| Name |
|---|
| com::wombat::mamda::orderbook |
/* $Id$
*
* OpenMAMA: The open middleware agnostic messaging API
* Copyright (C) 2012 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
*/
package com.wombat.mamda.orderbook;
import com.wombat.mamda.*;
import com.wombat.mama.*;
import java.util.*;
class MamdaOrderBookWriter
{
public BookMsgHolder mPriceLevels = null;
public BookMsgHolder mEntries = null;
public static char defaultPlAction = MamdaOrderBookTypes.MAMDA_BOOK_ACTION_ADD;
public static char defaultPlSide = MamdaOrderBookTypes.MAMDA_BOOK_SIDE_BID;
public static char defaultEntryAction = MamdaOrderBookTypes.MAMDA_BOOK_ACTION_DELETE;
public static int defaultNumEntries = 1;
public static int defaultNumAttachedEntries = 1;
public MamdaOrderBookWriter()
{
mPriceLevels = new BookMsgHolder();
mEntries = new BookMsgHolder();
}
public void BookWriterClear()
{
mPriceLevels.clear();
mEntries.clear();
}
public void populateMsg(MamaMsg msg, MamdaOrderBookComplexDelta delta)
{
mPriceLevels.clear();
mEntries.clear();
msg.updateU8 (null,MamaReservedFields.MsgType.getId(),MamaMsgType.TYPE_BOOK_UPDATE);
addComplexDeltaFields (msg, delta);
}
public void populateMsg(MamaMsg msg, MamdaOrderBookSimpleDelta delta)
{
mPriceLevels.clear();
mEntries.clear();
msg.updateU8 (null,MamaReservedFields.MsgType.getId(),MamaMsgType.TYPE_BOOK_UPDATE);
addSimpleDeltaFields (msg, delta);
}
public void populateMsg(MamaMsg msg, MamdaOrderBook book)
{
mPriceLevels.clear();
mEntries.clear();
msg.updateU8 (null,MamaReservedFields.MsgType.getId(),MamaMsgType.TYPE_BOOK_INITIAL);
addBookLevels (msg,book);
}
public void addSimpleDeltaFields (
MamaMsg msg,
MamdaOrderBookSimpleDelta delta)
{
MamdaOrderBookPriceLevel pl = delta.getPriceLevel();
short entryCount = 0;
mPriceLevels.grow(1);
addBookLevel (msg, pl,
delta.getPlDeltaSize(),
delta.getPlDeltaAction(),
delta.getEventTime());
if (delta.getEntry() != null)
{
entryCount = 1;
addBookEntry (msg,
delta.getEntry(),
delta.getEntryDeltaAction(),
pl.getTime());
}
msg.addI16 (null, MamdaOrderBookFields.NUM_LEVELS.getFid(),
(short)1);
if (defaultNumAttachedEntries != entryCount)
{
msg.addU32 (null,
MamdaOrderBookFields.PL_NUM_ATTACH.getFid(),
(long)entryCount);
}
if (delta.getEventTime() != null)
msg.addDateTime (null, MamdaOrderBookFields.BOOK_TIME.getFid(),
delta.getEventTime());
if (delta.getSrcTime() != null)
msg.addDateTime (null, MamdaCommonFields.SRC_TIME.getFid(),
delta.getSrcTime());
if (delta.getEventSeqNum() != 0)
{
msg.addI64 (null, MamdaCommonFields.SEQ_NUM.getFid(),
(long)delta.getEventSeqNum());
}
}
public void addComplexDeltaFields (
MamaMsg msg,
MamdaOrderBookComplexDelta delta)
{
// Make sure the reusable price level and entry submessage vectors
// are large enough. In the worst case, we would have one entry
// in each of "delta-size" price levels or "delta-size" entries
// within one price level, so let's make sure both vectors are
// large enough.
