| Name |
|---|
| Wombat |
| Name | |
|---|---|
| class | Wombat::MamdaQuoteListener MamdaQuoteListener is a class that specializes in handling quote updates. Developers provide their own implementation of the MamdaQuoteHandler interface and will be delivered notifications for quotes and quote closing prices. An obvious application for this MAMDA class is any kind of quote tick capture application. |
/* $Id: MamdaQuoteListener.cs,v 1.20.2.5 2012/08/24 16:12:11 clintonmcdowell Exp $
*
* OpenMAMA: The open middleware agnostic messaging API
* Copyright (C) 2011 NYSE Technologies, Inc.
*
* This library is free software; you can redistribute it and/or
* modify it under the terms of the GNU Lesser General Public
* License as published by the Free Software Foundation; either
* version 2.1 of the License, or (at your option) any later version.
*
* This library is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
* Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* License along with this library; if not, write to the Free Software
* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
* 02110-1301 USA
*/
using System;
using System.Threading;
using System.Collections;
namespace Wombat
{
public class MamdaQuoteListener :
MamdaMsgListener,
MamdaQuoteRecap,
MamdaQuoteUpdate,
MamdaQuoteGap,
MamdaQuoteClosing
{
public MamdaQuoteListener()
{
//Initialize the cache
clearCache(mQuoteCache);
//Single iterator instance needed for all messages
mFieldIterator = new FieldIterator (this);
}
private static void clearCache(MamdaQuoteCache cache)
{
cache.mSymbol = null;
cache.mPartId = null;
cache.mSrcTime = DateTime.MinValue;
cache.mActTime = DateTime.MinValue;
cache.mLineTime = DateTime.MinValue;
cache.mSendTime = DateTime.MinValue;
cache.mPubId = null;
cache.mBidPrice = new MamaPrice ();
cache.mBidSize = 0;
cache.mBidDepth = 0;
cache.mBidPartId = null;
cache.mBidClosePrice = new MamaPrice ();
cache.mBidCloseDate = DateTime.MinValue;
cache.mBidPrevClosePrice = new MamaPrice ();
cache.mBidPrevCloseDate = DateTime.MinValue;
cache.mBidHigh = new MamaPrice ();
cache.mBidLow = new MamaPrice ();
cache.mAskPrice = new MamaPrice ();
cache.mAskSize = 0;
cache.mAskDepth = 0;
cache.mAskPartId = null;
cache.mAskClosePrice = new MamaPrice ();
cache.mAskCloseDate = DateTime.MinValue;
cache.mAskPrevClosePrice = new MamaPrice ();
cache.mAskPrevCloseDate = DateTime.MinValue;
cache.mAskHigh = new MamaPrice ();
cache.mAskLow = new MamaPrice ();
cache.mMidPrice = new MamaPrice ();
cache.mEventSeqNum = 0;
cache.mEventTime = DateTime.MinValue;
cache.mQuoteDate = DateTime.MinValue;
cache.mQuoteQualStr = null;
cache.mQuoteQualNative = null;
cache.mShortSaleBidTick = 'Z';
cache.mShortSaleCircuitBreaker = ' ';
cache.mTmpQuoteCount = 0;
cache.mQuoteCount = 0;
cache.mConflateCount = 1;
cache.mGotBidPrice = false;
cache.mGotAskPrice = false;
cache.mGotBidSize = false;
cache.mGotAskSize = false;
cache.mGotBidDepth = false;
cache.mGotAskDepth = false;
cache.mGotPartId = false;
cache.mGotBidPartId = false;
cache.mGotAskPartId = false;
cache.mGotQuoteCount = false;
cache.mAskTime = DateTime.MinValue;
cache.mBidTime = DateTime.MinValue;
cache.mAskIndicator = null;
cache.mBidIndicator = null;
cache.mAskUpdateCount = 0;
cache.mBidUpdateCount = 0;
cache.mAskYield = 0;
cache.mBidYield = 0;
//Field State
cache.mSymbolFieldState = new MamdaFieldState();
cache.mPartIdFieldState = new MamdaFieldState();
cache.mSrcTimeFieldState = new MamdaFieldState();
cache.mActTimeFieldState = new MamdaFieldState();
cache.mLineTimeFieldState = new MamdaFieldState();
cache.mSendTimeFieldState = new MamdaFieldState();
cache.mPubIdFieldState = new MamdaFieldState();
cache.mBidPriceFieldState = new MamdaFieldState ();
cache.mBidSizeFieldState = new MamdaFieldState();
cache.mBidDepthFieldState = new MamdaFieldState();
cache.mBidPartIdFieldState = new MamdaFieldState();
cache.mBidClosePriceFieldState = new MamdaFieldState ();
cache.mBidCloseDateFieldState = new MamdaFieldState();
cache.mBidPrevClosePriceFieldState = new MamdaFieldState ();
cache.mBidPrevCloseDateFieldState = new MamdaFieldState();
cache.mBidHighFieldState = new MamdaFieldState ();
cache.mBidLowFieldState = new MamdaFieldState ();
cache.mAskPriceFieldState = new MamdaFieldState ();
cache.mAskSizeFieldState = new MamdaFieldState();
cache.mAskDepthFieldState = new MamdaFieldState();
cache.mAskPartIdFieldState = new MamdaFieldState();
cache.mAskClosePriceFieldState = new MamdaFieldState ();
cache.mAskCloseDateFieldState = new MamdaFieldState();
cache.mAskPrevClosePriceFieldState = new MamdaFieldState ();
cache.mAskPrevCloseDateFieldState = new MamdaFieldState();
cache.mAskHighFieldState = new MamdaFieldState ();
cache.mAskLowFieldState = new MamdaFieldState ();
cache.mEventSeqNumFieldState = new MamdaFieldState();
cache.mEventTimeFieldState = new MamdaFieldState();
cache.mQuoteDateFieldState = new MamdaFieldState();
cache.mQuoteQualStrFieldState = new MamdaFieldState();
cache.mQuoteQualNativeFieldState = new MamdaFieldState();
cache.mShortSaleBidTickFieldState = new MamdaFieldState();
cache.mShortSaleCircuitBreakerFieldState =new MamdaFieldState();
cache.mTmpQuoteCountFieldState = new MamdaFieldState();
cache.mQuoteCountFieldState = new MamdaFieldState();
cache.mConflateCountFieldState = new MamdaFieldState();
cache.mAskTimeFieldState = new MamdaFieldState();
cache.mBidTimeFieldState = new MamdaFieldState();
cache.mAskIndicatorFieldState = new MamdaFieldState();
cache.mBidIndicatorFieldState = new MamdaFieldState();
cache.mAskUpdateCountFieldState = new MamdaFieldState();
cache.mBidUpdateCountFieldState = new MamdaFieldState();
cache.mAskYieldFieldState = new MamdaFieldState();
cache.mBidYieldFieldState = new MamdaFieldState();
}
public void addHandler(MamdaQuoteHandler handler)
{
mHandlers.Add(handler);
}
public string getSymbol()
{
return mQuoteCache.mSymbol;
}
public string getPartId()
{
return mQuoteCache.mPartId;
}
public DateTime getSrcTime()
{
return mQuoteCache.mSrcTime;
