I use the subscription method to retrieve real time prices as follow:
var realtime = DataServices.Instance.Realtime; IRealtimeDataSubscriptionSetup setupSubscription = realtime.SetupDataSubscription() .WithFields(Properties.Settings.Default.ReutersFields.Cast<string>().ToArray()) .WithRics(getSubscribedInstrumentsCodes()) .OnDataUpdated(DataReceivedCallback) .OnStatusUpdated(StatusUpdatesCallback) .OnError(DataErrorCallback); subscription = setupSubscription.CreateAndStart();
From what I see when running this (as I could not find any detailed documentation on how it works), the prices are updated when receiving quotes (only TRDPRC_1 field is asked).
My point is if I start this program when the market is opened on a stock with low volume, can I get the latest available price at the start of the subscription? If yes, how?