Wombat::MamdaOrderImbalanceListener

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#include <MamdaOrderImbalanceListener.h>

Inherits from Wombat::MamdaOrderImbalanceUpdate, Wombat::MamdaMsgListener, Wombat::MamdaOrderImbalanceRecap, Wombat::MamdaBasicEvent, Wombat::MamdaBasicRecap

Public Functions

Additional inherited members

Public Functions inherited from Wombat::MamdaOrderImbalanceUpdate

Public Functions inherited from Wombat::MamdaMsgListener

Public Functions inherited from Wombat::MamdaOrderImbalanceRecap

Public Functions inherited from Wombat::MamdaBasicEvent

Public Functions inherited from Wombat::MamdaBasicRecap

Detailed Description

class Wombat::MamdaOrderImbalanceListener;

A MamdaOrderImbalanceListener is class that specializes in handling an imbalance order updates. An imbalance order occurs when too many orders of a particular type - either buy, sell or limit - for listed securities and not enough of the other, matching orders are received by an exchange. Developers provide their own implementation of the MamdaOrderImbalanceHandler interface and will be delivered notifications for imbalance updates. An obvious application for this MAMDA class is any kind of tick capture application.

MamdaOrderImbalanceListener should initialize the MamdaOrderImbalanceFields class prior to receiving the first message by calling MamdaOrderImbalanceFields::setDictionary() with a valid dictionary object which contains OrderImbalance related fields.

Public Functions Documentation

function MamdaOrderImbalanceListener

MamdaOrderImbalanceListener()

function ~MamdaOrderImbalanceListener

virtual ~MamdaOrderImbalanceListener()

function addHandler

void addHandler(
    MamdaOrderImbalanceHandler * handler
)

Add a specialized order imbalance handler.

function getHighIndicationPrice

virtual MamaPrice & getHighIndicationPrice() const

Return: Returns the myHighIndicationPrice.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getHighIndicationPrice

function getHighIndicationPriceFieldState

virtual MamdaFieldState getHighIndicationPriceFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getHighIndicationPriceFieldState

Get the myHighIndicationPrice field state

function getLowIndicationPrice

virtual MamaPrice & getLowIndicationPrice() const

Return: Returns the myLowIndicationPrice.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getLowIndicationPrice

function getLowIndicationPriceFieldState

virtual MamdaFieldState getLowIndicationPriceFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getLowIndicationPriceFieldState

Get the myLowIndicationPrice field state

function getImbalancePrice

virtual MamaPrice & getImbalancePrice() const

Return: Returns the myIndicationPrice.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getImbalancePrice

function getImbalancePriceFieldState

virtual MamdaFieldState getImbalancePriceFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getImbalancePriceFieldState

Get the myIndicationPrice field state

function getBuyVolume

virtual int64_t getBuyVolume() const

Return: Returns the myBuyVolume.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getBuyVolume

function getBuyVolumeFieldState

virtual MamdaFieldState getBuyVolumeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getBuyVolumeFieldState

Get the myBuyVolume field state

function getSellVolume

virtual int64_t getSellVolume() const

Return: Returns the mySellVolume.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getSellVolume

function getSellVolumeFieldState

virtual MamdaFieldState getSellVolumeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getSellVolumeFieldState

Get the mySellVolume field state

function getMatchVolume

virtual int64_t getMatchVolume() const

Return: Returns the myMatchVolume.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getMatchVolume

function getMatchVolumeFieldState

virtual MamdaFieldState getMatchVolumeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getMatchVolumeFieldState

Get the myMatchVolume field state

function getImbalanceState

virtual const char * getImbalanceState() const

Return: Returns the mySecurityStatusQual.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getImbalanceState

function getImbalanceStateFieldState

virtual MamdaFieldState getImbalanceStateFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getImbalanceStateFieldState

