/**
* Method invoked when an order book delta is reported.
*/
void onBookAtomicLevelDelta (
MamdaSubscription* subscription,
MamdaBookAtomicListener& listener,
const MamaMsg& msg,
const MamdaBookAtomicLevel& level)
{
/**
* The level should only be processed when entires are not received
* i.e. for level only based feeds
* If an entry was received on the previous level, then the level will
* have been marked with an UNKNOWN side and should not be applied to
* the book
*/
if(mReusablePriceLevel.getSide() != MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_UNKNOWN)
{
if (gExampleLogLevel == EXAMPLE_LOG_LEVEL_NORMAL
&& mOrderBook.getQuality() == MAMA_QUALITY_OK)
{
prettyPrint(subscription, mReusablePriceLevel);
}
applyLevel(mReusablePriceLevel);
}
/**
* Store the current level
*/
storeLevel(level);
}
/**
* Method invoked when we stop processing the last level in a message. We
* invoke this method after the last entry for the level gets processed.
* The subscription may be destroyed from this callback.
*/
void onBookAtomicEndBook (
MamdaSubscription* subscription,
MamdaBookAtomicListener& listener)
{
/**
* When level recap/delta is received, it is stored in a MamdaOrderBookPriceLevel.
* If no entry deltas/recaps are received, then the price level should be applied
* to the book.
* The entry delta/recap callback will mark the price level with an UNKNOWN side to
* show that it does not need to be applied to the book
*/
if(mReusablePriceLevel.getSide() != MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_UNKNOWN)
{
if (gExampleLogLevel == EXAMPLE_LOG_LEVEL_NORMAL
&& mOrderBook.getQuality() == MAMA_QUALITY_OK)
{
prettyPrint(subscription, mReusablePriceLevel);
}
applyLevel(mReusablePriceLevel);
mReusablePriceLevel.setSide(MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_UNKNOWN);
}
if(mOrderBook.getQuality() == MAMA_QUALITY_OK && gExampleLogLevel == EXAMPLE_LOG_LEVEL_NORMAL)
{
prettyPrint(mOrderBook);
}
cout<< "BOOK END\n";
}
/*
* Helper function to print a MamdaOrderBookPriceLevel
*/
void prettyPrint(
MamdaSubscription* subscription,
const MamdaOrderBookPriceLevel& level)
{
// Print Entry Level Info
const char* symbol = subscription->getSymbol ();
const char* time = level.getTime().getTimeAsString();
double price = level.getPrice ();
char side = level.getSide();
char action = level.getAction ();
double size = level.getSize ();
cout << "LEVEL "
<< symbol << " "
<< time << " "
<< action << " "
<< price << " "
<< side << " "
<< size << endl;
}
/**
* Method invoked when a full refresh of the order book for the
* security is available. The reason for the invocation may be
* any of the following:
* - Initial image.
* - Recap update (e.g., after server fault tolerant event or data
* quality event.)
* - After stale status removed.
*/
void onBookAtomicLevelRecap (
MamdaSubscription* subscription,
MamdaBookAtomicListener& listener,
const MamaMsg& msg,
const MamdaBookAtomicLevel& level)
{
/**
* The level should only be processed when entires are not received
* i.e. for level only based feeds
* If an entry was received on the previous level, then the level will
* have been marked with an UNKNOWN side and should not be applied to
* the book
*/
if(mReusablePriceLevel.getSide() != MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_UNKNOWN)
{
applyLevel (mReusablePriceLevel);
}
/**
* Store the current level
*/
storeLevel(level);
}
void MamdaOrderBookPriceLevel::setAsDifference (
const MamdaOrderBookPriceLevel& lhs,
const MamdaOrderBookPriceLevel& rhs)
{
assert (lhs.getPrice() == rhs.getPrice());
MamdaOrderBookPriceLevel::iterator lhsEnd = end();
MamdaOrderBookPriceLevel::iterator lhsIter = begin();
MamdaOrderBookPriceLevel::iterator rhsEnd = end();
MamdaOrderBookPriceLevel::iterator rhsIter = begin();
while ((lhsIter != lhsEnd) && (rhsIter != rhsEnd))
{
const char* lhsId = NULL;
const char* rhsId = NULL;
mama_quantity_t lhsSize = 0.0;
mama_quantity_t rhsSize = 0.0;
if (lhsIter != lhsEnd)
{
const MamdaOrderBookEntry* entry = *lhsIter;
lhsId = entry->getId();
lhsSize = entry->getSize();
}
if (rhsIter != rhsEnd)
{
const MamdaOrderBookEntry* entry = *rhsIter;
rhsId = entry->getId();
rhsSize = entry->getSize();
}
if (lhsId && rhsId)
{
if (strcmp(lhsId,rhsId)==0)
{
// Same ID, maybe different size.
if (mama_isQuantityEqual (lhsSize, rhsSize))
{
MamdaOrderBookEntry* updateEntry =
new MamdaOrderBookEntry (**rhsIter);
updateEntry->setAction(
MamdaOrderBookEntry::MAMDA_BOOK_ACTION_UPDATE);
addEntry (updateEntry);
}
++lhsIter;
++rhsIter;
continue;
}
else
{
// Different ID (either something exists on the LHS
// and not on RHS or vice versa).
MamdaOrderBookPriceLevel::const_iterator rhsFound =
findEntryAfter (rhsIter, lhsId);
if (rhsFound != rhsEnd)
{
// The ID from the LHS was found on the RHS, so
// there must have been additional entries on the
// RHS, which we now need to add.
do
{
MamdaOrderBookEntry* entry =
new MamdaOrderBookEntry(**rhsIter);
addEntry (entry);
++rhsIter;
}
while (rhsIter != rhsFound);
}
else
{
// The ID from the LHS was not present on the RHS,
// so add the LHS entry. Note: it would probably
// be faster to iterate over the LHS side rather
// than begin the loop again.
MamdaOrderBookEntry* entry =
new MamdaOrderBookEntry(**lhsIter);
addEntry (entry);
++lhsIter;
}
}
}
}
setPrice (rhs.getPrice());
setSizeChange (rhs.getSize() - lhs.getSize());
setSize (rhs.getSize());
setNumEntries (rhs.getNumEntries());
setAction (MamdaOrderBookPriceLevel::MAMDA_BOOK_ACTION_UPDATE);
setTime (rhs.getTime());
setSide (rhs.getSide());
}
