void BookPublisher::publishMessage (MamaMsg* request, const char* symbol)
{
if (!mPublisher)
{
MamdaSubscription* mamdaSub = getMamdaSubscription(symbol);
if (mamdaSub)
{
MamaSubscription* mSub = mamdaSub->getMamaSubscription();
mPublisher = mPubManager->createPublisher (symbol, managerCallback);
}
}
try
{
if (request)
{
mPublisher->sendReply (*request, &mPublishMsg);
}
else
{
mPublisher->send (&mPublishMsg);
}
}
catch (MamaStatus &status)
{
cerr << "Error publishing message: "
<< status.toString () << endl;
exit (1);
}
}
void BookPublisher::subscribeToSymbols ()
{
for (vector<const char*>::const_iterator i = mSymbolList.begin ();
i != mSymbolList.end ();
++i)
{
const char* symbol = *i;
mBook = new MamdaOrderBook();
// Turn on delta generation
mBook->generateDeltaMsgs(true);
MamdaSubscription* aSubscription = new MamdaSubscription;
MamdaOrderBookListener* aBookListener = new MamdaOrderBookListener(mBook);
aSubscription->addMsgListener (aBookListener);
aBookListener->setProcessEntries (mProcessEntries);
BookTicker* aTicker = new BookTicker;
aBookListener->addHandler (aTicker);
aSubscription->setType (MAMA_SUBSC_TYPE_BOOK);
aSubscription->setMdDataType (MAMA_MD_DATA_TYPE_ORDER_BOOK);
mSubscriptionList.push_back (aSubscription);
aSubscription->create (Mama::getDefaultEventQueue (mBridge), mSubSource, symbol, NULL);
}
}
void BookPublisher::releaseLock(const char* symbol)
{
//acquirelock on listener
MamdaOrderBookListener* bookListener = NULL;
MamdaSubscription* mamdaSub = getMamdaSubscription(symbol);
try
{
vector<MamdaMsgListener*>& msgListeners = mamdaSub->getMsgListeners();
unsigned long size = msgListeners.size();
for (unsigned long i = 0; i < size; i++)
{
MamdaMsgListener* listener = msgListeners[i];
bookListener = (MamdaOrderBookListener*)listener;
}
}
catch (std::exception &e)
{
std::cerr << "Exception: " << e.what() << std::endl;
}
catch (...)
{
std::cerr << "Exception: Unknown" << std::endl;
}
bookListener->releaseWriteLock();
printf("\n Listener book lock released \n");
}
void BookChurn::subscribeToBooks (const char* symbol, MamaQueue* queue)
{
MamdaSubscription* aSubscription = new MamdaSubscription;
MamdaOrderBookListener* aBookListener = new MamdaOrderBookListener;
aSubscription->addMsgListener (aBookListener);
aBookListener->addHandler (&mChurn);
aSubscription->addQualityListener (&mChurn);
aSubscription->addErrorListener (&mChurn);
aSubscription->setType (MAMA_SUBSC_TYPE_BOOK);
aSubscription->setMdDataType (MAMA_MD_DATA_TYPE_ORDER_BOOK);
aSubscription->create (queue, gSource, symbol);
mSubscriptionList.push_back (aSubscription);
}
void SubscriptionHandler::onNewRequest (
MamaDQPublisherManager* publisherManager,
const char* symbol,
short subType,
short msgType,
MamaMsg& msg)
{
MamaMsg* request = NULL;
MamdaSubscription* mamdaSub = mBookPublisher->getMamdaSubscription(symbol);
if (mamdaSub)
{
MamaSubscription* mSub = mamdaSub->getMamaSubscription();
MamaDQPublisher* mPub = publisherManager->createPublisher (symbol, mBookPublisher->getCb());
printf ("Received New request: %s\n", symbol);
switch (msgType)
{
case MAMA_SUBSC_SUBSCRIBE:
case MAMA_SUBSC_SNAPSHOT:
request = msg.detach();
mBookPublisher->publishMessage (request, symbol);
break;
default:
mBookPublisher->publishMessage (NULL, symbol);
break;
}
}
else
printf ("Received request for unknown symbol: %s\n", symbol);
flush (cout);
}
int main (int argc, const char **argv)
{
try
{
CommonCommandLineParser cmdLine (argc, argv);
// Initialise the MAMA API
mamaBridge bridge = cmdLine.getBridge();
Mama::open ();
const vector<const char*>& symbolList = cmdLine.getSymbolList ();
MamaSource* source = cmdLine.getSource();
