Subscribing To Multicast Groups

Product Identification

ICE provides many market types available for subscription. The full list is available in the Supported Market Types on ICE API document. Please use a value in the first column, ID, as a value for the first constructor's argument of OnixS::ICE::iMpact::MarketData::MarketSubscription.

When you don't know which market type ID should be used you can check this on All Futures, Options, OTC Products & Physicals site. There are many products available so you can review and select what you need. After this you can click Product Codes to get information about the mapping and find the market type name. With this information you can easily determine which market type ID should be used using Market Type Name column in the Supported Market Types on ICE API document.

Creating a Subscription

The ICE iMpact multicast groups are currently defined based on a set of products (such as Europe Futures Oil) and depth of book (Full Order Depth, Top 5 Price Level). The Handler exposes the flexibility of subscribing to the multicast groups that are best suited to customers individual needs.

Subscribing is a way to start receiving Multicast Price Feed market data. To subscribe to certain multicast groups as well as to select which type of books must be maintained by the Handler, an instance of OnixS::ICE::iMpact::MarketData::MarketSubscriptions collection must be created and filled with items.

Once the instance of a blank collection is created, subscriptions for a particular market type can be added. This can be achieved by pushing items of type OnixS::ICE::iMpact::MarketData::MarketSubscription into the collection. Each added item identifies the type of market to which subscription will be performed and kinds of books which the Handler is supposed to build and update while maintaining a subscription.

Depending on security type the following order book depths are available:

Security Type	Order Book Depth
Futures	TOP5PL or FOD
UdsFuturesMarkets	TOP5PL or FOD
Options	TOB or TOP10PL
UdsOptionsMarkets	TOB or TOP10PL

Implied Prices

ICE offers two types of prices: implied and non-implied. You can use OnixS::ICE::iMpact::MarketData::MarketSubType enum to specify desired market sub-type. Depending on your choice and if the implied multicast group is available you will be using one multicast group for implied prices and another for non-implied.

Note

The regular FOD channel still sends out implied prices but just for the front months. The FOD Full Implied channel sends for all.

Filtering

It is possible to specify one or more market ID for each market subscription using OnixS::ICE::iMpact::MarketData::MarketSubscription::marketIds. This set will be used as a first-level filter and all product definitions which do not match this list will be ignored.

The second-level filter is a special boolean parameter isInterested which is available in the following callbacks:

• OnixS::ICE::iMpact::MarketData::ExchangeListener::onFuturesProductDefinition
• OnixS::ICE::iMpact::MarketData::ExchangeListener::onFuturesStrategyDefinition
• OnixS::ICE::iMpact::MarketData::ExchangeListener::onOptionsProductDefinition
• OnixS::ICE::iMpact::MarketData::ExchangeListener::onOptionsStrategyDefinition
• OnixS::ICE::iMpact::MarketData::ExchangeListener::onNewExpiry
• OnixS::ICE::iMpact::MarketData::ExchangeListener::onNewFuturesStrategyDefinition
• OnixS::ICE::iMpact::MarketData::ExchangeListener::onNewOptionsMarketDefinition
• OnixS::ICE::iMpact::MarketData::ExchangeListener::onNewOptionsStrategyDefinition

This parameter can be used to determine if a subscription for a given product definition should be maintained or not. By default, this value is set to true. If the given product definition is not interested you just need to set it to false and it will be removed from market subscription and the Handler won't process any messaged with this market ID.

The Handler can maintain as much first- and second-level filters as needed. There are no limitations to this kind of settings in the Handler implementation.

Cross Filtering

If you need to filter one set of product definitions depending on information from another set of product definitions like you want to maintain only those Futures product definitions which related to UdsFuturesMarkets you are interested in you can use the following approach:

1. Make two subscriptions - for UdsFuturesMarkets and for Futures.
2. The UdsFuturesMarkets subscription should be first in the list.
3. In your code allocate some array to keep market IDs of the legs.
4. When you receive the UdsFuturesMarkets with legs you want to subscribe you need to add its IDs to your array.
5. When you receive the Futures you need to check if a market ID is in your array and set IsInterested to true.

Starting a Subscription

Afterward, the constructed collection must be passed to OnixS::ICE::iMpact::MarketData::Handler::start member which causes the Handler to receive and process data for the markets specified in the subscription. Since that moment, Handler will notify about all the events through appropriate listeners. In particular, it will notify the subscribers about the reception of the product definitions. Later, about changes in states of markets, new orders added or removed to or from market books, and, surely, about errors if any occurred during processing data from Multicast Price Feed channels.

Example

Below is the example of creating subscription for IPE Brent Futures market of ICE Futures Brent multicast group:

HandlerSettings handlerSettings;
handlerSettings.connectivityConfiguration = "ConnectivityConfiguration.AP1.xml"
Handler handler(handlerSettings);
MarketSubscriptions subscriptions;
MarketSubscription brentFutures(
    5                         // Market type id for IPE Brent Futures.
  , MarketSubType::NonImplied // Define type of prices (non-implied in our case)
  , SecurityTypes::Futures    // Defines type of securities (Futures/OTC, Options or UDS Markets)
  , BookDepth::TOP5PL         // Build and maintain Top5PL book.
);
subscriptions.push_back(brentFutures);
handler.start(subscriptions);