}
public DateTime getActivityTime()
{
return mQuoteCache.mActTime;
}
public DateTime getLineTime()
{
return mQuoteCache.mLineTime;
}
public DateTime getSendTime()
{
return mQuoteCache.mSendTime;
}
public string getPubId()
{
return mQuoteCache.mPubId;
}
public MamaPrice getBidPrice()
{
return mQuoteCache.mBidPrice;
}
public long getBidSize()
{
return (long) mQuoteCache.mBidSize;
}
public long getBidDepth()
{
return (long) mQuoteCache.mBidDepth;
}
public string getBidPartId()
{
return mQuoteCache.mBidPartId;
}
public MamaPrice getBidClosePrice()
{
return mQuoteCache.mBidClosePrice;
}
public DateTime getBidCloseDate()
{
return mQuoteCache.mBidCloseDate;
}
public MamaPrice getBidPrevClosePrice()
{
return mQuoteCache.mBidPrevClosePrice;
}
public DateTime getBidPrevCloseDate()
{
return mQuoteCache.mBidPrevCloseDate;
}
public MamaPrice getBidHigh()
{
return mQuoteCache.mBidHigh;
}
public MamaPrice getBidLow()
{
return mQuoteCache.mBidLow;
}
public MamaPrice getAskPrice()
{
return mQuoteCache.mAskPrice;
}
public long getAskSize()
{
return (long) mQuoteCache.mAskSize;
}
public long getAskDepth()
{
return (long) mQuoteCache.mAskDepth;
}
public string getAskPartId()
{
return mQuoteCache.mAskPartId;
}
public MamaPrice getAskClosePrice()
{
return mQuoteCache.mAskClosePrice;
}
public DateTime getAskCloseDate()
{
return mQuoteCache.mAskCloseDate;
}
public MamaPrice getAskPrevClosePrice()
{
return mQuoteCache.mAskPrevClosePrice;
}
public DateTime getAskPrevCloseDate()
{
return mQuoteCache.mAskPrevCloseDate;
}
public MamaPrice getAskHigh()
{
return mQuoteCache.mAskHigh;
}
public MamaPrice getAskLow()
{
return mQuoteCache.mAskLow;
}
public MamaPrice getQuoteMidPrice()
{
if ((mQuoteCache.mBidPrice.getValue() > 0.0) &&
(mQuoteCache.mAskPrice.getValue() > 0.0))
{
mQuoteCache.mMidPrice.setValue((
mQuoteCache.mAskPrice.getValue() +
mQuoteCache.mBidPrice.getValue()) / 2.0);
}
else
{
mQuoteCache.mMidPrice.clear();
}
return mQuoteCache.mMidPrice;
}
public string getQuoteQual()
{
return mQuoteCache.mQuoteQualStr;
}
public string getQuoteQualNative()
{
return mQuoteCache.mQuoteQualNative;
}
public char getShortSaleBidTick()
{
return mQuoteCache.mShortSaleBidTick;
}
public char getShortSaleCircuitBreaker()
{
return mQuoteCache.mShortSaleCircuitBreaker;
}
public long getQuoteCount()
{
return mQuoteCache.mQuoteCount;
}
public long getEventSeqNum()
{
return mQuoteCache.mEventSeqNum;
}
public DateTime getEventTime()
{
return mQuoteCache.mEventTime;
}
public DateTime getQuoteDate()
{
return mQuoteCache.mQuoteDate;
}
public long getBeginGapSeqNum()
{
return mGapBegin;
}
public long getEndGapSeqNum()
{
return mGapEnd;
}
public DateTime getAskTime ()
{
return mQuoteCache.mAskTime;
}
public DateTime getBidTime ()
{
return mQuoteCache.mBidTime;
}
public string getAskIndicator ()
{
return mQuoteCache.mAskIndicator;
}
public string getBidIndicator ()
{
return mQuoteCache.mBidIndicator;
}
public long getAskUpdateCount ()
{
return mQuoteCache.mAskUpdateCount;
}
public long getBidUpdateCount ()
{
return mQuoteCache.mBidUpdateCount;
}
public double getAskYield ()
{
return mQuoteCache.mAskYield;
}
public double getBidYield ()
{
return mQuoteCache.mBidYield;
}
public MamdaFieldState getSymbolFieldState()
{
return mQuoteCache.mSymbolFieldState;
}
public MamdaFieldState getPartIdFieldState()
{
return mQuoteCache.mPartIdFieldState;
}
public MamdaFieldState getSrcTimeFieldState()
{
return mQuoteCache.mSrcTimeFieldState;
}
public MamdaFieldState getActivityTimeFieldState()
{
return mQuoteCache.mActTimeFieldState;
}
public MamdaFieldState getLineTimeFieldState()
{
return mQuoteCache.mLineTimeFieldState;
}
public MamdaFieldState getSendTimeFieldState()
{
return mQuoteCache.mSendTimeFieldState;
}
public MamdaFieldState getPubIdFieldState()
{
return mQuoteCache.mPubIdFieldState;
}
public MamdaFieldState getBidPriceFieldState()
{
return mQuoteCache.mBidPriceFieldState;
}
public MamdaFieldState getBidSizeFieldState()
{
return (MamdaFieldState) mQuoteCache.mBidSizeFieldState;
}
public MamdaFieldState getBidDepthFieldState()
{
return (MamdaFieldState) mQuoteCache.mBidDepthFieldState;
}
public MamdaFieldState getBidPartIdFieldState()
{
return mQuoteCache.mBidPartIdFieldState;
}
public MamdaFieldState getBidClosePriceFieldState()
{
return mQuoteCache.mBidClosePriceFieldState;
}
public MamdaFieldState getBidCloseDateFieldState()
{
return mQuoteCache.mBidCloseDateFieldState;
}
public MamdaFieldState getBidPrevClosePriceFieldState()
{
return mQuoteCache.mBidPrevClosePriceFieldState;
}
public MamdaFieldState getBidPrevCloseDateFieldState()
{
return mQuoteCache.mBidPrevCloseDateFieldState;
}
public MamdaFieldState getBidHighFieldState()
{
return mQuoteCache.mBidHighFieldState;
}
public MamdaFieldState getBidLowFieldState()
{
return mQuoteCache.mBidLowFieldState;
}
public MamdaFieldState getAskPriceFieldState()
{
return mQuoteCache.mAskPriceFieldState;
}
public MamdaFieldState getAskSizeFieldState()
{
return (MamdaFieldState) mQuoteCache.mAskSizeFieldState;
}
public MamdaFieldState getAskDepthFieldState()
{
return (MamdaFieldState) mQuoteCache.mAskDepthFieldState;
}
public MamdaFieldState getAskPartIdFieldState()
{
return mQuoteCache.mAskPartIdFieldState;
}
public MamdaFieldState getAskClosePriceFieldState()
{
return mQuoteCache.mAskClosePriceFieldState;
}
public MamdaFieldState getAskCloseDateFieldState()
{
return mQuoteCache.mAskCloseDateFieldState;
}
public MamdaFieldState getAskPrevClosePriceFieldState()
{
return mQuoteCache.mAskPrevClosePriceFieldState;
}
public MamdaFieldState getAskPrevCloseDateFieldState()
{
return mQuoteCache.mAskPrevCloseDateFieldState;
}
public MamdaFieldState getAskHighFieldState()
{
return mQuoteCache.mAskHighFieldState;
}
public MamdaFieldState getAskLowFieldState()
{
return mQuoteCache.mAskLowFieldState;
}
public MamdaFieldState getQuoteQualFieldState()
{
return mQuoteCache.mQuoteQualStrFieldState;
}
public MamdaFieldState getQuoteQualNativeFieldState()
{
