/**
* 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";
}
/**
* 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 onBookAtomicLevelEntryRecap (
MamdaSubscription* subscription,
MamdaBookAtomicListener& listener,
const MamaMsg& msg,
const MamdaBookAtomicLevelEntry& levelEntry)
{
applyEntry(levelEntry);
/**
* An entry has been processed on the level so mark the level with
* an unknown side so that it will not be applied to book
*/
mReusablePriceLevel.setSide (MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_UNKNOWN);
}
/**
* Helper function to store a MamdaBookAtomicLevel in
* the resuabale MamdaOrderBookPriceLevel
*/
void storeLevel(const MamdaBookAtomicLevel& level)
{
mReusablePriceLevel.clear();
mReusablePriceLevel.setPrice (level.getPriceLevelPrice());
mReusablePriceLevel.setSide ((MamdaOrderBookPriceLevel::Side)level.getPriceLevelSide());
mReusablePriceLevel.setTime (level.getPriceLevelTime());
/**
* As per the MAMDA Developers Guide, the following three accessors on a MamdaBookAtomicLevel
* object should not be used for V5 entry updates. Here, these calls are used and
* the resulting MamdaOrderBookPriceLevel is only used when the callbacks received
* indicate that the update was not a V5 entry update.
*/
mReusablePriceLevel.setSize (level.getPriceLevelSize());
mReusablePriceLevel.setAction ((MamdaOrderBookPriceLevel::Action) level.getPriceLevelAction());
mReusablePriceLevel.setNumEntries ((mama_u32_t)level.getPriceLevelNumEntries());
}
/**
* Method invoked when an order book delta is reported.
*/
void onBookAtomicLevelEntryDelta (
MamdaSubscription* subscription,
MamdaBookAtomicListener& listener,
const MamaMsg& msg,
const MamdaBookAtomicLevelEntry& levelEntry)
{
if (gExampleLogLevel == EXAMPLE_LOG_LEVEL_NORMAL
&& mOrderBook.getQuality() == MAMA_QUALITY_OK)
{
prettyPrint (subscription, levelEntry);
}
applyEntry (levelEntry);
/**
* An entry has been processed on the level so mark the level with
* an unknown side so that it will not be applied to book
*/
mReusablePriceLevel.setSide (MamdaOrderBookPriceLevel::MAMDA_BOOK_SIDE_UNKNOWN);
}
void BookPublisher::processOrder ()
{
MamdaOrderBookPriceLevel* level = NULL;
MamdaOrderBookEntry* entry = NULL;
order thisOrder = orderArray[mOrderCount];
mBookTime.setToNow();
if (mProcessEntries)
{
switch (thisOrder.entAction)
{
case ENTDELETE:
{
level = mBook->getLevelAtPrice (thisOrder.price, thisOrder.side);
if (level)
entry = level->findEntry (thisOrder.entId);
if (entry)
mBook->deleteEntry (entry, mBookTime, NULL);
break;
}
case ENTADD:
{
mBook->addEntry (thisOrder.entId, thisOrder.entSize,
thisOrder.price, thisOrder.side,
mBookTime, NULL, NULL);
break;
}
case ENTUPDATE:
{
entry = level->findEntry (thisOrder.entId);
mBook->updateEntry (entry, thisOrder.entSize,
mBookTime, NULL);
break;
}
}
}
else
{
level = mBook->getLevelAtPrice(thisOrder.price, thisOrder.side);
if (level)
{
level->setSizeChange (thisOrder.sizeChange);
level->setPrice (thisOrder.price);
level->setSize (thisOrder.volume);
level->setNumEntries (thisOrder.numEntries);
level->setTime (mBookTime);
level->setAction (thisOrder.plAction);
}
else
{
level = new MamdaOrderBookPriceLevel();
level->setSide (thisOrder.side);
level->setSizeChange (thisOrder.sizeChange);
level->setPrice (thisOrder.price);
level->setSize (thisOrder.volume);
level->setNumEntries (thisOrder.numEntries);
level->setTime (mBookTime);
level->setAction (thisOrder.plAction);
}
switch (thisOrder.plAction)
{
case PLDELETE:
mBook->deleteLevel(*level);
break;
case PLADD:
mBook->addLevel(*level);
break;
case PLUPDATE:
mBook->updateLevel(*level);
break;
}
}
mOrderCount++;
}
