Subscribing/unsubscribing
A subscription is created by issuing a com.apama.marketdata.SubscribeDepth event specifying the following inputs:
Input | Description |
Symbol | The instrument (as defined by the exchange) |
ServiceId | "FIX" |
Market | The session (i.e. transport) to use |
extraParams | Any extra parameters to be sent with the request (Note, genuine FIX field names will be automatically translated to their integer tag equivalent) |
The subscription manager supports market data through the following FIX mechanisms:
MarketDataRequest - A
com.apama.marketedata.SubscribeDepth event will be converted into this type of request by default.
RequestForQuote - Can be issued instead by setting the extra parameter
Quote=Y. (Note, only a continuous stream of replacement quotes is supported currently).
The resultant market data updates (or quote stream events) that are generated as a result of the subscription request are converted into com.apama.marketdata.Depth and com.apama.marketdata.Tick events and routed. Note, each subscription maintains a reference count which is simply incremented for duplicate requests (same symbol + extra parameters) rather than issuing another request to the exchange.
To stop (and completely remove) a subscription, a com.apama.marketdata.UnsubscribeDepth event must be routed. This will be translated into the equivalent FIX request and sent to the exchange providing the reference count for the subscription is at zero otherwise the count is decremented.
