If you wish to receive live prices for a particular instrument and need to check which exchange you should subscribe to, you can view it in the platform.
SaxoTraderGO and SaxoTraderPRO
Open a Trade Ticket - check the Exchange name.
SaxoInvestor*
Go to the instrument, in the example below Novo Nordisk, and click on the "i" icon. Under the Instrument tab you can see what the exchange is.