Get the mySecurityStatusQual field state

function getMatchPrice

virtual MamaPrice & getMatchPrice() const

Return: Returns the myInsideMatchPrice.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getMatchPrice

function getMatchPriceFieldState

virtual MamdaFieldState getMatchPriceFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getMatchPriceFieldState

Get the myInsideMatchPrice field state

function getFarClearingPrice

virtual MamaPrice & getFarClearingPrice() const

Return: Returns the myFarClearingPrice.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getFarClearingPrice

function getFarClearingPriceFieldState

virtual MamdaFieldState getFarClearingPriceFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getFarClearingPriceFieldState

Get the myFarClearingPrice field state

function getNearClearingPrice

virtual MamaPrice & getNearClearingPrice() const

Return: Returns the myNearClearingPrice.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getNearClearingPrice

function getNearClearingPriceFieldState

virtual MamdaFieldState getNearClearingPriceFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getNearClearingPriceFieldState

Get the myNearClearingPrice field state

function getNoClearingPrice

virtual char getNoClearingPrice() const

Return: Returns the myNoClearingPrice.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getNoClearingPrice

function getNoClearingPriceFieldState

virtual MamdaFieldState getNoClearingPriceFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getNoClearingPriceFieldState

Get the myNoClearingPrice field state

function getPriceVarInd

virtual char getPriceVarInd() const

Return: Returns the myPriceVarInd.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getPriceVarInd

function getPriceVarIndFieldState

virtual MamdaFieldState getPriceVarIndFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getPriceVarIndFieldState

Get the myPriceVarInd field state

function getCrossType

virtual char getCrossType() const

Return: Returns the myCrossType.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getCrossType

function getCrossTypeFieldState

virtual MamdaFieldState getCrossTypeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getCrossTypeFieldState

Get the myCrossType field state

function getEventTime

virtual MamaDateTime & getEventTime() const

Return: Returns the myEventTime.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getEventTime

function getEventTimeFieldState

virtual MamdaFieldState getEventTimeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getEventTimeFieldState

Get the myEventTime field state

function getEventSeqNum

virtual mama_seqnum_t getEventSeqNum() const

Return: Returns the myEventSeqNum.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getEventSeqNum

function getEventSeqNumFieldState

virtual MamdaFieldState getEventSeqNumFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getEventSeqNumFieldState

Get the myEventSeqNum field state

function getSrcTime

virtual MamaDateTime & getSrcTime() const

Return: Source time. Typically, the exchange generated feed time stamp. This is often the same as the “event time”, because many feeds do not distinguish between the actual event time and when the exchange sent the message.

Reimplements: Wombat::MamdaBasicEvent::getSrcTime

Get the source time.

function getSrcTimeFieldState

virtual MamdaFieldState getSrcTimeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaBasicEvent::getSrcTimeFieldState

Get the source time field state

function getActivityTime

virtual MamaDateTime & getActivityTime() const

Return: Activity time. A feed handler generated time stamp representing when the data item was last updated.

Reimplements: Wombat::MamdaBasicEvent::getActivityTime

Get the activity time.

function getActivityTimeFieldState

virtual MamdaFieldState getActivityTimeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaBasicEvent::getActivityTimeFieldState

Get the activity time field state

function getMsgType

virtual mama_i32_t getMsgType() const

Return: Returns the myMsgType.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getMsgType

function getMsgTypeFieldState

virtual MamdaFieldState getMsgTypeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getMsgTypeFieldState

Get the myMsgType field state

function getIssueSymbol

virtual const char * getIssueSymbol() const

Return: Returns the myIssueSymbol.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getIssueSymbol

function getIssueSymbolFieldState

virtual MamdaFieldState getIssueSymbolFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getIssueSymbolFieldState

Get the myIssueSymbol field state

function getPartId

virtual const char * getPartId() const

Return: Returns the myPartId.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getPartId

function getPartIdFieldState

virtual MamdaFieldState getPartIdFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getPartIdFieldState

