurrentDetailedDepthLevel(FieldId.BidDetailedDepthQuantity, i);\n for (int j = 0; j < bidDetailedDepthLevels; j++)\n {\n Quantity qu = e.Fields.GetBidDetailedDepthQuantityField(i, j).Value;\n if (Quantity.IsEmpty(qu))\n continue;\n Console.WriteLine(\" DETAILED DEPTH Level=\" + j + \" Detailed Depth Qty=\" + qu + \" Price=\" + e.Fields.GetBestBidPriceField(i).Value.ToString());\n }\n }\n}\n<\/code><\/pre>\n\n\n\nExtracting market data values<\/h1>\n\n\n\n
Field f = e.Fields[id];\nstring s = f.FormattedValue;\n<\/code><\/pre>\n\n\n\nforeach (FieldId id in e.Fields.GetFieldIds())\n{\n Field field = e.Fields[id];\n if (field is PriceField pf)\n {\n Price p = pf.Value;\n }\n else if (field is QuantityField qf)\n {\n Quantity q = qf.Value;\n }\n}\n<\/code><\/pre>\n\n\n\n