示例#1
0
    /**
     * 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());
    }
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++;
}