Hi, newbie question here... I am trying to implement my first ATS. One really confusing thing for me is: how do you access current and historical price quotes in the ATS code? I assumed brokerages would provide function calls in their API's like getPrice(). But this doesn't seem to be the case. For example, Genesis says, "GTP is an order communication system only; it does not receive nor disseminates market data." How do you guys access real time and past price data to dictate your buys and sells? Thanks
I'm not familiar with Genesis' API, but a quick review of the documentation suggests it is possible to receive market data. You'll need to call GTSession.CreateStock() and then handle callbacks on GTStock objects to receive market data e.g. OnGotQuotePrint()... Everything works via a publish/subscribe or event/callback mechanism. The documentation looks fairly comprehensive. Review the introduction of GTSession and GTStock.