void onSecurityCreate (
MamdaSubscription* subscription,
MamdaMultiSecurityManager& manager,
const char* securitySymbol,
bool isPrimary)
{
// Create a trade and quote listener for the security
MamdaTradeListener* aTradeListener = new MamdaTradeListener;
MamdaQuoteListener* aQuoteListener = new MamdaQuoteListener;
ComboTicker* aTicker = new ComboTicker (*aTradeListener,
*aQuoteListener);
aQuoteListener->addHandler (aTicker);
aTradeListener->addHandler (aTicker);
manager.addSecurityListener (aQuoteListener, securitySymbol);
manager.addSecurityListener (aTradeListener, securitySymbol);
}
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)
{
setbuf (stdout, NULL);
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());
MamdaCommonFields::setDictionary (*dictRequester.getDictionary());
MamdaTradeFields::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;
MamdaTradeListener* aTradeListener = new MamdaTradeListener;
TradeTicker* aTicker = new TradeTicker;
aTradeListener->addHandler (aTicker);
aSubscription->addMsgListener (aTradeListener);
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 << "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;
}
void onTradeReport (
MamdaSubscription* subscription,
MamdaTradeListener& listener,
const MamaMsg& msg,
const MamdaTradeReport& event,
const MamdaTradeRecap& recap)
{
ofstream Fieldtest1;
//Fieldtest1.open ("ControlCallBackMsgs/TradeFields/TradeFieldTest.out");
Fieldtest1.open ("newMsgs/newTradeFieldTest.out");
if(!Fieldtest1)
{
cout << "Cannot open file.\n";
exit(1);
}
Fieldtest1 << recap.getSymbol()
<< recap.getSrcTime().getAsString()
<< event.getTradePartId()
//<< recap.getF64("wTotalVolume",475,113561846)
<< recap.getTotalValue()
<< recap.getVwap()
<< recap.getTradeCount()
<< event.getIsIrregular()
<< event.getTradeQual()
//<< recap.getI32("wTradeSeqNum",483, 1)
<< event.getTradeQualNative()
<< listener.getTradePrice().getValue()
<< recap.getNetChange().getValue()
<< recap.getPctChange()
<< recap.getTradeUnits()
<< recap.getTradeDirection()
<< recap.getLastTime().getAsString()
<< event.getTradeVolume()
<< recap.getActivityTime().getAsString()
//<< recap.MamaMsg::getDateTime("wSendTime",?, val)
<< recap.getLineTime().getAsString()
<< listener.getPubId()
<< recap.getEventSeqNum()
<< event.getEventTime().getAsString()
<< recap.getIrregPartId()
<< recap.getIrregVolume()
<< recap.getIrregTime().getAsString()
<< recap.getTradeDate().getAsString()
<< recap.getOffExAccVolume()
<< recap.getOnExAccVolume()
<< recap.getOpenPrice().getValue()
<< recap.getHighPrice().getValue()
<< recap.getLowPrice().getValue()
<< recap.getClosePrice().getValue()
<< recap.getPrevClosePrice().getValue()
<< recap.getAdjPrevClosePrice().getValue()
<< recap.getPrevCloseDate().getAsString()
<< recap.getBlockCount()
<< recap.getBlockVolume()
<< recap.getOffExVwap()
<< recap.getOnExVwap()
<< recap.getOffExTotalValue()
<< recap.getOnExTotalValue()
<< recap.getStdDev()
<< recap.getStdDevSum()
<< recap.getStdDevSumSquares()
<< recap.getLastSeqNum()
<< recap.getHighSeqNum()
<< recap.getLowSeqNum()
<< recap.getTotalVolumeSeqNum()
<< recap.getCurrencyCode()
<< recap.getSettlePrice().getValue()
<< recap.getSettleDate().getAsString()
<< listener.getOrderId()
<< listener.getUniqueId()
<< listener.getTradeAction()
<< listener.getTradeExecVenue()
<< listener.getTradeSellersSaleDays()
<< listener.getOrigStopStock()
//<< recap.getI64("wOrigSeqNum",423, 1) causes this test to abort
<< listener.getOrigPrice().getValue()
<< listener.getOrigVolume()
<< listener.getOrigPartId()
<< listener.getOrigQual()
<< listener.getOrigQualNative()
