Get MarketData on a batch of Instruments
Hi guys,
I was wondering if there is a way to programmatically build an instrument list (similar to what you call InstrumentCatalog but potentially without things such as product type/market id in common). And get the market data for all the instrument requested?
Something such as this:
InstrumentCatalog instrCatalog = new InstrumentCatalog();
instrCatalog.Add(new instrumentlookup("ICE", "C", "C Mar20");
instrCatalog.Add(new instrumentlookup("CME".....);
instrCatalog.Add(...)
instrCatalog.GetAsync(...);
Thanks
Best Answer
@simonegiuliani Hi. I'm not sure about what you are asking as it seems like the code snippet could do what you are asking about -- lookup the instruments individually, put them in a collection and them loop to subscribe to prices. I can see how one could want that optimized to do one request to pull data from our product server instead of the individual ones but it seems possible to do with what we have today. Are you looking for the optimization on the server request or something else?
Yes, it was about the possibility to optimise the operation on the server or alternatively having the TT client sdk to provide this operation.
Thanks for your answer @trishmessina
@simonegiuliani Its interesting. We can probably optimize the instrument lookups although we do optimize by saving the most recently used and loading them in bulk at startup so I'm not sure it would provide much improvement in performance unless these are new instruments each time. And then for the price subscriptions, are they all going to the same callbacks? Maybe if we had more details on the use case and specifically the problem you are seeing, it would be helpful (if you would care to share more).
