TT CORE SDK

Working with Price Subscriptions

Working with Price Subscriptions

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

  1. Create a class that is derived from ttsdk::IPriceEventHandler and defines your event handler. You must provide implementations for:
    • virtual void OnPriceUpdate(const uint64_t subId, const InstrumentPtr& instrument, const PriceSnap& snap) = 0;
      • Callback delivering price updates
    • 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 SubscribePrices() function passing your event handler instance variable.
    • The SubscribePrices() function allows you to specify whether to wish to optionally receive:
      • market depth
      • exchange calculated and disseminated implied prices
      • TT calculated and disseminated implied prices
      • TT’s simulation price stream

The following code snippet demonstrates an example of this process. 


class PriceObserver : public ttsdk::IPriceEventHandler
{
public:
  PriceObserver() {}
  
  virtual void OnPriceUpdate(const uint64_t subId, 
                             const ttsdk::InstrumentPtr& instrument, 
                             const ttsdk::PriceSnap& snap)
  {
    std::cout << “Price snapshot 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 << "Prices disconnected for subscription for instrument:" 
              << instrument->GetAlias() << " subid=" << subId << std::endl;
  }

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

};

void foo()
{
// ...

  PriceObserver prcObserver;
  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::SubscribePrices(instrument, 10, true, true, false, 
                                  &prcObserver);
    std::cout << "Subscription id=" << subId << std::endl; 
  }

// ...
}

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The Instrument Class

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Working with Time and Sales Subscriptions