Wait for the first market data event to arrive

Especially for Option and Future based strategies it is often not possible to subscribe to the entire Option or Futures Chain in advance. Therefore the actual Security the strategy is interested in, is evaluated and subscribed to at runtime. There are often steps that should take place immediately after the first market data event has arrived for such a security.

The chapter First tick callback in the AlgoTrader documentation explains how to use a FirstTickCallback for this purpose.