If you wish to receive live prices for a particular instrument and need to check which exchange you should subscribe to, there are different modules you can look at: the Trade Ticket, the Watchlist and the Instrument Overview among others. Please see below examples from SaxoInvestor and SaxoTraderGO:
SaxoInvestor
Choose an instrument and view the exchange in the overview:
Or click on the "i" > Instrument > and see Exchange
SaxoTraderGO
1. Trade ticket
2. Overview
3.Watchlist (make sure Market column is enabled).