Price notations Exchanges introduced points as a notation that allowed contract prices to be expressed in a shortened format. Exchanges define a Point Value for all contracts that they list, which enables you to convert from the full price of a contract to points by dividing the price by the Point Value. For example, the […]
After the subscription starts, TT Core SDK invokes the event handler method you registered with the subscription for every price update passing an instance of a PriceSnap struct. The PriceSnap struct contains members for each element of market data, such as: double open_price = NAN; double close_price = NAN; double high_price = NAN; double low_price […]
After the subscription starts, TT Core SDK invokes the event handler method you registered with the subscription for every Time & Sales update passing an instance of a TimeSales struct. The TimeSales struct contains an array of Trade struct instances where each contains the data corresponding to a trade that occurred in the market, including: […]
How TT Represents Ticks A price in ticks is always an integer value. With this in mind, consider the following exchange contract specification for FGBL. Product Eurex Euro-Bund (FGBL) Eurex Euro-Bund (FGBL) Product type Future Calendar Spread Point value €1000 €1000 Tick size 1/100 of a point 1/100 of a point Tick value €10 €10 […]
Note Market data subscriptions are throttled at 750 per second and applications are limited to making no more than 15,000 market data subscriptions. To create a price subscription and start receiving updates, you: Create a class that is derived from ttsdk::IPriceEventHandler and defines your event handler. You must provide implementations for: virtual void OnPriceUpdate(const uint64_t […]
To create a Time and Sales subscription and start receiving updates, you: Create a class that is derived from ttsdk::ITimeSalesEventHandler and defines your event handler. You must provide implementations for: virtual void OnTimeSalesUpdate(const uint64_t subId, const InstrumentPtr& instrument, const TimeSales& ts) = 0; Callback fired when trades occur in the market virtual void OnError(const uint64_t […]