//<< recap.getI64("wOrigSaleDays",422, 1) causes this test to abort
<< listener.getOrigStopStock()
<< listener.getCorrPrice().getValue()
<< listener.getCorrPartId()
<< listener.getCorrQual()
<< listener.getCorrQualNative()
//<< recap.getI64("wCorrSaleDays",250, 1)causes this test to abort
<< listener.getCorrStopStock()
<< listener.getOffExchangeTradePrice().getValue()
<< listener.getOnExchangeTradePrice().getValue()
<< flush;
Fieldtest1.close();
ofstream Fieldtest2;
//Fieldtest2.open ("ControlCallBackMsgs/TradeFieldStates/TradeFieldStateTest.out");
Fieldtest2.open ("newMsgs/newTradeFieldStatesTest.out");
if(!Fieldtest2)
{
cout << "Cannot open file.\n";
exit(1);
}
Fieldtest2 << recap.getSymbolFieldState()
<< recap.getSrcTimeFieldState()
<< event.getTradePartIdFieldState()
//<< recap.getF64("wTotalVolume",475,113561846)
<< recap.getTotalValueFieldState()
<< recap.getVwapFieldState()
<< recap.getTradeCountFieldState()
<< event.getIsIrregularFieldState()
<< event.getTradeQualFieldState()
//<< recap.getI32("wTradeSeqNum",483, 1)
<< event.getTradeQualNativeFieldState()
<< listener.getTradePriceFieldState()
<< recap.getNetChangeFieldState()
<< recap.getPctChangeFieldState()
<< recap.getTradeUnitsFieldState()
<< recap.getTradeDirectionFieldState()
<< recap.getLastTimeFieldState()
<< event.getTradeVolumeFieldState()
<< recap.getActivityTimeFieldState()
//<< recap.MamaMsg::getDateTime("wSendTime",?, val)
<< recap.getLineTimeFieldState()
<< listener.getPubIdFieldState()
<< recap.getEventSeqNumFieldState()
<< event.getEventTimeFieldState()
<< recap.getIrregPartIdFieldState()
<< recap.getIrregVolumeFieldState()
<< recap.getIrregTimeFieldState()
<< recap.getTradeDateFieldState()
<< recap.getOffExAccVolumeFieldState()
<< recap.getOnExAccVolumeFieldState()
<< recap.getOpenPriceFieldState()
<< recap.getHighPriceFieldState()
<< recap.getLowPriceFieldState()
<< recap.getClosePriceFieldState()
<< recap.getPrevClosePriceFieldState()
<< recap.getAdjPrevClosePriceFieldState()
<< recap.getPrevCloseDateFieldState()
<< recap.getBlockCountFieldState()
<< recap.getBlockVolumeFieldState()
<< recap.getOffExVwapFieldState()
<< recap.getOnExVwapFieldState()
<< recap.getOffExTotalValueFieldState()
<< recap.getOnExTotalValueFieldState()
<< recap.getStdDevFieldState()
<< recap.getStdDevSumFieldState()
<< recap.getStdDevSumSquaresFieldState()
<< recap.getLastSeqNumFieldState()
<< recap.getHighSeqNumFieldState()
<< recap.getLowSeqNumFieldState()
<< recap.getTotalVolumeSeqNumFieldState()
<< recap.getCurrencyCodeFieldState()
<< recap.getSettlePriceFieldState()
<< recap.getSettleDateFieldState()
<< listener.getOrderIdFieldState()
<< listener.getUniqueIdFieldState()
<< listener.getTradeActionFieldState()
<< listener.getTradeExecVenueFieldState()
<< listener.getTradeSellersSaleDaysFieldState()
<< listener.getOrigStopStockFieldState()
//<< recap.getI64("wOrigSeqNum",423, 1) causes this test to abort
<< listener.getOrigPriceFieldState()
<< listener.getOrigVolumeFieldState()
<< listener.getOrigPartIdFieldState()
<< listener.getOrigQualFieldState()
<< listener.getOrigQualNativeFieldState()
//<< recap.getI64("wOrigSaleDays",422, 1) causes this test to abort
<< listener.getOrigStopStockFieldState()
<< listener.getCorrPriceFieldState()
<< listener.getCorrPartIdFieldState()
<< listener.getCorrQualFieldState()
<< listener.getCorrQualNativeFieldState()
//<< recap.getI64("wCorrSaleDays",250, 1)causes this test to abort
<< listener.getCorrStopStockFieldState()
<< listener.getOffExchangeTradePriceFieldState()
<< listener.getOnExchangeTradePriceFieldState()
<< flush;
Fieldtest2.close();
return ;
}