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. More…

Inherits from Wombat.MamdaMsgListener, Wombat.MamdaQuoteRecap, Wombat.MamdaQuoteUpdate, Wombat.MamdaQuoteGap, Wombat.MamdaQuoteClosing, Wombat.MamdaBasicRecap, Wombat.MamdaBasicEvent

Public Functions

Detailed Description

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.

Note: The MamdaQuoteListener class caches quote-related field values. Among other reasons, caching of these fields makes it possible to provide complete quote-related callbacks, even when the publisher (e.g., feed handler) is only publishing deltas containing modified fields.

Public Functions Documentation

function MamdaQuoteListener

MamdaQuoteListener()

Create a specialized quote listener. This listener handles quote updates, quote recaps, and quote gap notifications.

function addHandler

void addHandler(
    MamdaQuoteHandler handler
)

Add a specialized quote handler. Currently, only one handler can (and must) be registered.

Parameters:

• 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 getPubId

string getPubId()

function getBidPrice

MamaPrice getBidPrice()

Get the closing bid price.

Return: Today’s closing bid price, after the market has closed and the stock has traded today.

Reimplements: Wombat::MamdaQuoteClosing::getBidPrice

function getBidSize

long getBidSize()

Get the closing bid size.

Return: Today’s closing bid size, after the market has closed and the stock has traded today.

Reimplements: Wombat::MamdaQuoteClosing::getBidSize

function getBidDepth

long getBidDepth()

function getBidPartId

string getBidPartId()

Get the closing bid participant identifier.

Return: Today’s closing bid participant identifier, after the market has closed and the stock has traded today.

Reimplements: Wombat::MamdaQuoteClosing::getBidPartId

function getBidClosePrice

MamaPrice getBidClosePrice()

function getBidCloseDate

DateTime getBidCloseDate()

function getBidPrevClosePrice

MamaPrice getBidPrevClosePrice()

function getBidPrevCloseDate

DateTime getBidPrevCloseDate()

function getBidHigh

MamaPrice getBidHigh()

function getBidLow

MamaPrice getBidLow()

function getAskPrice

MamaPrice getAskPrice()

Get the closing ask price.

Return: Today’s closing ask price, after the market has closed and the stock has traded today.

Reimplements: Wombat::MamdaQuoteClosing::getAskPrice

function getAskSize

long getAskSize()

Get the closing ask size.

Return: Today’s closing ask size, after the market has closed and the stock has traded today.

Reimplements: Wombat::MamdaQuoteClosing::getAskSize

function getAskDepth

long getAskDepth()

function getAskPartId

string getAskPartId()

Get the closing ask participant identifier.

Return: Today’s closing ask participant identifier, after the market has closed and the stock has traded today.

Reimplements: Wombat::MamdaQuoteClosing::getAskPartId

function getAskClosePrice

MamaPrice getAskClosePrice()

function getAskCloseDate

DateTime getAskCloseDate()

function getAskPrevClosePrice

MamaPrice getAskPrevClosePrice()

function getAskPrevCloseDate

DateTime getAskPrevCloseDate()

function getAskHigh

MamaPrice getAskHigh()

function getAskLow

MamaPrice getAskLow()

function getQuoteMidPrice

MamaPrice getQuoteMidPrice()

Get the quote mid price.

Return: The mid price of the current quote. Usually, this is the average of the bid and ask prices, but some exchanges provide this field explicitly.

Reimplements: Wombat::MamdaQuoteRecap::getQuoteMidPrice

function getQuoteQual

string getQuoteQual()

Get the normalized quote qualifier.

Return: A normalized set of qualifiers for the last quote for the security. This field may contain multiple string values, separated by the colon(:) character. MamdaQuoteUpdate.getQuoteQual

Reimplements: Wombat::MamdaQuoteRecap::getQuoteQual

function getQuoteQualNative

string getQuoteQualNative()

MamdaQuoteUpdate.getQuoteQualNative()

Return:

Reimplements: Wombat::MamdaQuoteRecap::getQuoteQualNative

function getShortSaleBidTick

char getShortSaleBidTick()

MamdaQuoteUpdate.getShortSaleBidTick()

Return:

Reimplements: Wombat::MamdaQuoteRecap::getShortSaleBidTick

function getShortSaleCircuitBreaker

char getShortSaleCircuitBreaker()

MamdaQuoteUpdate.getShortSaleCircuitBreaker()

Return:

Reimplements: Wombat::MamdaQuoteRecap::getShortSaleCircuitBreaker

function getQuoteCount

long getQuoteCount()

Get the quote count.

Return: The number of quotes generated for this security during the current trading session.

Reimplements: Wombat::MamdaQuoteRecap::getQuoteCount

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 getQuoteDate

DateTime getQuoteDate()

Reimplements: Wombat::MamdaQuoteRecap::getQuoteDate

function getBeginGapSeqNum

long getBeginGapSeqNum()

The starting sequence number of detected missing quotes based on the quote count.

Return:

Reimplements: Wombat::MamdaQuoteGap::getBeginGapSeqNum

function getEndGapSeqNum

long getEndGapSeqNum()

The end sequence number of detected missing quotes based on the quote count.

