set_subscribe_callback API does not reset _market_subscriptions

[abitmore]

@jmjatlanta wrote in #1009 (comment):

set_subscribe_callback does not reset _market_subscriptions, which does not seem correct to me, but I left the functionality alone. If a change in functionality is desired, it will further simplify the cancel function.

This issue is created to discuss and / or fix it.

Discussion wanted.

[jmjatlanta]

Fixed by PR #1009

[abitmore]

I don't think it's fixed.

[jmjatlanta]

Oops. Mistakenly closed. PR #1009 is actually what found this issue, but did not solve it as further discussion is needed. My apologies.