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 SaxoTraderGO.
1. Trade ticket
2. Overview
3.Watchlist (make sure Market column is enabled).
4. Instrument Trading conditions
It is possible to access Trading Conditions by clicking on icon (top right corner of Trade Ticket and Overview). Alternatively, by going to Account > Other > Trading Conditions.
For HK stocks, please subscribe to Hong Kong Stock Exchange.
For HK stock options, please subscribe to Hong Kong Futures Exchange.
As the two exchanges above are branches of HKEX group, you will see the same Hong Kong Exchanges on trading conditions of both HK stocks and stock options. Please subscribe to the right exchange name as shown above.