In order to connect to Bitmex WebSocket API, just create a new Bitmex 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;