return mQuoteCache.mQuoteQualNativeFieldState;
}
public MamdaFieldState getShortSaleBidTickFieldState()
{
return mQuoteCache.mShortSaleBidTickFieldState;
}
public MamdaFieldState getShortSaleCircuitBreakerFieldState()
{
return mQuoteCache.mShortSaleCircuitBreakerFieldState;
}
public MamdaFieldState getQuoteCountFieldState()
{
return mQuoteCache.mQuoteCountFieldState;
}
public MamdaFieldState getEventSeqNumFieldState()
{
return mQuoteCache.mEventSeqNumFieldState;
}
public MamdaFieldState getEventTimeFieldState()
{
return mQuoteCache.mEventTimeFieldState;
}
public MamdaFieldState getQuoteDateFieldState()
{
return mQuoteCache.mQuoteDateFieldState;
}
public MamdaFieldState getBeginGapSeqNumFieldState()
{
return mGapBeginFieldState;
}
public MamdaFieldState getEndGapSeqNumFieldState()
{
return mGapEndFieldState;
}
public MamdaFieldState getAskTimeFieldState()
{
return mQuoteCache.mAskTimeFieldState;
}
public MamdaFieldState getBidTimeFieldState()
{
return mQuoteCache.mBidTimeFieldState;
}
public MamdaFieldState getAskIndicatorFieldState()
{
return mQuoteCache.mAskIndicatorFieldState;
}
public MamdaFieldState getBidIndicatorFieldState()
{
return mQuoteCache.mBidIndicatorFieldState;
}
public MamdaFieldState getAskUpdateCountFieldState()
{
return mQuoteCache.mAskUpdateCountFieldState;
}
public MamdaFieldState getBidUpdateCountFieldState()
{
return mQuoteCache.mBidUpdateCountFieldState;
}
public MamdaFieldState getAskYieldFieldState()
{
return mQuoteCache.mAskYieldFieldState;
}
public MamdaFieldState getBidYieldFieldState()
{
return mQuoteCache.mBidYieldFieldState;
}
// Implementation of MamdaListener interface.
// NB! For internal use only.
public void onMsg(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
// Listeners may be created on multiple threads and we only
// want a single list of updaters.
if (mUpdaters == null)
{
lock (mUpdatersGuard)
{
if(!MamdaQuoteFields.isSet())
{
return;
}
if (mUpdaters == null)
{
QuoteUpdate[] updaters = createUpdaters();
Thread.MemoryBarrier();
mUpdaters = updaters;
}
}
}
// If msg is a quote-related message, invoke the
// appropriate callback:
//Clear conflate count
mQuoteCache.mConflateCount = 1;
switch (msgType)
{
case mamaMsgType.MAMA_MSG_TYPE_INITIAL:
case mamaMsgType.MAMA_MSG_TYPE_RECAP:
case mamaMsgType.MAMA_MSG_TYPE_PREOPENING:
case mamaMsgType.MAMA_MSG_TYPE_SNAPSHOT:
handleRecap(subscription, msg);
break;
case mamaMsgType.MAMA_MSG_TYPE_QUOTE:
handleQuote(subscription, msg);
break;
case mamaMsgType.MAMA_MSG_TYPE_UPDATE:
case mamaMsgType.MAMA_MSG_TYPE_TRADE:
handleUpdate(subscription, msg);
break;
}
}
public void populateRecap(MamdaConcreteQuoteRecap recap)
{
lock (this)
{
recap.setSymbol(mQuoteCache.mSymbol);
recap.setPartId(mQuoteCache.mPartId);
recap.setSrcTime(mQuoteCache.mSrcTime);
recap.setActivityTime(mQuoteCache.mActTime);
recap.setLineTime(mQuoteCache.mLineTime);
recap.setSendTime(mQuoteCache.mSendTime);
recap.setPubId(mQuoteCache.mPubId);
recap.setBidPrice(mQuoteCache.mBidPrice);
recap.setBidSize(mQuoteCache.mBidSize);
recap.setBidDepth(mQuoteCache.mBidDepth);
recap.setBidPartId(mQuoteCache.mBidPartId);
recap.setBidClosePrice(mQuoteCache.mBidClosePrice);
recap.setBidCloseDate(mQuoteCache.mBidCloseDate);
recap.setBidPrevClosePrice(mQuoteCache.mBidPrevClosePrice);
recap.setBidPrevCloseDate(mQuoteCache.mBidPrevCloseDate);
recap.setBidHigh(mQuoteCache.mBidHigh);
recap.setBidLow(mQuoteCache.mBidLow);
recap.setAskPrice(mQuoteCache.mAskPrice);
recap.setQuoteMidPrice(mQuoteCache.mMidPrice);
recap.setAskSize(mQuoteCache.mAskSize);
recap.setAskDepth(mQuoteCache.mAskDepth);
recap.setAskPartId(mQuoteCache.mAskPartId);
recap.setAskClosePrice(mQuoteCache.mAskClosePrice);
recap.setAskCloseDate(mQuoteCache.mAskCloseDate);
recap.setAskPrevClosePrice(mQuoteCache.mAskPrevClosePrice);
recap.setAskPrevCloseDate(mQuoteCache.mAskPrevCloseDate);
recap.setAskHigh(mQuoteCache.mAskHigh);
recap.setAskLow(mQuoteCache.mAskLow);
recap.setEventSeqNum(mQuoteCache.mEventSeqNum);
recap.setEventTime(mQuoteCache.mEventTime);
recap.setQuoteDate(mQuoteCache.mQuoteDate);
recap.setQuoteQual(mQuoteCache.mQuoteQualStr);
recap.setQuoteQualNative(mQuoteCache.mQuoteQualNative);
recap.setQuoteCount(mQuoteCache.mQuoteCount);
recap.setShortSaleBidTick(mQuoteCache.mShortSaleBidTick);
recap.setShortSaleCircuitBreaker(getShortSaleCircuitBreaker());
recap.setAskTime (mQuoteCache.mAskTime);
recap.setBidTime (mQuoteCache.mBidTime);
recap.setAskIndicator (mQuoteCache.mAskIndicator);
recap.setBidIndicator (mQuoteCache.mBidIndicator);
recap.setAskUpdateCount (mQuoteCache.mAskUpdateCount);
recap.setBidUpdateCount (mQuoteCache.mBidUpdateCount);
recap.setAskYield (mQuoteCache.mAskYield);
recap.setBidYield (mQuoteCache.mBidYield);
}
}
private void handleRecap(
MamdaSubscription subscription,
MamaMsg msg)
{
updateFieldStates();
updateQuoteFields(msg);
checkQuoteCount(subscription, msg, false);
foreach (MamdaQuoteHandler handler in mHandlers)
{
handler.onQuoteRecap(subscription, this, msg, this);
}
}
private void handleQuote(
MamdaSubscription subscription,
MamaMsg msg)
{
updateFieldStates();
updateQuoteFields(msg);
checkQuoteCount(subscription, msg, true);
if (mIgnoreUpdate)
{
mIgnoreUpdate = false;
return;
}
foreach (MamdaQuoteHandler handler in mHandlers)
{
handler.onQuoteUpdate (subscription, this, msg, this, this);
}
}
private void handleUpdate(
MamdaSubscription subscription,
MamaMsg msg)
{
updateFieldStates();
updateQuoteFields(msg);
if (mLastGenericMsgWasQuote)
{
checkQuoteCount(subscription, msg, true);
if (mIgnoreUpdate)
{
mIgnoreUpdate = false;
return;
}
foreach (MamdaQuoteHandler handler in mHandlers)
{
handler.onQuoteUpdate (subscription, this, msg, this, this);
}
mLastGenericMsgWasQuote = false;
}
}
private void checkQuoteCount(
MamdaSubscription subscription,
MamaMsg msg,
bool checkForGap)
{
mIgnoreUpdate = false;
if (checkForGap && mQuoteCache.mGotQuoteCount)
{
if ((mQuoteCache.mQuoteCount > 0) &&
(mQuoteCache.mTmpQuoteCount > (mQuoteCache.mQuoteCount + mQuoteCache.mConflateCount)))
