/*
* 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;
}
void MamdaQuoteToBookListenerImpl::handleQuote (MamdaSubscription* subscription,
const MamaMsg& msg)
{
checkQuoteCount (subscription, msg);
MamdaOrderBookPriceLevel* level = NULL;
if (mQuoteCache.mGotBidSize || mQuoteCache.mGotBidPrice)
{
// get current level
MamdaOrderBook::bidIterator bidIter = mFullBook->bidBegin();
if (bidIter == mFullBook->bidEnd())
level = NULL;
else
level = *bidIter;
if (level == NULL)
{
if (mQuoteCache.mBidSize == (mama_quantity_t)0 || mQuoteCache.mBidPrice.isZero())
{
if (mQuoteCache.mBidSize == (mama_quantity_t)0 && mQuoteCache.mBidPrice.isZero())
{
mama_log (MAMA_LOG_LEVEL_WARN,
"MamdaQuoteToBookListener: Got bid update, but price and size are 0\n");
}
}
else
{
addLevel (level,
mQuoteCache.mBidPrice.getValue(),
mQuoteCache.mBidSize,
MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_BID,
mQuoteCache.mQuoteTime);
}
}
else
{
if ((mQuoteCache.mBidSize == 0) || (mQuoteCache.mBidPrice.isZero()))
{
deleteLevel (level, MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_BID, mQuoteCache.mQuoteTime);
}
else if (mQuoteCache.mBidPrice == level->getPrice())
{
updateLevel (level,
mQuoteCache.mBidSize,
mQuoteCache.mBidSize - level->getSize(),
MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_BID,
mQuoteCache.mQuoteTime);
}
else
{
deleteLevel (level,
MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_BID,
mQuoteCache.mQuoteTime);
addLevel (level,
mQuoteCache.mBidPrice.getValue(),
mQuoteCache.mBidSize,
MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_BID,
mQuoteCache.mQuoteTime);
}
}
}
if (mQuoteCache.mGotAskSize || mQuoteCache.mGotAskPrice)
{
// get current level
MamdaOrderBook::askIterator askIter = mFullBook->askBegin();
if (askIter == mFullBook->askEnd())
level = NULL;
else
level = *askIter;
if (level == NULL)
{
if (mQuoteCache.mAskSize == (mama_quantity_t)0 || mQuoteCache.mAskPrice.isZero())
{
if (mQuoteCache.mAskSize == (mama_quantity_t)0 && mQuoteCache.mAskPrice.isZero())
{
mama_log (MAMA_LOG_LEVEL_WARN,
"MamdaQuoteToBookListener: Got ask update, but price and size are 0\n");
}
}
else
{
addLevel (level,
mQuoteCache.mAskPrice.getValue(),
mQuoteCache.mAskSize,
MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_ASK,
mQuoteCache.mQuoteTime);
}
}
else
{
if ((mQuoteCache.mAskSize == 0) || (mQuoteCache.mAskPrice.isZero()))
{
deleteLevel (level, MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_ASK, mQuoteCache.mQuoteTime);
}
else if (mQuoteCache.mAskPrice == level->getPrice())
{
updateLevel (level,
mQuoteCache.mAskSize,
mQuoteCache.mAskSize - level->getSize(),
MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_ASK,
mQuoteCache.mQuoteTime);
}
else
{
deleteLevel (level,
MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_ASK,
mQuoteCache.mQuoteTime);
addLevel (level,
mQuoteCache.mAskPrice.getValue(),
mQuoteCache.mAskSize,
MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_ASK,
mQuoteCache.mQuoteTime);
}
}
}
if (mUpdateInconsistentBook || mFullBook->getIsConsistent())
{
invokeDeltaHandlers (subscription, &msg);
}
}
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());
}