MamaQueueGroup queues (cmdLine.getNumThreads(), bridge);
DictRequester dictRequester (bridge);
dictRequester.requestDictionary (cmdLine.getDictSource());
MamdaOrderImbalanceFields::setDictionary (*dictRequester.getDictionary ());
MamdaCommonFields::setDictionary (*dictRequester.getDictionary());
const char* symbolMapFile = cmdLine.getSymbolMapFile ();
if (symbolMapFile)
{
MamaSymbolMapFile* aMap = new MamaSymbolMapFile;
if (MAMA_STATUS_OK == aMap->load (symbolMapFile))
{
source->getTransport()->setSymbolMap (aMap);
}
}
for (vector<const char*>::const_iterator i = symbolList.begin ();
i != symbolList.end ();
++i)
{
const char* symbol = *i;
MamdaSubscription* aSubscription = new MamdaSubscription;
MamdaOrderImbalanceListener* aListener = new MamdaOrderImbalanceListener();
OrderImbalanceTicker* aTicker = new OrderImbalanceTicker();
aListener->addHandler (aTicker);
aSubscription->addMsgListener (aListener);
aSubscription->addQualityListener (aTicker);
aSubscription->addErrorListener (aTicker);
aSubscription->create (queues.getNextQueue(), source, symbol);
}
Mama::start(bridge);
}
catch (MamaStatus &e)
{
// This exception can be thrown from Mama.open (),
// Mama::createTransport (transportName) and from
// MamdaSubscription constructor when entitlements is enabled.
cerr << "Exception in main (): " << e.toString () << endl;
exit (1);
}
catch (exception &ex)
{
cerr << "Exception in main (): " << ex.what () << endl;
exit (1);
}
catch (...)
{
cerr << "Unknown Exception in main ()." << endl;
exit (1);
}
}
int main (int argc, const char **argv)
{
setbuf (stdout, NULL);
try
{
CommonCommandLineParser cmdLine (argc, argv);
// Initialize the MAMA API
mamaBridge bridge = cmdLine.getBridge();
Mama::open ();
const vector<const char*>& symbolList = cmdLine.getSymbolList ();
MamaSource* source = cmdLine.getSource();
MamaQueueGroup queues (cmdLine.getNumThreads(), bridge);
DictRequester dictRequester (bridge);
// We might as well enforce strict checking of order book updates
// (at the expense of some performance).
MamdaOrderBook::setStrictChecking (true);
signal (SIGINT, finish); /* arrange interrupts to terminate */
bool useColor = !cmdLine.getOptBool ('b'); /* check for blk & white */
start (useColor);
// Get and initialize the dictionary
dictRequester.requestDictionary (cmdLine.getDictSource());
MamdaCommonFields::setDictionary (*dictRequester.getDictionary ());
MamdaOrderBookFields::setDictionary (*dictRequester.getDictionary ());
const char* symbolMapFile = cmdLine.getSymbolMapFile ();
if (symbolMapFile)
{
MamaSymbolMapFile* aMap = new MamaSymbolMapFile;
if (MAMA_STATUS_OK == aMap->load (symbolMapFile))
{
source->getTransport()->setSymbolMap (aMap);
}
}
for (vector<const char*>::const_iterator i = symbolList.begin ();
i != symbolList.end ();
++i)
{
const char* symbol = *i;
MamdaSubscription* aSubscription = new MamdaSubscription;
MamdaOrderBookListener* aBookListener = new MamdaOrderBookListener;
BookViewer* aViewer =
new BookViewer (*aBookListener->getOrderBook());
aBookListener->setProcessEntries (true);
aBookListener->addHandler (aViewer);
aSubscription->addMsgListener (aBookListener);
aSubscription->addQualityListener (aViewer);
aSubscription->addErrorListener (aViewer);
aSubscription->setType (MAMA_SUBSC_TYPE_BOOK);
aSubscription->setMdDataType (MAMA_MD_DATA_TYPE_ORDER_BOOK);
aSubscription->create (queues.getNextQueue (),
source,
symbol);
aViewer->setShowEntries (false);
(new MamaIo ())->create (queues.getNextQueue (),
aViewer,
0, /* stdin */
MAMA_IO_READ);
}
Mama::start (bridge);
}
catch (MamaStatus &e)
{
/*
This exception can be thrown from Mama::start ().
Mama::createTransport (transportName) and from
MamdaSubscription constructor when entitlements is enabled.
*/
cerr << "MamaStatus exception in main (): " << e.toString () << endl;
exit (1);
}
catch (std::exception &ex)
{
cerr << "Exception in main (): " << ex.what () << endl;
exit (1);
}
catch (...)
{
cerr << "Unknown Exception in main ()." << endl;
exit (1);
}
return 1;
}
int main (int argc, const char **argv)
{
try
{
CommonCommandLineParser cmdLine (argc, argv);
setvbuf (stdout, (char *) NULL, _IONBF, 0);
// Initialise the MAMA API
mamaBridge bridge = cmdLine.getBridge();
Mama::open ();
const vector<const char*>&
symbolList = cmdLine.getSymbolList ();
double throttleRate = cmdLine.getThrottleRate ();
int snapshotInterval = cmdLine.getOptInt ("snapshot");
int precision = cmdLine.getPrecision ();
bool processEntries = cmdLine.getOptBool ('e');
bool strictChecking = !cmdLine.getOptBool ('C');
bool processMarketOrders = cmdLine.getOptBool ('k');
bool showDeltas = cmdLine.showDeltas ();
const char* dictFile = cmdLine.getOptString("use_dict_file");
MamaSource* source = cmdLine.getSource ();
MamaQueueGroup queues (cmdLine.getNumThreads(), bridge);
DictRequester dictRequester (bridge);
// We might as well enforce strict checking of order book updates
// (at the expense of some performance).
if (strictChecking)
{
cout << "MamdaOrderBook strict checking is on" << endl;
MamdaOrderBook::setStrictChecking (true);
}
else
{
cout << "MamdaOrderBook strict checking is off" << endl;
MamdaOrderBook::setStrictChecking (false);
}
// Get and initialize the dictionary
if(dictFile)
{
MamaDictionary* dict =new MamaDictionary;
dict->populateFromFile(dictFile);
MamdaCommonFields::setDictionary (*dict);
MamdaOrderBookFields::setDictionary (*dict);
}
else
{
dictRequester.requestDictionary (cmdLine.getDictSource());
MamdaCommonFields::setDictionary (*dictRequester.getDictionary());
MamdaOrderBookFields::setDictionary (*dictRequester.getDictionary ());
}
const char* symbolMapFile = cmdLine.getSymbolMapFile ();
if (symbolMapFile)
{
MamaSymbolMapFile* aMap = new MamaSymbolMapFile;
if (MAMA_STATUS_OK == aMap->load (symbolMapFile))
{
source->getTransport()->setSymbolMap (aMap);
}
}
for (vector<const char*>::const_iterator i = symbolList.begin ();
i != symbolList.end ();
++i)
{
const char* symbol = *i;
MamdaSubscription* aSubscription = new MamdaSubscription;
MamdaOrderBookListener* aBookListener = new MamdaOrderBookListener;
aSubscription->addMsgListener (aBookListener);
aBookListener->setProcessMarketOrders (processMarketOrders);
aBookListener->setProcessEntries (processEntries);
BookTicker* aTicker = new BookTicker;
aBookListener->addHandler (aTicker);
aSubscription->addQualityListener (aTicker);
aSubscription->addErrorListener (aTicker);
aTicker->setShowEntries (processEntries);
aTicker->setShowMarketOrders (processMarketOrders);
aTicker->setShowDeltas (showDeltas);
aTicker->setPrecision (precision);
aSubscription->setType (MAMA_SUBSC_TYPE_BOOK);
aSubscription->setMdDataType (MAMA_MD_DATA_TYPE_ORDER_BOOK);
aSubscription->create (queues.getNextQueue(), source, symbol);
}
Mama::start (bridge);
}
catch (MamaStatus &e)
{
// This exception can be thrown from Mama.open ()
// Mama::createTransport (transportName) and from
// MamdaSubscription constructor when entitlements is enabled.
cerr << "MamaStatus exception in main (): " << e.toString () << endl;
exit (1);
}
catch (std::exception &ex)
{
cerr << "Exception in main (): " << ex.what () << endl;
exit (1);
}
catch (...)
{
cerr << "Unknown Exception in main ()." << endl;
exit (1);
}
exit (1);
}
int main (int argc, const char** argv)
{
MamaQueueGroup* queues = NULL;
mamaBridge bridge = NULL;
setbuf (stdout, NULL);
try
{
// Initialize the MAMA API
CommonCommandLineParser cmdLine (argc, argv);
bridge = cmdLine.getBridge();
Mama::open ();
DictRequester dictRequester (bridge);
const vector<const char*>& symbolList = cmdLine.getSymbolList ();
int threads = cmdLine.getNumThreads ();
MamaSource* source = cmdLine.getSource();
bool processMarketOrders = cmdLine.getOptBool ('k');
queues = new MamaQueueGroup (threads, bridge);
dictRequester.requestDictionary (cmdLine.getDictSource());
MamdaCommonFields::setDictionary (*dictRequester.getDictionary ());
MamdaTradeFields::setDictionary (*dictRequester.getDictionary ());
MamdaQuoteFields::setDictionary (*dictRequester.getDictionary ());
MamdaOrderBookFields::setDictionary (*dictRequester.getDictionary ());
const char* symbolMapFile = cmdLine.getSymbolMapFile ();
if (symbolMapFile)
{
MamaSymbolMapFile* aMap = new MamaSymbolMapFile;
if (MAMA_STATUS_OK == aMap->load (symbolMapFile))
{
source->getTransport()->setSymbolMap (aMap);
}
}
bool showEntries = cmdLine.getOptBool ('e');
bool showMarketOrders = cmdLine.getOptBool ('k');
int precision = cmdLine.getPrecision();
for (vector < const char*>::const_iterator i = symbolList.begin ();
i != symbolList.end (); ++i)
{
const char* symbol =*i;
MamdaSubscription* aSubscription = new MamdaSubscription;
MamdaBookAtomicListener* aBookListener = new MamdaBookAtomicListener;
AtomicBookBuilder* aBuilder = new AtomicBookBuilder(symbol);
/*
* Add the book handler to recieve book begin and end callbacks
*/
aBookListener->addBookHandler (aBuilder);
/*
* Add the level handler to handle level updates where available
*/
aBookListener->addLevelHandler (aBuilder);
/*
* Add the entry handler to handle entry updates where available
*/
aBookListener->addLevelEntryHandler (aBuilder);
aBuilder->setShowEntries (showEntries);
aBuilder->setShowMarketOrders (showMarketOrders);
aBuilder->setPrecision (precision);
aSubscription->addMsgListener (aBookListener);
aSubscription->addQualityListener (aBuilder);
aSubscription->addErrorListener (aBuilder);
aSubscription->setType (MAMA_SUBSC_TYPE_BOOK);
aSubscription->setMdDataType (MAMA_MD_DATA_TYPE_ORDER_BOOK);
aSubscription->create (queues->getNextQueue(), source, symbol);
aBookListener->setProcessMarketOrders (processMarketOrders);
}
// Dispatch on the default MAMA queue
Mama::start(bridge);
}
catch (MamaStatus& e)
{
cerr << "Exception in main (): " << e.toString () << endl;
exit(EXIT_FAILURE);
}
catch (std::exception& ex)
{
cerr << "Exception in main (): " << ex.what () << endl;
exit(EXIT_FAILURE);
}
catch (...)