{
mGapBegin = mQuoteCache.mQuoteCount + mQuoteCache.mConflateCount;
mGapBeginFieldState = MamdaFieldState.MODIFIED;
mGapEnd = mQuoteCache.mTmpQuoteCount - 1;
mGapEndFieldState = MamdaFieldState.MODIFIED;
mQuoteCache.mQuoteCount = mQuoteCache.mTmpQuoteCount;
mQuoteCache.mQuoteCountFieldState = MamdaFieldState.MODIFIED;
foreach (MamdaQuoteHandler handler in mHandlers)
{
handler.onQuoteGap(subscription, this, msg, this, this);
}
}
}
/* Check for duplicates. Only check if quote count > 0, in case it isn't being sent down.*/
if ( mQuoteCache.mGotQuoteCount &&
mQuoteCache.mQuoteCount > 0 &&
(mQuoteCache.mTmpQuoteCount == mQuoteCache.mQuoteCount) )
{
mIgnoreUpdate = true;
}
mQuoteCache.mQuoteCount = mQuoteCache.mTmpQuoteCount;
mQuoteCache.mQuoteCountFieldState = MamdaFieldState.MODIFIED;
}
private static QuoteUpdate[] createUpdaters ()
{
mMaxFid = MamdaQuoteFields.getMaxFid();
QuoteUpdate[] updaters = new QuoteUpdate[mMaxFid+1];
addToUpdatersList(updaters, MamdaQuoteFields.SYMBOL, new MamdaQuoteSymbol());
addToUpdatersList(updaters, MamdaQuoteFields.ISSUE_SYMBOL, new MamdaQuoteIssueSymbol());
addToUpdatersList(updaters, MamdaQuoteFields.PART_ID, new MamdaQuotePartId());
addToUpdatersList(updaters, MamdaQuoteFields.SRC_TIME, new MamdaQuoteSrcTime());
addToUpdatersList(updaters, MamdaQuoteFields.ACTIVITY_TIME, new MamdaQuoteActivityTime());
addToUpdatersList(updaters, MamdaQuoteFields.LINE_TIME, new MamdaQuoteLineTime());
addToUpdatersList(updaters, MamdaQuoteFields.SEND_TIME, new MamdaQuoteSendTime());
addToUpdatersList(updaters, MamdaQuoteFields.PUB_ID, new MamdaQuotePubId());
addToUpdatersList(updaters, MamdaQuoteFields.BID_PRICE, new MamdaQuoteBidPrice());
addToUpdatersList(updaters, MamdaQuoteFields.BID_SIZE, new MamdaQuoteBidSize());
addToUpdatersList(updaters, MamdaQuoteFields.BID_PART_ID, new MamdaQuoteBidPartId());
addToUpdatersList(updaters, MamdaQuoteFields.BID_DEPTH, new MamdaQuoteBidDepth());
addToUpdatersList(updaters, MamdaQuoteFields.BID_CLOSE_PRICE, new MamdaQuoteBidClosePrice());
addToUpdatersList(updaters, MamdaQuoteFields.BID_CLOSE_DATE, new MamdaQuoteBidCloseDate());
addToUpdatersList(updaters, MamdaQuoteFields.BID_PREV_CLOSE_PRICE, new MamdaQuoteBidPrevClosePrice());
addToUpdatersList(updaters, MamdaQuoteFields.BID_PREV_CLOSE_DATE, new MamdaQuoteBidPrevCloseDate());
addToUpdatersList(updaters, MamdaQuoteFields.BID_HIGH, new MamdaQuoteBidHigh());
addToUpdatersList(updaters, MamdaQuoteFields.BID_LOW, new MamdaQuoteBidLow());
addToUpdatersList(updaters, MamdaQuoteFields.ASK_PRICE, new MamdaQuoteAskPrice());
addToUpdatersList(updaters, MamdaQuoteFields.ASK_SIZE, new MamdaQuoteAskSize());
addToUpdatersList(updaters, MamdaQuoteFields.ASK_PART_ID, new MamdaQuoteAskPartId());
addToUpdatersList(updaters, MamdaQuoteFields.ASK_DEPTH, new MamdaQuoteAskDepth());
addToUpdatersList(updaters, MamdaQuoteFields.ASK_CLOSE_PRICE, new MamdaQuoteAskClosePrice());
addToUpdatersList(updaters, MamdaQuoteFields.ASK_CLOSE_DATE, new MamdaQuoteAskCloseDate());
addToUpdatersList(updaters, MamdaQuoteFields.ASK_PREV_CLOSE_PRICE, new MamdaQuoteAskPrevClosePrice());
addToUpdatersList(updaters, MamdaQuoteFields.ASK_PREV_CLOSE_DATE, new MamdaQuoteAskPrevCloseDate());
addToUpdatersList(updaters, MamdaQuoteFields.ASK_HIGH, new MamdaQuoteAskHigh());
addToUpdatersList(updaters, MamdaQuoteFields.ASK_LOW, new MamdaQuoteAskLow());
addToUpdatersList(updaters, MamdaQuoteFields.QUOTE_SEQ_NUM, new MamdaQuoteSeqNum());
addToUpdatersList(updaters, MamdaQuoteFields.QUOTE_TIME, new MamdaQuoteTime());
addToUpdatersList(updaters, MamdaQuoteFields.QUOTE_DATE, new MamdaQuoteDate());
addToUpdatersList(updaters, MamdaQuoteFields.QUOTE_QUAL, new MamdaQuoteQual());
addToUpdatersList(updaters, MamdaQuoteFields.QUOTE_QUAL_NATIVE, new MamdaQuoteQualNative());
addToUpdatersList(updaters, MamdaQuoteFields.QUOTE_COUNT, new MamdaQuoteCount());
addToUpdatersList(updaters, MamdaQuoteFields.CONFLATE_COUNT, new MamdaConflateCount());
addToUpdatersList(updaters, MamdaQuoteFields.SHORT_SALE_BID_TICK, new MamdaShortSaleBidTick());
addToUpdatersList(updaters, MamdaQuoteFields.SHORT_SALE_CIRCUIT_BREAKER, new MamdaShortSaleCircuitBreaker());
addToUpdatersList(updaters, MamdaQuoteFields.BID_TICK, new MamdaShortSaleBidTick());
addToUpdatersList (updaters, MamdaQuoteFields.ASK_TIME, new MamdaAskTime ());
addToUpdatersList (updaters, MamdaQuoteFields.BID_TIME, new MamdaBidTime ());
addToUpdatersList (updaters, MamdaQuoteFields.ASK_INDICATOR, new MamdaAskIndicator ());
addToUpdatersList (updaters, MamdaQuoteFields.BID_INDICATOR, new MamdaBidIndicator ());
addToUpdatersList (updaters, MamdaQuoteFields.ASK_UPDATE_COUNT, new MamdaAskUpdateCount ());
addToUpdatersList (updaters, MamdaQuoteFields.BID_UPDATE_COUNT, new MamdaBidUpdateCount ());
addToUpdatersList (updaters, MamdaQuoteFields.ASK_YIELD, new MamdaAskYield ());
addToUpdatersList (updaters, MamdaQuoteFields.BID_YIELD, new MamdaBidYield ());
return updaters;
}
private void updateFieldStates()
{
if(mQuoteCache.mSymbolFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mSymbolFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mPartIdFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mPartIdFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mSrcTimeFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mSrcTimeFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mActTimeFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mActTimeFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mLineTimeFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mLineTimeFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mSendTimeFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mSendTimeFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mPubIdFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mPubIdFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidPriceFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidPriceFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidSizeFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidSizeFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidDepthFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidDepthFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidPartIdFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidPartIdFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidClosePriceFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidClosePriceFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidCloseDateFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidCloseDateFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidPrevClosePriceFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidPrevClosePriceFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidPrevCloseDateFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidPrevCloseDateFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidHighFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidHighFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidLowFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidLowFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskPriceFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskPriceFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskSizeFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskSizeFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskDepthFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskDepthFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskPartIdFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskPartIdFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskClosePriceFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskClosePriceFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskCloseDateFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskCloseDateFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskPrevClosePriceFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskPrevClosePriceFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskPrevCloseDateFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskPrevCloseDateFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskHighFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskHighFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskLowFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskLowFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mEventSeqNumFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mEventSeqNumFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mEventTimeFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mEventTimeFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mQuoteDateFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mQuoteDateFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mQuoteQualStrFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mQuoteQualStrFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mQuoteQualNativeFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mQuoteQualNativeFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mShortSaleBidTickFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mShortSaleBidTickFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mShortSaleCircuitBreakerFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mShortSaleCircuitBreakerFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mTmpQuoteCountFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mTmpQuoteCountFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mQuoteCountFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mQuoteCountFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mConflateCountFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mConflateCountFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskTimeFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskTimeFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidTimeFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidTimeFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskIndicatorFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskIndicatorFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidIndicatorFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidIndicatorFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskUpdateCountFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskUpdateCountFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidUpdateCountFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidUpdateCountFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mAskYieldFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mAskYieldFieldState = MamdaFieldState.NOT_MODIFIED;
if(mQuoteCache.mBidYieldFieldState == MamdaFieldState.MODIFIED)
mQuoteCache.mBidYieldFieldState = MamdaFieldState.NOT_MODIFIED;
if(mGapBeginFieldState == MamdaFieldState.MODIFIED)
mGapBeginFieldState = MamdaFieldState.NOT_MODIFIED;
if(mGapEndFieldState == MamdaFieldState.MODIFIED)
mGapEndFieldState = MamdaFieldState.NOT_MODIFIED;
}
private void updateQuoteFields(MamaMsg msg)
{
mLastGenericMsgWasQuote = false;
mQuoteCache.mGotBidPrice = false;
mQuoteCache.mGotAskPrice = false;
mQuoteCache.mGotBidSize = false;
mQuoteCache.mGotAskSize = false;
mQuoteCache.mGotBidDepth = false;
mQuoteCache.mGotAskDepth = false;
mQuoteCache.mGotPartId = false;
mQuoteCache.mGotBidPartId = false;
mQuoteCache.mGotAskPartId = false;
mQuoteCache.mGotQuoteCount = false;
// Iterate over all of the fields in the message.
lock (this)
{
msg.iterateFields(mFieldIterator, null, null);
}
// Check certain special fields.
if (mQuoteCache.mGotBidSize || mQuoteCache.mGotAskSize ||
mQuoteCache.mGotBidDepth || mQuoteCache.mGotAskDepth ||
mQuoteCache.mGotBidPrice || mQuoteCache.mGotAskPrice ||
mQuoteCache.mGotBidPartId || mQuoteCache.mGotAskPartId)
{
mLastGenericMsgWasQuote = true;
}
if (mQuoteCache.mGotPartId == false && mQuoteCache.mSymbol != null)
{
// No explicit part ID in message, but maybe in symbol.
int lastDot = mQuoteCache.mSymbol.IndexOf(".");
if (lastDot != -1)
{
lastDot++;
int lastChar = mQuoteCache.mSymbol.Length;
if (lastDot != lastChar)
{
mQuoteCache.mPartId =
mQuoteCache.mSymbol.Substring(lastDot, lastChar - lastDot);
mQuoteCache.mGotPartId = true;
mQuoteCache.mPartIdFieldState = MamdaFieldState.MODIFIED;
}
}
}
}
private static void addToUpdatersList(
QuoteUpdate[] updaters,
MamaFieldDescriptor fieldDesc,
QuoteUpdate updater)
{
if (fieldDesc == null) return;
int fieldId = fieldDesc.getFid();
if (fieldId <= mMaxFid)
{
updaters[fieldId] = updater;
}
}
private interface QuoteUpdate
{
void onUpdate(MamdaQuoteListener listener, MamaMsgField field);
}
private class MamdaQuoteSymbol : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mSymbol = field.getString();
listener.mQuoteCache.mSymbolFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteIssueSymbol : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mSymbol = field.getString();
listener.mQuoteCache.mSymbolFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuotePartId : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mPartId = field.getString();
listener.mQuoteCache.mPartIdFieldState = MamdaFieldState.MODIFIED;
listener.mQuoteCache.mGotPartId = true;
}
}
private class MamdaQuoteBidPrice : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
MamaPrice bidPrice;
bidPrice = field.getPrice();
if (listener.mQuoteCache.mBidPrice.getValue() != bidPrice.getValue() ||
listener.mQuoteCache.mBidPriceFieldState == MamdaFieldState.NOT_INITIALISED)
{
listener.mQuoteCache.mBidPrice.copy(bidPrice);
listener.mQuoteCache.mBidPriceFieldState = MamdaFieldState.MODIFIED;
listener.mQuoteCache.mGotBidPrice = true;
}
}
}
private class MamdaQuoteBidSize : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
double bidSize = field.getF64();
if (listener.mQuoteCache.mBidSize != bidSize)
{
listener.mQuoteCache.mBidSize = bidSize;
listener.mQuoteCache.mBidSizeFieldState = MamdaFieldState.MODIFIED;
listener.mQuoteCache.mGotBidSize = true;
}
}
}
private class MamdaQuoteBidPartId : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
string bidPartId = field.getString();
if (listener.mQuoteCache.mBidPartId != bidPartId)
{
listener.mQuoteCache.mBidPartId = bidPartId;
listener.mQuoteCache.mBidPartIdFieldState = MamdaFieldState.MODIFIED;
listener.mQuoteCache.mGotBidPartId = true;
}
}
}
private class MamdaQuoteBidDepth : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
double bidDepth = field.getF64();
if (listener.mQuoteCache.mBidDepth != bidDepth)
{
listener.mQuoteCache.mBidDepth = bidDepth;
listener.mQuoteCache.mBidDepthFieldState = MamdaFieldState.MODIFIED;
listener.mQuoteCache.mGotBidDepth = true;
}
}
}
private class MamdaQuoteBidClosePrice : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mBidClosePrice.copy (field.getPrice());
listener.mQuoteCache.mBidClosePriceFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteBidCloseDate : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mBidCloseDate = field.getDateTime();
listener.mQuoteCache.mBidCloseDateFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteBidPrevClosePrice : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mBidPrevClosePrice.copy(field.getPrice());
listener.mQuoteCache.mBidPrevClosePriceFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteBidPrevCloseDate : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mBidPrevCloseDate = field.getDateTime();
listener.mQuoteCache.mBidPrevCloseDateFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteBidHigh : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mBidHigh.copy(field.getPrice());
listener.mQuoteCache.mBidHighFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteBidLow : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mBidLow.copy(field.getPrice());
listener.mQuoteCache.mBidLowFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteAskPrice : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
MamaPrice askPrice;
askPrice = field.getPrice();
if (listener.mQuoteCache.mAskPrice.getValue() != askPrice.getValue())
{
listener.mQuoteCache.mAskPrice.copy(askPrice);
listener.mQuoteCache.mAskPriceFieldState = MamdaFieldState.MODIFIED;
listener.mQuoteCache.mGotAskPrice = true;
}
}
}
private class MamdaQuoteAskSize : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
double askSize = field.getF64();
if (listener.mQuoteCache.mAskSize != askSize)
{
listener.mQuoteCache.mAskSize = askSize;
listener.mQuoteCache.mAskSizeFieldState = MamdaFieldState.MODIFIED;
listener.mQuoteCache.mGotAskSize = true;
}
}
}
private class MamdaQuoteAskPartId : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
string askPartId = field.getString();
if (listener.mQuoteCache.mAskPartId != askPartId)
{
listener.mQuoteCache.mAskPartId = askPartId;
listener.mQuoteCache.mAskPartIdFieldState = MamdaFieldState.MODIFIED;
listener.mQuoteCache.mGotAskPartId = true;
}
}
}
private class MamdaQuoteAskDepth : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
double askDepth = field.getF64();
if (listener.mQuoteCache.mAskDepth != askDepth)
{
listener.mQuoteCache.mAskDepth = askDepth;
listener.mQuoteCache.mAskDepthFieldState = MamdaFieldState.MODIFIED;
listener.mQuoteCache.mGotAskDepth = true;
}
}
}
private class MamdaQuoteAskClosePrice : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mAskClosePrice.copy(field.getPrice());
listener.mQuoteCache.mAskClosePriceFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteAskCloseDate : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mAskCloseDate = field.getDateTime();
listener.mQuoteCache.mAskCloseDateFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteAskPrevClosePrice : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mAskPrevClosePrice.copy(field.getPrice());
listener.mQuoteCache.mAskPrevClosePriceFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteAskPrevCloseDate : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mAskPrevCloseDate = field.getDateTime();
listener.mQuoteCache.mAskPrevCloseDateFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteAskHigh : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mAskHigh.copy(field.getPrice());
listener.mQuoteCache.mAskHighFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteAskLow : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mAskLow.copy(field.getPrice());
listener.mQuoteCache.mAskLowFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteSrcTime : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mSrcTime = field.getDateTime();
listener.mQuoteCache.mSrcTimeFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteActivityTime : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mActTime = field.getDateTime();
listener.mQuoteCache.mActTimeFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteLineTime : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mLineTime = field.getDateTime();
listener.mQuoteCache.mLineTimeFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteSendTime : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mSendTime = field.getDateTime();
listener.mQuoteCache.mSendTimeFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuotePubId : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mPubId = field.getString();
listener.mQuoteCache.mPubIdFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteSeqNum : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mEventSeqNum = field.getI64();
listener.mQuoteCache.mEventSeqNumFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteTime : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mEventTime = field.getDateTime();
listener.mQuoteCache.mEventTimeFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteDate : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mQuoteDate = field.getDateTime();
listener.mQuoteCache.mQuoteDateFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteQual : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mQuoteQualStr = field.getString();
listener.mQuoteCache.mQuoteQualStrFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaQuoteQualNative : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
if (field.getType() == mamaFieldType.MAMA_FIELD_TYPE_STRING)
{
listener.mQuoteCache.mQuoteQualNative = field.getString();
listener.mQuoteCache.mQuoteQualNativeFieldState = MamdaFieldState.MODIFIED;
}
else if (field.getType() == mamaFieldType.MAMA_FIELD_TYPE_CHAR)
{
listener.mQuoteCache.mQuoteQualNative = field.getChar().ToString();
listener.mQuoteCache.mQuoteQualNativeFieldState = MamdaFieldState.MODIFIED;
}
}
}
private class MamdaQuoteCount : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mTmpQuoteCount = field.getI64();
listener.mQuoteCache.mTmpQuoteCountFieldState = MamdaFieldState.MODIFIED;
listener.mQuoteCache.mGotQuoteCount = true;
}
}
private class MamdaConflateCount : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mConflateCount = field.getU32();
listener.mQuoteCache.mConflateCountFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaShortSaleBidTick : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
switch (field.getType())
{
case mamaFieldType.MAMA_FIELD_TYPE_CHAR :
listener.mQuoteCache.mShortSaleBidTick = field.getChar();
listener.mQuoteCache.mShortSaleBidTickFieldState = MamdaFieldState.MODIFIED;
break;
case mamaFieldType.MAMA_FIELD_TYPE_STRING :
if (field.getString() != String.Empty)
{
listener.mQuoteCache.mShortSaleBidTick = field.getString()[0];
listener.mQuoteCache.mShortSaleBidTickFieldState = MamdaFieldState.MODIFIED;
}
else
{
listener.mQuoteCache.mShortSaleBidTick = ' ';
listener.mQuoteCache.mShortSaleBidTickFieldState = MamdaFieldState.MODIFIED;
}
break;
default : break;
}
}
}
private class MamdaShortSaleCircuitBreaker : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
listener.mQuoteCache.mShortSaleCircuitBreaker = field.getChar();
listener.mQuoteCache.mShortSaleCircuitBreakerFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaBidTick : QuoteUpdate
{
public void onUpdate(MamdaQuoteListener listener, MamaMsgField field)
{
switch (field.getType())
{
case mamaFieldType.MAMA_FIELD_TYPE_CHAR :
listener.mQuoteCache.mShortSaleBidTick = field.getChar();
listener.mQuoteCache.mShortSaleBidTickFieldState = MamdaFieldState.MODIFIED;
break;
case mamaFieldType.MAMA_FIELD_TYPE_STRING :
if (field.getString() != String.Empty)
{
listener.mQuoteCache.mShortSaleBidTick = field.getString()[0];
listener.mQuoteCache.mShortSaleBidTickFieldState = MamdaFieldState.MODIFIED;
}
else
{
listener.mQuoteCache.mShortSaleBidTick = ' ';
listener.mQuoteCache.mShortSaleBidTickFieldState = MamdaFieldState.MODIFIED;
}
break;
default : break;
}
}
}
private class MamdaAskTime : QuoteUpdate
{
public void onUpdate (MamdaQuoteListener listener,
MamaMsgField field)
{
listener.mQuoteCache.mAskTime = field.getDateTime();
listener.mQuoteCache.mAskTimeFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaBidTime : QuoteUpdate
{
public void onUpdate (MamdaQuoteListener listener,
MamaMsgField field)
{
listener.mQuoteCache.mBidTime = field.getDateTime();
listener.mQuoteCache.mBidTimeFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaAskIndicator : QuoteUpdate
{
public void onUpdate (MamdaQuoteListener listener,
MamaMsgField field)
{
if (field.getType() == mamaFieldType.MAMA_FIELD_TYPE_STRING)
{
listener.mQuoteCache.mAskIndicator = field.getString();
listener.mQuoteCache.mAskIndicatorFieldState = MamdaFieldState.MODIFIED;
}
else if (field.getType() == mamaFieldType.MAMA_FIELD_TYPE_CHAR)
{
listener.mQuoteCache.mAskIndicator = field.getChar().ToString();
listener.mQuoteCache.mAskIndicatorFieldState = MamdaFieldState.MODIFIED;
}
}
}
private class MamdaBidIndicator : QuoteUpdate
{
public void onUpdate (MamdaQuoteListener listener,
MamaMsgField field)
{
if (field.getType() == mamaFieldType.MAMA_FIELD_TYPE_STRING)
{
listener.mQuoteCache.mBidIndicator = field.getString();
listener.mQuoteCache.mBidIndicatorFieldState = MamdaFieldState.MODIFIED;
}
else if (field.getType() == mamaFieldType.MAMA_FIELD_TYPE_CHAR)
{
listener.mQuoteCache.mBidIndicator = field.getChar().ToString();
listener.mQuoteCache.mBidIndicatorFieldState = MamdaFieldState.MODIFIED;
}
}
}
private class MamdaAskUpdateCount : QuoteUpdate
{
public void onUpdate (MamdaQuoteListener listener,
MamaMsgField field)
{
listener.mQuoteCache.mAskUpdateCount =
field.getU32 ();
listener.mQuoteCache.mAskUpdateCountFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaBidUpdateCount : QuoteUpdate
{
public void onUpdate (MamdaQuoteListener listener,
MamaMsgField field)
{
listener.mQuoteCache.mBidUpdateCount =
field.getU32 ();
listener.mQuoteCache.mBidUpdateCountFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaAskYield : QuoteUpdate
{
public void onUpdate (MamdaQuoteListener listener,
MamaMsgField field)
{
listener.mQuoteCache.mAskYield =
field.getF64 ();
listener.mQuoteCache.mAskYieldFieldState = MamdaFieldState.MODIFIED;
}
}
private class MamdaBidYield : QuoteUpdate
{
public void onUpdate (MamdaQuoteListener listener,
MamaMsgField field)
{
listener.mQuoteCache.mBidYield =
field.getF64 ();
listener.mQuoteCache.mBidYieldFieldState = MamdaFieldState.MODIFIED;
}
}
/*************************************************************
*Private class used for Field Iteration
************************************************************/
private class FieldIterator : MamaMsgFieldIterator
{
private MamdaQuoteListener mListener;
public FieldIterator(MamdaQuoteListener listener)
{
mListener = listener;
}
public void onField(MamaMsg msg,
MamaMsgField field,
object closure)
{
try
{
int fieldId = field.getFid();
if (fieldId <= mMaxFid)
{
QuoteUpdate updater = (QuoteUpdate)mUpdaters[fieldId];
if (updater != null)
{
updater.onUpdate(mListener, field);
}
}
}
catch (Exception ex )
{
throw new MamdaDataException(ex.Message, ex);
}
}
}
#region Implementation details
#region MamdaQuoteCache
private class MamdaQuoteCache
{
public string mSymbol;
public string mPartId;
public DateTime mSrcTime = DateTime.MinValue;
public DateTime mActTime = DateTime.MinValue;
public DateTime mLineTime = DateTime.MinValue;
public DateTime mSendTime = DateTime.MinValue;
public string mPubId;
public MamaPrice mBidPrice;
public double mBidSize;
public double mBidDepth;
public string mBidPartId;
public MamaPrice mBidClosePrice;
public DateTime mBidCloseDate = DateTime.MinValue;
public MamaPrice mBidPrevClosePrice;
public DateTime mBidPrevCloseDate = DateTime.MinValue;
public MamaPrice mBidHigh;
public MamaPrice mBidLow;
public MamaPrice mAskPrice;
public double mAskSize;
public double mAskDepth;
public string mAskPartId;
public MamaPrice mAskClosePrice;
public DateTime mAskCloseDate = DateTime.MinValue;
public MamaPrice mAskPrevClosePrice;
public DateTime mAskPrevCloseDate = DateTime.MinValue;
public MamaPrice mAskHigh;
public MamaPrice mAskLow;
public MamaPrice mMidPrice;
public long mEventSeqNum;
public DateTime mEventTime = DateTime.MinValue;
public DateTime mQuoteDate = DateTime.MinValue;
public string mQuoteQualStr;
public string mQuoteQualNative;
public char mShortSaleBidTick = 'Z';
public char mShortSaleCircuitBreaker;
public long mTmpQuoteCount;
public long mQuoteCount;
public long mConflateCount;
public bool mGotBidPrice;
public bool mGotAskPrice;
public bool mGotBidSize;
public bool mGotAskSize;
public bool mGotBidDepth;
public bool mGotAskDepth;
public bool mGotPartId;
public bool mGotBidPartId;
public bool mGotAskPartId;
public bool mGotQuoteCount;
public DateTime mAskTime;
public DateTime mBidTime;
public string mAskIndicator;
public string mBidIndicator;
public long mAskUpdateCount;
public long mBidUpdateCount;
public double mAskYield;
public double mBidYield;
public MamdaFieldState mSymbolFieldState = new MamdaFieldState();
public MamdaFieldState mPartIdFieldState = new MamdaFieldState();
public MamdaFieldState mSrcTimeFieldState = new MamdaFieldState();
public MamdaFieldState mActTimeFieldState = new MamdaFieldState();
public MamdaFieldState mLineTimeFieldState = new MamdaFieldState();
public MamdaFieldState mSendTimeFieldState = new MamdaFieldState();
public MamdaFieldState mPubIdFieldState = new MamdaFieldState();
public MamdaFieldState mBidPriceFieldState = new MamdaFieldState();
public MamdaFieldState mBidSizeFieldState = new MamdaFieldState();
public MamdaFieldState mBidDepthFieldState = new MamdaFieldState();
public MamdaFieldState mBidPartIdFieldState = new MamdaFieldState();
public MamdaFieldState mBidClosePriceFieldState = new MamdaFieldState();
public MamdaFieldState mBidCloseDateFieldState = new MamdaFieldState();
public MamdaFieldState mBidPrevClosePriceFieldState = new MamdaFieldState();
public MamdaFieldState mBidPrevCloseDateFieldState = new MamdaFieldState();
public MamdaFieldState mBidHighFieldState = new MamdaFieldState();
public MamdaFieldState mBidLowFieldState = new MamdaFieldState();
public MamdaFieldState mAskPriceFieldState = new MamdaFieldState();
public MamdaFieldState mAskSizeFieldState = new MamdaFieldState();
public MamdaFieldState mAskDepthFieldState = new MamdaFieldState();
public MamdaFieldState mAskPartIdFieldState = new MamdaFieldState();
public MamdaFieldState mAskClosePriceFieldState = new MamdaFieldState();
public MamdaFieldState mAskCloseDateFieldState = new MamdaFieldState();
public MamdaFieldState mAskPrevClosePriceFieldState = new MamdaFieldState();
public MamdaFieldState mAskPrevCloseDateFieldState = new MamdaFieldState();
public MamdaFieldState mAskHighFieldState = new MamdaFieldState();
public MamdaFieldState mAskLowFieldState = new MamdaFieldState();
public MamdaFieldState mEventSeqNumFieldState = new MamdaFieldState();
public MamdaFieldState mEventTimeFieldState = new MamdaFieldState();
public MamdaFieldState mQuoteDateFieldState = new MamdaFieldState();
public MamdaFieldState mQuoteQualStrFieldState = new MamdaFieldState();
public MamdaFieldState mQuoteQualNativeFieldState = new MamdaFieldState();
public MamdaFieldState mShortSaleBidTickFieldState = new MamdaFieldState();
public MamdaFieldState mShortSaleCircuitBreakerFieldState = new MamdaFieldState();
public MamdaFieldState mTmpQuoteCountFieldState = new MamdaFieldState();
public MamdaFieldState mQuoteCountFieldState = new MamdaFieldState();
public MamdaFieldState mConflateCountFieldState = new MamdaFieldState();
public MamdaFieldState mAskTimeFieldState = new MamdaFieldState();
public MamdaFieldState mBidTimeFieldState = new MamdaFieldState();
public MamdaFieldState mAskIndicatorFieldState = new MamdaFieldState();
public MamdaFieldState mBidIndicatorFieldState = new MamdaFieldState();
public MamdaFieldState mAskUpdateCountFieldState = new MamdaFieldState();
public MamdaFieldState mBidUpdateCountFieldState = new MamdaFieldState();
public MamdaFieldState mAskYieldFieldState = new MamdaFieldState();
public MamdaFieldState mBidYieldFieldState = new MamdaFieldState();
}
#endregion MamdaQuoteCache
#region State
// A single static instance for all Listener instances
// will be sufficient as each updater will take a reference to the cache
// as an argument.
private static QuoteUpdate[] mUpdaters = null;
private static object mUpdatersGuard = new object();
private static int mMaxFid = 0;
private bool mIgnoreUpdate = false;
private ArrayList mHandlers = new ArrayList();
// The following fields are used for caching the offical last
// price and related fields. These fields can be used by
// applications for reference and will be passed for recaps.
private readonly MamdaQuoteCache mQuoteCache = new MamdaQuoteCache();
// Used for all field iteration processing
private FieldIterator mFieldIterator = null;
// Additional fields for gaps:
private long mGapBegin = 0;
private long mGapEnd = 0;
private MamdaFieldState mGapBeginFieldState = new MamdaFieldState();
private MamdaFieldState mGapEndFieldState = new MamdaFieldState();
// true if an generic update is infact a quote
private bool mLastGenericMsgWasQuote = false;
#endregion State
#endregion Implementation details
}
}
Updated on 2023-03-31 at 15:30:19 +0100