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
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.
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|
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:
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.
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:
UdsFuturesMarketssubscription should be first in the list.
UdsFuturesMarketswith legs you want to subscribe you need to add its IDs to your array.
Futuresyou need to check if a market ID is in your array and set IsInterested to true.
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.
Below is the example of creating subscription for IPE Brent Futures market of ICE Futures Brent multicast group: