Overview of using MDA
To use CMF's MDA, do the following in your CMF application for each datasource from which you want to obtain market data:
1. Connect to a session, which manages the interaction between your CMF application and a market data source. See
Connecting to sessions .
2. Optionally, set parameters for market data subscriptions.
3. Set up one or more subscribers to the market data the connected session provides.
4. Do either or both of the following:
Set up listeners for the market data events you expect to receive.
Add callbacks that customize default MDA behavior. For example, you can override default error behavior or operate on market data by executing a callback function.
Whether you use listeners or callbacks depends on what you want to do. Use listeners when the underlying event is of use to you as-is without pre-processing. This is especially effective when you are looking for patterns in that event type, such as the price going above a threshold. Use callbacks when you want the pre-processing provided by the subscriber, such as the application of incremental updates to a Depth or OrderBook event before it is returned by a callback.
Note:
Some deployed applications may use legacy market data management components or legacy finance support as opposed to the MDA. Later chapters provide information on legacy interfaces for reference.