mPriceLevels.grow ((int)delta.getSize());
mEntries.grow ((int)delta.getSize());
Iterator itr = delta.iterator();
MamdaOrderBookBasicDelta basicDelta = null;
MamdaOrderBookBasicDelta savedBasicDelta = null;
MamdaOrderBookPriceLevel pl = null;
MamdaOrderBookPriceLevel lastPl = null;
MamdaOrderBookPriceLevel flatEntryPl = null;
MamdaOrderBookBasicDelta flatEntryDelta = null;
int plCount = 0;
int entryCount = 0;
while (itr.hasNext())
{
basicDelta =(MamdaOrderBookBasicDelta) itr.next();
pl = basicDelta.getPriceLevel();
if (lastPl != pl)
{
if (lastPl != null)
{
MamaMsg plMsg = mPriceLevels.mMsgVector[plCount];
addBookLevel (plMsg,
lastPl,
savedBasicDelta.getPlDeltaSize(),
savedBasicDelta.getPlDeltaAction(),
delta.getEventTime());
if (1 == entryCount)
{
if (flatEntryDelta.getEntry() != null)
{
addBookEntry (plMsg,
flatEntryDelta.getEntry(),
flatEntryDelta.getEntryDeltaAction(),
flatEntryPl.getTime());
}
}
if (entryCount > 1)
{
plMsg.addArrayMsgWithLength (null,
MamdaOrderBookFields.PL_ENTRIES.getFid(),
mEntries.mMsgVector, entryCount);
}
if (defaultNumAttachedEntries != entryCount)
{
plMsg.addU32 (null,
MamdaOrderBookFields.PL_NUM_ATTACH.getFid(),
(long) entryCount);
}
++plCount;
entryCount = 0;
}
lastPl = pl;
savedBasicDelta = basicDelta;
}
if (basicDelta.getEntry() != null)
{
MamaMsg entMsg = mEntries.mMsgVector[entryCount];
addBookEntry (entMsg,
basicDelta.getEntry(),
basicDelta.getEntryDeltaAction(),
pl.getTime());
++entryCount;
// save this delta and pl
// used to flatten entry info into pl when no. of entries = 1
flatEntryDelta = basicDelta;
flatEntryPl = pl;
}
}
// Add the last entry vector and other price level fields to the
// last price level message.
MamaMsg plMsg = mPriceLevels.mMsgVector[plCount];
addBookLevel (plMsg, pl,
savedBasicDelta.getPlDeltaSize(),
savedBasicDelta.getPlDeltaAction(),
delta.getEventTime());
// flatten
if (1 == entryCount)
{
addBookEntry (plMsg, basicDelta.getEntry(),
basicDelta.getEntryDeltaAction(),
pl.getTime());
}
if (entryCount > 1)
{
plMsg.addArrayMsgWithLength (null,
MamdaOrderBookFields.PL_ENTRIES.getFid(),
mEntries.mMsgVector, entryCount);
}
if (defaultNumAttachedEntries != entryCount)
{
plMsg.addU32 (null,
MamdaOrderBookFields.PL_NUM_ATTACH.getFid(),
entryCount);
}
++plCount;
// flatten - in case of one pricelevel
if (1 == plCount)
{
addBookLevel (msg, pl,
basicDelta.getPlDeltaSize(),
basicDelta.getPlDeltaAction(),
delta.getEventTime());
if (basicDelta.getEntry() != null)
{
if (1 == entryCount)
{
addBookEntry (msg, basicDelta.getEntry(),
basicDelta.getEntryDeltaAction(),
pl.getTime());
}
}
if (entryCount > 1)
{
msg.addArrayMsgWithLength (null,
MamdaOrderBookFields.PL_ENTRIES.getFid(),
mEntries.mMsgVector,entryCount);
if (defaultNumAttachedEntries != entryCount)
{
msg.addU32 (null,
MamdaOrderBookFields.PL_NUM_ATTACH.getFid(),
entryCount);
}
}
}
// Add the vector of plMsgs to the main msg if plCount > 1
if (plCount > 1)
{
msg.addArrayMsgWithLength (null, MamdaOrderBookFields.PRICE_LEVELS.getFid(),