Return:

Reimplements: Wombat::MamdaQuoteGap::getEndGapSeqNum

function getAskTime

DateTime getAskTime()

Reimplements: Wombat::MamdaQuoteRecap::getAskTime

function getBidTime

DateTime getBidTime()

Reimplements: Wombat::MamdaQuoteRecap::getBidTime

function getAskIndicator

string getAskIndicator()

Reimplements: Wombat::MamdaQuoteRecap::getAskIndicator

function getBidIndicator

string getBidIndicator()

Reimplements: Wombat::MamdaQuoteRecap::getBidIndicator

function getAskUpdateCount

long getAskUpdateCount()

Reimplements: Wombat::MamdaQuoteRecap::getAskUpdateCount

function getBidUpdateCount

long getBidUpdateCount()

Reimplements: Wombat::MamdaQuoteRecap::getBidUpdateCount

function getAskYield

double getAskYield()

Reimplements: Wombat::MamdaQuoteRecap::getAskYield

function getBidYield

double getBidYield()

Reimplements: Wombat::MamdaQuoteRecap::getBidYield

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 getPubIdFieldState

MamdaFieldState getPubIdFieldState()

function getBidPriceFieldState

MamdaFieldState getBidPriceFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteClosing::getBidPriceFieldState

function getBidSizeFieldState

MamdaFieldState getBidSizeFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteClosing::getBidSizeFieldState

function getBidDepthFieldState

MamdaFieldState getBidDepthFieldState()

function getBidPartIdFieldState

MamdaFieldState getBidPartIdFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteClosing::getBidPartIdFieldState

function getBidClosePriceFieldState

MamdaFieldState getBidClosePriceFieldState()

function getBidCloseDateFieldState

MamdaFieldState getBidCloseDateFieldState()

function getBidPrevClosePriceFieldState

MamdaFieldState getBidPrevClosePriceFieldState()

function getBidPrevCloseDateFieldState

MamdaFieldState getBidPrevCloseDateFieldState()

function getBidHighFieldState

MamdaFieldState getBidHighFieldState()

function getBidLowFieldState

MamdaFieldState getBidLowFieldState()

function getAskPriceFieldState

MamdaFieldState getAskPriceFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteClosing::getAskPriceFieldState

function getAskSizeFieldState

MamdaFieldState getAskSizeFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteClosing::getAskSizeFieldState

function getAskDepthFieldState

MamdaFieldState getAskDepthFieldState()

function getAskPartIdFieldState

MamdaFieldState getAskPartIdFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteClosing::getAskPartIdFieldState

function getAskClosePriceFieldState

MamdaFieldState getAskClosePriceFieldState()

function getAskCloseDateFieldState

MamdaFieldState getAskCloseDateFieldState()

function getAskPrevClosePriceFieldState

MamdaFieldState getAskPrevClosePriceFieldState()

function getAskPrevCloseDateFieldState

MamdaFieldState getAskPrevCloseDateFieldState()

function getAskHighFieldState

MamdaFieldState getAskHighFieldState()

function getAskLowFieldState

MamdaFieldState getAskLowFieldState()

function getQuoteQualFieldState

MamdaFieldState getQuoteQualFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteRecap::getQuoteQualFieldState

function getQuoteQualNativeFieldState

MamdaFieldState getQuoteQualNativeFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteRecap::getQuoteQualNativeFieldState

function getShortSaleBidTickFieldState

MamdaFieldState getShortSaleBidTickFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteRecap::getShortSaleBidTickFieldState

function getShortSaleCircuitBreakerFieldState

MamdaFieldState getShortSaleCircuitBreakerFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteRecap::getShortSaleCircuitBreakerFieldState

function getQuoteCountFieldState

MamdaFieldState getQuoteCountFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteRecap::getQuoteCountFieldState

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 getQuoteDateFieldState

MamdaFieldState getQuoteDateFieldState()

Reimplements: Wombat::MamdaQuoteRecap::getQuoteDateFieldState

function getBeginGapSeqNumFieldState

MamdaFieldState getBeginGapSeqNumFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteGap::getBeginGapSeqNumFieldState

function getEndGapSeqNumFieldState

MamdaFieldState getEndGapSeqNumFieldState()

Get the field state

Return: Field State

Reimplements: Wombat::MamdaQuoteGap::getEndGapSeqNumFieldState

function getAskTimeFieldState

MamdaFieldState getAskTimeFieldState()

Reimplements: Wombat::MamdaQuoteRecap::getAskTimeFieldState

function getBidTimeFieldState

MamdaFieldState getBidTimeFieldState()

Reimplements: Wombat::MamdaQuoteRecap::getBidTimeFieldState

function getAskIndicatorFieldState

MamdaFieldState getAskIndicatorFieldState()

Reimplements: Wombat::MamdaQuoteRecap::getAskIndicatorFieldState

function getBidIndicatorFieldState

MamdaFieldState getBidIndicatorFieldState()

Reimplements: Wombat::MamdaQuoteRecap::getBidIndicatorFieldState

function getAskUpdateCountFieldState

MamdaFieldState getAskUpdateCountFieldState()

Reimplements: Wombat::MamdaQuoteRecap::getAskUpdateCountFieldState

function getBidUpdateCountFieldState

MamdaFieldState getBidUpdateCountFieldState()

Reimplements: Wombat::MamdaQuoteRecap::getBidUpdateCountFieldState

function getAskYieldFieldState

MamdaFieldState getAskYieldFieldState()

Reimplements: Wombat::MamdaQuoteRecap::getAskYieldFieldState

function getBidYieldFieldState

MamdaFieldState getBidYieldFieldState()

Reimplements: Wombat::MamdaQuoteRecap::getBidYieldFieldState

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

function populateRecap

void populateRecap(
    MamdaConcreteQuoteRecap recap
)

Updated on 2023-03-31 at 15:30:13 +0100