From the error, the application uses legacy MD interface (MarketDataSubscriber) which doesn’t support RSSL connection type.

MarketDataSubscriber supports SSLED connection type which uses TCP port 8101 (default port).

\Connections\Connection_SSLED\PortNumber                                                  = 8101
\Connections\Connection_SSLED\UserName                                                     = "<username>"
\Connections\Connection_SSLED\ServerList                                                       = "<hostname>"
\Connections\Connection_SSLED\connectionType                                            = "SSLED"

Therefore, the legacy application (MarketDataSubscriber) can’t switch to RSSL connection type. If the connectionType used by MarketDataSubscriber is RSSL, RFA will generate this log.

Illegal attempt to create MarketDataSubscriber using RSSL connection type 
    Connection name: Connection_SSLED 
    Connection type: RSSL

To support RSSL connection type, the application must use OMM interface (OMMConsumer). Please refer to the StarterConsumer example in RFA package which shows how to use OMM interface to create a consumer application. Otherwise, you can refer to these online tutorials.