|Adjusting Handler Settings|
|Setting Up Feed Engine|
|Handling Issues Like Errors and Warnings|
|Market Data Processing Session|
|Listening to Market Data|
|Trade Order Details|
|Selecting Securities of Interest|
|Using TCP Recovery Facility|
|Replaying Log Files|
Following sections guide through the major steps to be done to succeed with market data processing.
The SDK needs a valid license for successful execution. If the licensing subsystem is not able to find a valid license, it throws an exception at the initialization stage when the OnixS::CME::MDH::initialize is called. Also, a license is verified each time an attempt to start market data processing is done using the OnixS::CME::MDH::Handler::start member.
The OnixS::CME::MDH::InitializationSettings class exposes the OnixS::CME::MDH::InitializationSettings::licenseStore member which must be used to instruct the SDK where to look for a valid license. By default, the licensing services look for a license in the current directory of the application. However, by using noted parameter, it is possible to specify another folder anywhere on file system.
The following example demonstrates how to perform one-time SDK initialization:
The users must define settings affecting market data processing behavior before constructing an instance of the OnixS::CME::MDH::Handler class.
In the most cases, default values are set for parameters defining the most likely behavior of the OnixS::CME::MDH::Handler instance. However, some parameters must be set explicitly before constructing an instance of the OnixS::CME::MDH::Handler class.
See Handler's Settings for more information on adjusting behavior of the Handler.
The OnixS::CME::MDH::FeedEngine class encapsulates a layer responsible for receiving market data which is transmitted by the CME MDP. Therefore, to have successful processing of market data, it is necessary to construct an instance of the Feed Engine and to bind it to the previously constructed instance of the OnixS::CME::MDH::Handler class:
See Feed Engine for more details on Feed Engine.
The Handler may log market data it processes for further use by replay feature or analysis as well as other important events which may take place during regular market data processing.
The OnixS::CME::MDH::Logger abstract class encapsulates the logging subsystem. The SDK provides various implementations of logging for different purposes. File-based logging is satisfactory choise for the most cases.
Below is an example of how file based logging can be established:
Once an instance of the OnixS::CME::MDH::Handler is constructed and bound to an instance of the OnixS::CME::MDH::FeedEngine, market data processing can be started. However, it's necessary to subscribe to corresponding events to get the results of market data processing like updated order books.
See the Event Listeners topic concerning which events are exposed by the Handler and how to subscribe to a particular event.
As soon as an instance of the OnixS::CME::MDH::Handler is configured, bound to a valid instance of the OnixS::CME::MDH::FeedEngine and listeners for events are registered, market data processing can be initiated.
Market data processing is initiated by invoking the OnixS::CME::MDH::Handler::start member, which accepts an instance of OnixS::CME::MDH::SessionSettings class defining the behavior of the Handler for the session.
For the most common processing scenarios, the SDK exposes ready-to-use presets of session settings: OnixS::CME::MDH::AccurateLateJoinSession(), OnixS::CME::MDH::AccuratePreopeningSession, OnixS::CME::MDH::NaturalRefreshSession, etc. See documentation for noted classes for more details.
The OnixS::CME::MDH::Handler::stop member must be called to accomplish live market data processing: