Subscription Types and Market Data updates
The struct SubscriptionType represents a bit mask of subscription types. The following subscription types are available:
Real_TimeConflatedMarket_By_Order_FullMarket_By_Price_2Market_By_Price_5NewsSecurity_StatusStatisticsTop_Of_BookTradesTrades_With_AggressorEmpty
A valid subscription should have either the Real_Time or Conflated flag set, followed by one or more flags set.
For example, a valid subscription could be Real_Time | Market_By_Price_5 | Trades. This subscription would send real time data for the top 5 price levels, trades, and trading status.
Another valid subscription would be Conflated | Top_Of_Book | Trades, in which the top of book updates would be relayed to clients at a constant conflation time, and trades would be sent in real time.
Details on subscription flags and Market Data updates
Market_By_Order_Full
Only supported for Real_Time subscriptions.
- InstrumentSnapshotEventDataReceived once at start of subscription
- FullMarketByOrderSnapshotEventDataReceived once at start of subscription
- IncrementalUpdateEventDataReceived at every update
Market_By_Price_2
Supported for both Real_Time and Conflated subscriptions.
- InstrumentSnapshotEventDataReceived once at start of subscription
- L2MarketByPriceSnapshotEventDataReceived at each conflation tick
Market_By_Price_5
Supported for both Real_Time and Conflated subscriptions.
- InstrumentSnapshotEventDataReceived once at start of subscription
- L5MarketByPriceSnapshotEventDataReceived at each conflation tick
Top_Of_Book
Supported for both Real_Time and Conflated subscriptions.
- InstrumentSnapshotEventDataReceived once at start of subscription
- TopOfBookEventDataReceived at every update (real time) or whenever the data has changed (conflated)
News
Supported for both Real_Time and Conflated subscriptions. However updates are always sent in real time.
- NewsEventDataReceived at every update
Trades
Supported for both Real_Time and Conflated subscriptions. However updates are always sent in real time.
- TradeEventDataReceived at every update
- TradeWithAggressorEventDataReceived at every update
- TradeBustEventDataReceived at every update
- ForwardTradeEventDataReceived at every update
Security_Status
Supported for both Real_Time and Conflated subscriptions. However updates are always sent in real time.
Statistics
- OpeningPriceEventDataReceived
- TheoreticalOpeningPriceEventDataReceived
- ClosingPriceEventDataReceived
- LowPriceEventDataReceived
- HighPriceEventDataReceived
- QuantityBandEventDataReceived
- AuctionImbalanceEventDataReceived
- PriceBandEventDataReceived
- ExecutionSummaryEventDataReceived
- ExecutionStatisticsEventDataReceived