If you are creating an application that users interact with then an easy way to allow the user to select a specific market is to use the API's
MarketPicker method.
' Display the market picker to the user for them to select a market.
moMarket = moHost.MarketData.MarketPicker(moMarket)
' Check to see if a market was selected.
If Not moMarket Is Nothing Then
' Subscribe to the market.
moMarket.DepthSubscribe()
End If
If the user selected a market then it will be returned, if they didn't then the default market you specified will be returned. In this example above the previously selected market would be returned. You can also pass Nothing as the default in which case Nothing will be returned if they don't select anything.