Wombat::MamdaBookAtomicListener

Inherits from Wombat.MamdaMsgListener, Wombat.MamdaBookAtomicLevel, Wombat.MamdaBookAtomicLevelEntry, Wombat.MamdaBookAtomicGap, Wombat.MamdaBasicRecap, Wombat.MamdaBasicEvent

Public Functions

Public Functions Documentation

function addBookHandler

void addBookHandler(
    MamdaBookAtomicBookHandler handler
)

function addLevelHandler

void addLevelHandler(
    MamdaBookAtomicLevelHandler handler
)

function addLevelEntryHandler

void addLevelEntryHandler(
    MamdaBookAtomicLevelEntryHandler handler
)

function getSymbol

string getSymbol()

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

Reimplements: Wombat::MamdaBasicRecap::getSymbol

function getPartId

string getPartId()

Participant ID. This may be an exchange identifier, a market maker ID, etc., or NULL (if this is not related to any specific participant).

Reimplements: Wombat::MamdaBasicRecap::getPartId

function getSrcTime

DateTime getSrcTime()

Returns the source time.

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

function getActivityTime

DateTime getActivityTime()

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

Reimplements: Wombat::MamdaBasicEvent::getActivityTime

function getLineTime

DateTime getLineTime()

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::MamdaBasicRecap::getLineTime

function getSendTime

DateTime getSendTime()

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::MamdaBasicRecap::getSendTime

function getEventSeqNum

long getEventSeqNum()

Return: Source sequence number. The exchange generated sequence number.

Reimplements: Wombat::MamdaBasicEvent::getEventSeqNum

function getEventTime

DateTime getEventTime()

Return: Event time. Typically, when the event actually occurred. This is often the same as the “source time”, because many feeds do not distinguish between the actual event time and when the exchange sent the message.

Reimplements: Wombat::MamdaBasicEvent::getEventTime

function getSymbolFieldState

MamdaFieldState getSymbolFieldState()

Returns the field state.

Return: Symbol Field State

Reimplements: Wombat::MamdaBasicRecap::getSymbolFieldState

function getPartIdFieldState

MamdaFieldState getPartIdFieldState()

Returns the field state.

Return: Participant ID Field State

Reimplements: Wombat::MamdaBasicRecap::getPartIdFieldState

function getSrcTimeFieldState

MamdaFieldState getSrcTimeFieldState()

Returns the field state.

Return: Source time Field State

Reimplements: Wombat::MamdaBasicEvent::getSrcTimeFieldState

function getActivityTimeFieldState

MamdaFieldState getActivityTimeFieldState()

Returns the field state.

Return: Activity time Field State

Reimplements: Wombat::MamdaBasicEvent::getActivityTimeFieldState

function getLineTimeFieldState

MamdaFieldState getLineTimeFieldState()

Returns the field state.

Return: Line Time Field State

Reimplements: Wombat::MamdaBasicRecap::getLineTimeFieldState

function getSendTimeFieldState

MamdaFieldState getSendTimeFieldState()

Returns the field state.

Return: Send time Field State

Reimplements: Wombat::MamdaBasicRecap::getSendTimeFieldState

function getEventSeqNumFieldState

MamdaFieldState getEventSeqNumFieldState()

Returns the field state.

Return: Source sequence number Field State

Reimplements: Wombat::MamdaBasicEvent::getEventSeqNumFieldState

function getEventTimeFieldState

MamdaFieldState getEventTimeFieldState()

Returns the field state.

Return: Event Time Field State

Reimplements: Wombat::MamdaBasicEvent::getEventTimeFieldState

function getPriceLevelNumLevels

long getPriceLevelNumLevels()

Return the number of price levels in the order book update.

Return: The number of price levels.

Reimplements: Wombat::MamdaBookAtomicLevel::getPriceLevelNumLevels

function getPriceLevelNum

long getPriceLevelNum()

Return at which position this level is within an update containing a number of levels. (i.e. level m of n levels in the update)

Reimplements: Wombat::MamdaBookAtomicLevel::getPriceLevelNum

returns>The position of this level in the update received.

function getPriceLevelPrice

double getPriceLevelPrice()

Return the price for this price level.

Return: The price level price.

