In order to connect to Bitmex WebSocket API, just create a new Binance API client and attach to TsgcWebSocketClient.
See below an example:
TsgcWebSocketClient oClient = new TsgcWebSocketClient();
TsgcWSAPI_Bitmex oBitmex = new TsgcWSAPI_Bitmex();
oBitmex->Client = oClient;
oClient->Active = true;