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Subscribing to Multicast Groups

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

Creating Subscription

Subscribing is a way to start receiving multicast feed market data. To subscribe to certain multicast groups as well as to select which type of books must be maintained by the Handler, instance of ICollection<MarketSubscription> collection must be created and filled with items. Any collection which implements noted interface is suitable for the use.

Once 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 MarketSubscription into the collection. Each added item identifies type of market to which subscription will be performed and kinds of books which the Handler is supposed to build and update while maintaining subscription.

Starting Subscription

Constructed collection must be passed to Start(ICollection<MarketSubscription>) member which starts subscription. Since that moment, Handler will notify about all the events through appropriate handlers. In particular, it will notify the subscribes about 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 feed channels.

Example

Below is the example of subscribing to 'IPE Gas Oil Futures' market data of 'ICE Futures Europe Oil' multicast group.

C#
using System;
using System.Collections.Generic;

using OnixS.NET.ICE.iMpact;

.. 

HandlerSettings handlerSettings = new HandlerSettings();
handlerSettings.ConnectivityConfiguration = "ConnectivityConfiguration.xml";

Handler handler = new Handler(handlerSettings);

List<MarketSubscription> subscriptions = new List<MarketSubscription>();

MarketSubscription ipeGasOilFutures = new MarketSubscription(
    4,                       // market type id for IPE Gas Oil Futures.
    SecurityType.Futures,    // Type of product definitions
    BookDepth.FOD            // Build and maintain full-order-depth book.
);

subscriptions.Add(ipeGasOilFutures);

handler.Start(subscriptions);

..