{
cerr << "Unknown Exception in main ()." << endl;
exit(EXIT_FAILURE);
}
return 0;
}
int main (int argc, const char **argv)
{
try
{
CommonCommandLineParser cmdLine (argc, argv);
// Initialise the MAMA API
mamaBridge bridge = cmdLine.getBridge();
Mama::open ();
const vector<const char*>& symbolList = cmdLine.getSymbolList ();
MamaSource* source = cmdLine.getSource();
MamaSource* optionSource = cmdLine.getOptionSource();
int duration = cmdLine.getOptInt ("duration");
double timeout = cmdLine.getTimeout ();
MamaLogLevel subscLogLevel = cmdLine.getSubscLogLevel();
MamaQueueGroup queues (cmdLine.getNumThreads(), bridge);
double throttleRate = cmdLine.getThrottleRate ();
if ((throttleRate > 100.0) || (throttleRate <= 0.0))
{
// We don't really want to swamp the FHs with these types of
// subscriptions.
throttleRate = 100.0;
}
source->getTransport()->setOutboundThrottle (throttleRate,
MAMA_THROTTLE_DEFAULT);
DictRequester dictRequester (bridge);
dictRequester.requestDictionary (cmdLine.getDictSource());
MamdaTradeFields::setDictionary (*dictRequester.getDictionary());
MamdaQuoteFields::setDictionary (*dictRequester.getDictionary());
MamdaFundamentalFields::setDictionary (*dictRequester.getDictionary());
MamdaOptionFields::setDictionary (*dictRequester.getDictionary());
const char* symbolMapFile = cmdLine.getSymbolMapFile ();
if (symbolMapFile)
{
MamaSymbolMapFile* aMap = new MamaSymbolMapFile;
if (MAMA_STATUS_OK == aMap->load (symbolMapFile))
{
source->getTransport()->setSymbolMap (aMap);
optionSource->getTransport()->setSymbolMap (aMap);
}
}
for (vector<const char*>::const_iterator i = symbolList.begin ();
i != symbolList.end ();
++i)
{
const char* symbol = *i;
MamaQueue* queue = queues.getNextQueue();
// Create chain and listener objects.
MamdaTradeListener* aBaseTradeListener = new MamdaTradeListener;
MamdaQuoteListener* aBaseQuoteListener = new MamdaQuoteListener;
MamdaFundamentalListener* aFundamentalListener
= new MamdaFundamentalListener;
MamdaOptionChain* anOptionChain = new MamdaOptionChain (symbol);
anOptionChain->setUnderlyingQuoteListener (aBaseQuoteListener);
anOptionChain->setUnderlyingTradeListener (aBaseTradeListener);
MamdaOptionChainListener* anOptionListener =
new MamdaOptionChainListener (anOptionChain);
// By Default Expirate Date , Strike Price and PutCall fields
// are considered manditory to the creation of an option contract
// Clear monditory status of each of these fields if so directed
// n the command line.
anOptionListener->setManditoryFields (
!cmdLine.getOptBool ("noExpire"),
!cmdLine.getOptBool ("noStrike"),
!cmdLine.getOptBool ("noPutCall"));
// Create our handlers (the UnderlyingTicker and
// OptionChainDisplay could be a single class).
UnderlyingTicker* aBaseTicker =
new UnderlyingTicker (*anOptionChain);
OptionChainDisplay* aDisplay =
new OptionChainDisplay (*anOptionChain);
// Create subscriptions for underlying and option chain:
MamdaSubscription* anOptionSubscription = new MamdaSubscription;
// Register for underlying quote and trade events.
aBaseTradeListener->addHandler (aBaseTicker);
aBaseQuoteListener->addHandler (aBaseTicker);
aFundamentalListener->addHandler (aBaseTicker);
// Register for underlying option events.
