private Subscription CreateSubscription()
{
var subscription = new Subscription();
subscription.AddTopic("order");
subscription.AddTopic("margin");
subscription.AddTopic("position");
subscription.AddTopic("execution");
var symbols = Symbols.Select(s => s.ToString());
foreach (var symbol in symbols)
{
subscription.AddTopic("trade", symbol);
subscription.AddTopic("orderBookL2", symbol);
foreach (var bin in TradeBins.Select(t => t.ToLabel()))
{
subscription.AddTopic(bin, symbol);
}
}
var indices = Indices.Select(i => i.ToIndexString());
foreach (var index in indices)
{
subscription.AddTopic("tradeBin5m", index);
}
return(subscription);
}