Class MdClientSession

Namespace: Tooq.Tech.FH.ClientLib

Assembly: Tooq.Tech.FH.ClientLib.dll

Class that encapsulates the Market Data Session. This class is the main entry point for the client library. The events exposed by this class use a special delegate (EventHandlerByRef) to reduce allocations when passing the protocol message (struct) to the client.

public class MdClientSession : IDisposable

Inheritance: object

MdClientSession

Implements: IDisposable

Inherited Members: object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Constructors

MdClientSession(SessionConfiguration, ILogger?): Constructor

Properties

Id: The unique identifier of the session.

IsConnected: Boolean indicating if the session is connected

SessionConfiguration: The configuration of the session.

Methods

Connect(): Connects to the server and starts the session.

Disconnect(): Disconnects from the server and stops the session.

Dispose(): Dispose method

GetBrokerList(string, TimeSpan?): Request a list of brokers from the connected feed handler instance

GetLastPrice(List<ulong>, TimeSpan?): Request the last price for a list of securities

GetOrderbookSnapshot(ref InstrumentId, TimeSpan?): Gets an instant full orderbook snapshot from a given instrument.

GetSecurityList(TimeSpan?): Request the security list from the connected feed handler instance

GetTopOfBook(List<ulong>, TimeSpan?): Request the top of book data for a list of securities

Login(string, string, string, TimeSpan?): Initial request that will authenticate the client. Only after a successful login the client will be able to request and receive data updates.

RequestAuctionUpdatesSubscription(string, TimeSpan?): Subscribe to auction updates from the feed handler instance. This subscription will raise events with AuctionEventData objects whenever any security from the feed handler enters/leaves auction state. Expect a large number of events during market open or market close.

RequestCancelSubscription(Guid, TimeSpan?): Cancel a subscription.

RequestChangeSubscription(Guid, SubscriptionType, ChangeType, TimeSpan?): Change the subscription type of a subscription. Since the subscription type is a bitwise flag, flags from the parameter subscriptionType will be added or removed to the subscription given the changeType parameter value. Be aware that invalid flag combinations will trigger an error and the subscription will not be changed.

RequestMultipleSubscription(List<ulong>, SubscriptionType, uint?, TimeSpan?): Request a subscription to multiple securities at the same time.

RequestNewsSubscription(string, TimeSpan?): Subscribe to market news updates from the feed handler instance.

RequestSubscription(ref InstrumentId, SubscriptionType, uint?, TimeSpan?): Request a subscription to a security to receive updates.

SendHeartbeat(TimeSpan?): Sends a heartbeat to server to keep conenction alive.

Events

AuctionEventDataReceived: Event that is fired whenever there are status updates for instruments regarding auctions.

AuctionImbalanceEventDataReceived: Event that is fired whenever there are auction imbalance updates for a given instrument. This message replicates the corresponding SBE message. Consider utilizing AuctionEventData for simplified auction updates.

ChannelResetEventDataReceived: Event that is fired whenever a channel is reset. Clients must be able to retrieve all instruments from a given channel and clear the orderbook, as well as other data. See UMDF Binary Docs .

ClosingPriceEventDataReceived

Connected: Event that is fired when the session is connected to the server.

Connecting: Event that is fired when the session is connecting to the server.

Disconnected: Event that is fired when the session is disconnected from the server.

Disconnecting: Event that is fired when the session is disconnecting from the server.

EmptyBookEventDataReceived: Event that is fired when all bid orders, ask orders, or orders from both sides for a given instrument have been deleted.

ErrorDetected: Event that is fired when the session has detected a connection error.

ExecutionStatisticsEventDataReceived: Event that is fired whenever a trade occurs for a given instrument. This message replicates the corresponding SBE message.

ExecutionSummaryEventDataReceived: Event that is fired whenever a trade occurs for a given instrument. This message replicates the corresponding SBE message.

ForwardTradeEventDataReceived: Event that is fired whenever a forward trade occurs for a given instrument. This message replicates the corresponding SBE message.

FullMarketByOrderSnapshotEventDataReceived: Event that is fired whenever a client subscribes to a full market by orderbook for a given instrument.

HighPriceEventDataReceived: Event that is fired whenever there are high price updates for a given instrument. This message replicates the corresponding SBE message.

IncrementalUpdateEventDataReceived: Event that is fired whenever there are incremental changes to the orderbook for a given instrument. Received only for realtime, full market by order subscriptions.

InstrumentSnapshotEventDataReceived: Event that is fired whenever a subscription is made for an instrument, bringing in reference data for the instrument as well as trading status and statistics.

L10MarketByPriceSnapshotEventDataReceived: Event that is fired whenever there are changes to the top 10 levels of the price aggregated orderbook for a given instrument.

L2MarketByPriceSnapshotEventDataReceived: Event that is fired whenever there are changes to the top 2 levels of the price aggregated orderbook for a given instrument.

L5MarketByOrderSnapshotEventDataReceived: Event that is fired whenever there are changes to the top 5 levels of the orderbook for a given instrument.

L5MarketByPriceSnapshotEventDataReceived: Event that is fired whenever there are changes to the top 5 levels of the price aggregated orderbook for a given instrument.

LastTradePriceEventDataReceived: Event that is fired whenever a trade occurs for a given instrument. This message replicates the corresponding SBE message.

LowPriceEventDataReceived: Event that is fired whenever there are low price updates for a given instrument. This message replicates the corresponding SBE message.

NewsEventDataReceived: Event that is fired whenever news are broadcast.

OpeningPriceEventDataReceived: Event that is fired whenever there are opening price updates for a given instrument. This message replicates the corresponding SBE message.

PriceBandEventDataReceived

QuantityBandEventDataReceived: Event that is fired whenever there are quantity band updates for a given instrument. This message replicates the corresponding SBE message.

SecurityDefinitionEventDataReceived: Event that is fired whenever securities are created or modified during the trading period. This message replicates the corresponding SBE message.

SecurityGroupPhaseEventDataReceived

SecurityStatusEventDataReceived

TheoreticalOpeningPriceEventDataReceived: Event that is fired whenever there are theoretical opening price updates (auction) for a given instrument. This message replicates the corresponding SBE message. Consider utilizing AuctionEventData for simplified auction updates.

TopOfBookEventDataReceived: Event that is fired whenever there are changes to the top of the book for a given instrument.

TradeBustEventDataReceived: Event that is fired whenever a trade bust for a given instrument. This message replicates the corresponding SBE message.

TradeEventDataReceived: Event that is fired whenever a trade occurs for a given instrument. This message replicates the corresponding SBE message.

TradeWithAggressorEventDataReceived: Event that is fired for any trade received to a subscribed instrument. The message carries the aggressor side of the trade.

Table of Contents

Class MdClientSession

Constructors

Properties

Methods

Events