anOptionListener->addHandler (aDisplay);
// The timeout defaults to 1 for this example because we
// currently use the timeout feature to determine when
// to say that we have received all of the initials.
anOptionSubscription->setTimeout (timeout);
anOptionSubscription->addMsgListener (anOptionListener);
anOptionSubscription->addQualityListener (aDisplay);
anOptionSubscription->addErrorListener (aDisplay);
anOptionSubscription->setType (MAMA_SUBSC_TYPE_GROUP);
anOptionSubscription->create (queue, source, symbol);
// logger...
anOptionSubscription->getMamaSubscription ()->
setDebugLevel (subscLogLevel);
}
ShutdownTimer shutdownCallback (bridge);
MamaTimer shutdownTimer;
if (duration > 0)
{
shutdownTimer.create (Mama::getDefaultEventQueue (bridge),
&shutdownCallback, duration,
queues.getNextQueue());
}
Mama::start(bridge);
}
catch (MamaStatus &e)
{
// This exception can be thrown from Mama::start (),
// Mama::createTransport (transportName) and from
// MamdaSubscription constructor when entitlements is enabled.
cerr << "Exception in main (): " << e.toString () << endl;
exit (1);
}
catch (exception &ex)
{
cerr << "Exception in main (): " << ex.what () << endl;
exit (1);
}
catch (...)
{
cerr << "Unknown Exception in main ()." << endl;
exit (1);
}
}
int main (int argc, const char* argv[])
{
try
{
// Process some command line arguments:
CommonCommandLineParser cmdLine (argc, argv);
// Initialise the MAMA API
mamaBridge bridge = Mama::loadBridge (cmdLine.getMiddleware());
Mama::open ();
const vector<const char*>& symbolList = cmdLine.getSymbolList ();
MamaSource* source = cmdLine.getSource();
MamaQueueGroup queues (cmdLine.getNumThreads(), bridge);
double throttleRate = cmdLine.getThrottleRate ();
if ((throttleRate > 100.0) || (throttleRate <= 0.0))
{
// We don't really want to swamp the FHs with these types of
// subscriptions.
throttleRate = 100.0;
}
source->getTransport()->setOutboundThrottle (throttleRate,
MAMA_THROTTLE_DEFAULT);
DictRequester dictRequester (bridge);
dictRequester.requestDictionary (cmdLine.getDictSource());
MamdaCommonFields::setDictionary (*dictRequester.getDictionary ());
MamdaTradeFields::setDictionary (*dictRequester.getDictionary ());
MamdaQuoteFields::setDictionary (*dictRequester.getDictionary ());
const char* symbolMapFile = cmdLine.getSymbolMapFile ();
if (symbolMapFile)
{
MamaSymbolMapFile* aMap = new MamaSymbolMapFile;
if (MAMA_STATUS_OK == aMap->load (symbolMapFile))
{
source->getTransport()->setSymbolMap (aMap);
}
}
for (vector<const char*>::const_iterator i = symbolList.begin ();
i != symbolList.end ();
++i)
{
const char* symbol = *i;
MamdaSubscription* aSubscription = new MamdaSubscription;
MultiSecurityExample* anExampleHandler =
new MultiSecurityExample;
MamdaMultiSecurityManager* aSecurityManager =
new MamdaMultiSecurityManager (symbol);
aSecurityManager->addHandler (anExampleHandler);
aSubscription->addMsgListener (aSecurityManager);
aSubscription->setType (MAMA_SUBSC_TYPE_GROUP);
aSubscription->create (queues.getNextQueue(), source, symbol);
}
Mama::start(bridge);
}
catch (MamaStatus &e)
{
// This exception can be thrown from Mama::start (),
// Mama::createTransport (transportName) and from
// MamdaSubscription constructor when entitlements is enabled.
cerr << "MamaStatus exception in main (): " << e.toString () << endl;
exit (1);
}
catch (exception &ex)
{
cerr << "Exception in main (): " << ex.what () << endl;
exit (1);
}
catch (...)
{
cerr << "Unknown Exception in main ()." << endl;
exit (1);
}
return 1;
}