Reimplements: Wombat::MamdaBookAtomicLevel::getPriceLevelPrice

function getPriceLevelMamaPrice

MamaPrice getPriceLevelMamaPrice()

Return the Mamaprice for this price level.

Return: The price level Mama price.

Reimplements: Wombat::MamdaBookAtomicLevel::getPriceLevelMamaPrice

function getPriceLevelSize

double getPriceLevelSize()

Return the number of order entries comprising this price level.

Return: The number of entries in this price level.

Reimplements: Wombat::MamdaBookAtomicLevel::getPriceLevelSize

function getPriceLevelSizeChange

long getPriceLevelSizeChange()

Aggregate size at current price level.

Return: The aggregate size at the current price level.

Reimplements: Wombat::MamdaBookAtomicLevel::getPriceLevelSizeChange

function getPriceLevelAction

char getPriceLevelAction()

The action to apply to the orderbook for this price level. Can have a value of: A : Add a new price level U : Update an existing price level D : Delete an existing price level C : Closing information for price level (often treat the same as Update).

Return: The price level action.

Reimplements: Wombat::MamdaBookAtomicLevel::getPriceLevelAction

function getPriceLevelSide

char getPriceLevelSide()

Side of book at current price level. B : Bid side. Same as ‘buy’ side. A : Ask side. Same as ‘sell’ side.

Return: The price level side.

Reimplements: Wombat::MamdaBookAtomicLevel::getPriceLevelSide

function getPriceLevelTime

DateTime getPriceLevelTime()

Time of order book price level.

Return: The time of the orderbook price level.

Reimplements: Wombat::MamdaBookAtomicLevel::getPriceLevelTime

function getPriceLevelNumEntries

double getPriceLevelNumEntries()

Number of order book entries at current price level.

Return: The number of entries at the current price level.

Reimplements: Wombat::MamdaBookAtomicLevel::getPriceLevelNumEntries

function getPriceLevelActNumEntries

long getPriceLevelActNumEntries()

Reimplements: Wombat::MamdaBookAtomicLevelEntry::getPriceLevelActNumEntries

??

function getPriceLevelEntryAction

char getPriceLevelEntryAction()

Return: The orderbook entry action.

Reimplements: Wombat::MamdaBookAtomicLevelEntry::getPriceLevelEntryAction

Order book entry action to apply to the full order book.

A : Add entry to the price level. U : Update existing entry in the price level. D : Delete existing entry from the price level.

function getPriceLevelEntryIdIntPtr

IntPtr getPriceLevelEntryIdIntPtr()

function getPriceLevelEntryId

string getPriceLevelEntryId()

Return: The entry id

Reimplements: Wombat::MamdaBookAtomicLevelEntry::getPriceLevelEntryId

Order book entry Id. (order ID, participant ID, etc.)

function getPriceLevelEntrySize

long getPriceLevelEntrySize()

Return: Order book entry size

Reimplements: Wombat::MamdaBookAtomicLevelEntry::getPriceLevelEntrySize

Return the order book entry size

function getPriceLevelEntryTime

DateTime getPriceLevelEntryTime()

Return: Time of order book entry update.

Reimplements: Wombat::MamdaBookAtomicLevelEntry::getPriceLevelEntryTime

Return the time of order book entry update.

function getBeginGapSeqNum

long getBeginGapSeqNum()

Beginning sequence number in a detected gap event.

Reimplements: Wombat::MamdaBookAtomicGap::getBeginGapSeqNum

function getEndGapSeqNum

long getEndGapSeqNum()

Ending sequence number in a detected gap event.

Reimplements: Wombat::MamdaBookAtomicGap::getEndGapSeqNum

function onMsg

void onMsg(
    MamdaSubscription subscription,
    MamaMsg msg,
    mamaMsgType msgType
)

Invoked for each message received for the subscription to which the Listener is registered.

Parameters:

• subscription The MamdaSubscription to which this listener was registered.
• msg The MamaMsg received by the underlying MAMA API and which resulted in this callback being invoked.
• msgType The message type. e.g. INITIAL, RECAP, UPDATE etc.

Reimplements: Wombat::MamdaMsgListener::onMsg

Updated on 2023-03-31 at 15:30:16 +0100