Bitmex offers a variety of channels where you can subscribe to get real-time updates of market data, orders... Find below a sample of how subscribe to a Trade Channel:
TsgcWebSocketClient oClient = new TsgcWebSocketClient();
TsgcWSAPI_Bitmex oBitmex = new TsgcWSAPI_Bitmex();
oBitmex->Client = oClient;
oBitmex->Subscribe(btmTrade, "XBTUSD");
void OnBitmexMessage(Sender: TObject; const aTopic: TwsBitmexTopics; const aMessage: string)
{
// here you will receive the trade updates
}