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Open Feature request MC-1109

Add a Connection event to IDataSource

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Currently, the IDataSource events have no event to monitor for a disconnection of the data feed. Though the ITradingProfile does provide a Connection event, most brokers use a seperate order server and data server, meaning that a loss to the data server can't be monitored.

Plus, since the broker and data feed doesn't need to be the same provider (like with the use of IQFeed), an event for the connection of the data source would be even more valuable.

For risk management it would be very valuable if the automated strategy can be notified that the data feed has stopped updating (while the broker connection is still active). That way, the automated strategy can take precautions so that, when the data feed connection is restored, the strategy won't "go crazy" triggering needless orders because of the data gap that has happened. Also the trader can then be notified through an alert, and switch to his or her back-up data feed if needed.

Steps to reproduce this issue

n/a; this is a feature request.

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