Get the myPartId field state

function getSeqNum

virtual mama_seqnum_t getSeqNum() const

Return: Returns the mySeqNum.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getSeqNum

function getSeqNumFieldState

virtual MamdaFieldState getSeqNumFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getSeqNumFieldState

Get the mySeqNum field state

function getSecurityStatusOrig

virtual const char * getSecurityStatusOrig() const

Return: Returns the mySecurityStatusOrig.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getSecurityStatusOrig

function getSecurityStatusOrigFieldState

virtual MamdaFieldState getSecurityStatusOrigFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getSecurityStatusOrigFieldState

Get the mySecurityStatusOrig field state

function getSecurityStatusTime

virtual MamaDateTime & getSecurityStatusTime() const

Return: Returns the mySecurityStatusTime.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getSecurityStatusTime

function getSecurityStatusTimeFieldState

virtual MamdaFieldState getSecurityStatusTimeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getSecurityStatusTimeFieldState

Get the mySecurityStatusTime field state

function getAuctionTime

virtual MamaDateTime & getAuctionTime() const

Return: Returns the Auction Time.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getAuctionTime

function getAuctionTimeFieldState

virtual MamdaFieldState getAuctionTimeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaOrderImbalanceRecap::getAuctionTimeFieldState

Get the myAuctionTime field state

function getLineTime

virtual MamaDateTime & getLineTime() const

Return: Line time. A feed handler (or similar publisher) time stamp representing the time that such publisher received the update message pertaining to the event. If clocks are properly synchronized and the source time (see above) is accurate enough, then the difference between the source time and line time is the latency between the data source and the feed handler.

Reimplements: Wombat::MamdaBasicEvent::getLineTime

Get the line time.

function getLineTimeFieldState

virtual MamdaFieldState getLineTimeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaBasicEvent::getLineTimeFieldState

Get the line time of the update.

function getSendTime

virtual MamaDateTime & getSendTime() const

Return: Send time. A feed handler (or similar publisher) time stamp representing the time that such publisher sent the current message. The difference between the line time and send time is the latency within the feed handler itself. Also, if clocks are properly synchronized then the difference between the send time and current time is the latency within the market data distribution framework (i.e. MAMA and the underlying middleware). See MAMA API: MamaDateTime::currentTime()).

Reimplements: Wombat::MamdaBasicEvent::getSendTime

Get the send time.

function getSendTimeFieldState

virtual MamdaFieldState getSendTimeFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaBasicEvent::getSendTimeFieldState

Get the send time field state

function getSymbol

virtual const char * getSymbol() const

Return: Symbol. This is the “well-known” symbol for the security, including any symbology mapping performed by the publisher.

Reimplements: Wombat::MamdaBasicEvent::getSymbol

Get the instruments string symbol.

function getSymbolFieldState

virtual MamdaFieldState getSymbolFieldState() const

Return: MamdaFieldState. An enumeration representing field state.

Reimplements: Wombat::MamdaBasicEvent::getSymbolFieldState

Get the string symbol field state

function getMsgQual

virtual const MamaMsgQual & getMsgQual() const

Return: Message Qualifier. The message qualifier provides information in relation to messages duplicate, delayed or out-of-sequence status.

Reimplements: Wombat::MamdaBasicEvent::getMsgQual

Get the message qualifier.

function getMsgQualFieldState

virtual MamdaFieldState getMsgQualFieldState() const

Return: Message Qualifier. The message qualifier provides information in relation to messages duplicate, delayed or out-of-sequence status.

Reimplements: Wombat::MamdaBasicEvent::getMsgQualFieldState

Get the message qualifier field state.

function updateFieldStates

void updateFieldStates()

function onMsg

virtual void onMsg(
    MamdaSubscription * subscription,
    const MamaMsg & msg,
    short msgType
)

Reimplements: Wombat::MamdaMsgListener::onMsg

Implementation of MamdaListener interface.

Updated on 2023-03-31 at 15:29:57 +0100