IMarketDataSubscriber

IMarketDataSubscriber is a unified interface for components that consume real-time market data events. It supports optional handling of order book updates, trades, and bars.

enum class MarketDataErrorCode
{
  UNKNOWN = 0,
  CONNECTION_LOST,
  CONNECTION_TIMEOUT,
  INVALID_MESSAGE,
  RATE_LIMITED,
  SUBSCRIPTION_FAILED,
  STALE_DATA
};

struct MarketDataError
{
  MarketDataErrorCode code{MarketDataErrorCode::UNKNOWN};
  SymbolId symbol{0};
  std::string message;
  int64_t timestampNs{0};
};

class IMarketDataSubscriber : public ISubscriber
{
public:
  virtual ~IMarketDataSubscriber() = default;

  virtual void onBookUpdate(const BookUpdateEvent& ev) {}
  virtual void onTrade(const TradeEvent& ev) {}
  virtual void onBar(const BarEvent& ev) {}
  virtual void onMarketDataError(const MarketDataError& error) {}
};

Purpose

• Serve as a polymorphic listener for all market-facing event types across the system.

Methods

Method	Description
onBookUpdate	Receives BookUpdateEvent from BookUpdateBus.
onTrade	Receives TradeEvent from TradeBus.
onBar	Receives BarEvent from BarBus.
onMarketDataError	Receives a MarketDataError from the connector: connection loss or timeout, malformed message, rate limiting, failed subscription, stale data. Default no-op, so a subscriber that ignores feed health keeps compiling.

MarketDataError

Field	Type	Description
code	MarketDataErrorCode	What went wrong
symbol	SymbolId	Affected symbol, 0 when the error is connection-wide
message	std::string	Human-readable detail
timestampNs	int64_t	When the error was observed (ns)

Notes

• Default implementations are no-ops — subscribers override only what they care about.
• Used with EventBus<T> which delivers events via EventDispatcher.
• Inherits from ISubscriber, which provides id() for routing.