Market Data Streaming API

A connection must be established first in order to subscribe to any updates. To do this, you may use any ASP.NET Core SignalR client of your choice.

				
HubConnection connection = new HubConnectionBuilder()
	.WithUrl("{{API URL HERE}}/streams", options =>
	{
		options.AccessTokenProvider = GetBearerToken;
	})
	.AddMessagePackProtocol()
	.Build();

await connection.StartAsync();
				
				

You need the md-streams-api scope claim in order to be authorized to use the streaming hub. Learn from our Auth API documentation on how to get an authorization token.

				
private async Task<string> GetBearerToken()
{
	// TODO: Implement access token provider here.
}
					
				

In order to subscribe to pricing quote updates for securities, you first need to setup the event handler for incoming data. You need a handler for QuotesUpdated event.

				
private async Task HandleQuotesUpdates()
{
	this.connection.On("QuotesUpdated", quotes =>
	{
		// Do something with the data
	});
}
					
				

Below is the schema of the data, in JSON, coming from the hub.

									
{
	"securityCode": {
		"type": "string"
	},
	"exchange": {
		"type": "string"
	},
	"dataSource": {
		"type": "string"
	},
	"askCount": {
		"type": "number"
	},
	"askPrice": {
		"type": "number"
	},
	"askVolume": {
		"type": "number"
	},
	"bidCount": {
		"type": "number"
	},
	"bidPrice": {
		"type": "number"
	},
	"bidVolume": {
		"type": "number"
	},
	"totalVolume": {
		"type": "number"
	},
	"totalValue": {
		"type": "number"
	},
	"highPrice": {
		"type": "number"
	},
	"lastPrice": {
		"type": "number"
	},
	"lowPrice": {
		"type": "number"
	},
	"matchPrice": {
		"type": "number"
	},
	"matchVolume": {
		"type": "number"
	},
	"marketValue": {
		"type": "number"
	},
	"marketVolume": {
		"type": "number"
	},
	"movement": {
		"type": "number"
	},
	"openPrice": {
		"type": "number"
	},
	"quotationBasisCode": {
		"type": "string"
	},
	"companyReportCode": {
		"type": "string"
	},
	"tradingStatus": {
		"type": "string"
	},
	"tradeCount": {
		"type": "number"
	},
	"tradeDateTime": {
		"type": "datetime"
	},
	"updateDateTime": {
		"type": "datetime"
	},
	"previousClosePrice": {
		"type": "number"
	}
}
							
						

You may setup the handler before starting the connection.

					
...

this.HandleQuotesUpdates();
await connection.StartAsync();
						
					

Now, all you need to do is invoke the SubscribeToQuoteUpdates hub method. This will subscribe your client to security quote updates channel depending on the parameters supplied.

					
private async Task SubscribeToQuoteUpdates()
{
	string dataSource = "TM"; // The dataSource to subscribe to
	await connection.InvokeAsync("SubscribeToQuoteUpdates", dataSource);
}
						
					

					
...
await connection.StartAsync();
this.SubscribeToQuoteUpdates();
					
				

In order to subscribe to trade updates, you first need to setup the event handler for incoming data. You need a handler for TradesUpdated event.

				
private async Task HandleTradeUpdates()
{
	this.connection.On("TradesUpdated", trades =>
	{
		// Do something with the data
	});
}
					
				

Below is the schema of the data, in JSON, coming from the hub.

									
{
	{
	"tradeNumber": {
		"type":"number"
	},
	"securityCode": {
		"type":"string"
	},
	"exchange": {
		"type":"string"
	},
	"dataSource": {
		"type":"string"
	},
	"price": {
		"type":"number"
	},
	"tradeVolume": {
		"type":"number"
	},
	"tradeValue": {
		"type":"number"
	},
	"tradeDateTime": {
		"type":"datetime"
	},
	"conditionCodes": {
		"type":"string"
	},
	"reason": {
		"type":"string"
	}
}
							
						

You may setup the handler before starting the connection.

					
...

this.HandleQuotesUpdates();
await connection.StartAsync();
						
					

Now, all you need to do is invoke the SubscribeToTradeUpdates hub method. This will subscribe your client to trade updates channel depending on the parameters supplied.

					
private async Task SubscribeToTradeUpdates()
{
	string dataSource = "TM"; // The dataSource to subscribe to
	await connection.InvokeAsync("SubscribeToTradeUpdates", dataSource);
}
						
					

					
...
await connection.StartAsync();
this.SubscribeToTradeUpdates();
					
				

Dropped connections due to network issues can be automatically reconnected by certain clients. Consult your client's documentation for more details. An example for the .NET Client is shown below:

				
HubConnection connection = new HubConnectionBuilder()
	.WithUrl("{{API URL HERE}}/streams", options =>
	{
		options.AccessTokenProvider = GetBearerToken;
	})
	.WithAutomaticReconnect() // this will enable automatic reconnect
	.AddMessagePackProtocol()
	.Build();
				
				

Clients that were successfully reconnected need to resubscribe to the channels they were subscribed prior to disconnecting. A Reconnected event handler should be implemented to resubscribe a client.

				
connection.Reconnected += async (connectionId) =>
{
	Console.WriteLine("Reconnected.");

	// Resubscribe to the channels
	await SubscribeToTradeUpdates();
	await SubscribeToQuoteUpdates();
};