mPriceLevels.mMsgVector,plCount);
}
msg.addU32 (null, MamdaOrderBookFields.NUM_LEVELS.getFid(),
(int)plCount);
if (delta.getEventTime() != null)
msg.addDateTime (null, MamdaOrderBookFields.BOOK_TIME.getFid(),
delta.getEventTime());
if (delta.getSrcTime() != null)
msg.addDateTime (null, MamdaCommonFields.SRC_TIME.getFid(),
delta.getSrcTime());
if (delta.getEventSeqNum() != 0)
{
msg.addI64 (null, MamdaCommonFields.SEQ_NUM.getFid(),
(long)delta.getEventSeqNum());
}
}
public void addBookLevel (
MamaMsg msg,
MamdaOrderBookPriceLevel level,
double plDeltaSize,
char plDeltaAction,
MamaDateTime bookTime)
{
msg.addF64(null, MamdaOrderBookFields.PL_PRICE.getFid(),
level.getPrice().getValue());
if (defaultPlAction != plDeltaAction)
{
msg.addChar (null, MamdaOrderBookFields.PL_ACTION.getFid(),
plDeltaAction);
}
if (defaultPlSide != (char)level.getSide())
{
msg.addI8 (null, MamdaOrderBookFields.PL_SIDE.getFid(),
(byte)level.getSide());
}
msg.addU32 (null, MamdaOrderBookFields.PL_SIZE.getFid(),
(long)level.getSize());
msg.addU32 (null, MamdaOrderBookFields.PL_SIZE_CHANGE.getFid(),
(int)level.getSizeChange());
if (level.getTime() != null)
{
if (null == bookTime )
{
msg.addDateTime (null, MamdaOrderBookFields.PL_TIME.getFid(),
level.getTime());
}
}
if (bookTime != null)
{
if(bookTime.compareTo(level.getTime())!=0)
{
msg.addDateTime (null, MamdaOrderBookFields.PL_TIME.getFid(),
level.getTime());
}
}
if (defaultNumEntries != level.getNumEntries())
{
msg.addU16 (null, MamdaOrderBookFields.PL_NUM_ENTRIES.getFid(),
(int)level.getNumEntries());
}
}
public void addBookLevels (
MamaMsg msg,
MamdaOrderBook book)
{
long numLevels = book.getTotalNumLevels();
if (0 == numLevels)
{
// Just add a zero NumLevels field
msg.addI16 (null, MamdaOrderBookFields.NUM_LEVELS.getFid(),
(short)0);
return;
}
mPriceLevels.grow ((int)numLevels);
int plCount = 0;
// Add order book fields
Iterator mItrBid = book.bidIterator();
while (mItrBid.hasNext())
{
MamdaOrderBookPriceLevel pl = (MamdaOrderBookPriceLevel) mItrBid.next();
MamaMsg plMsg = mPriceLevels.mMsgVector[plCount];
addBookLevel (plMsg, pl, 0.0,
MamdaOrderBookPriceLevel.ACTION_ADD,
book.getBookTime());
addBookLevelEntries (plMsg, pl);
++plCount;
}
Iterator mItrAsk = book.askIterator();
while (mItrAsk.hasNext())
{
MamdaOrderBookPriceLevel pl = (MamdaOrderBookPriceLevel) mItrAsk.next();
MamaMsg plMsg = mPriceLevels.mMsgVector[plCount];
addBookLevel (plMsg, pl, 0.0,
MamdaOrderBookPriceLevel.ACTION_ADD,
book.getBookTime());
addBookLevelEntries (plMsg, pl);
++plCount;
}
// Add the vector of plMsgs to the main msg
msg.addArrayMsgWithLength (null, MamdaOrderBookFields.PRICE_LEVELS.getFid(),
mPriceLevels.mMsgVector,plCount);
msg.addI16 (null, MamdaOrderBookFields.NUM_LEVELS.getFid(),
(short)plCount);
msg.addString (null, MamdaCommonFields.SYMBOL.getFid(),
book.getSymbol());
if (book.hasPartId())
{
msg.addString (null, MamdaCommonFields.PART_ID.getFid(),
book.getPartId());
}
if (book.getBookTime() != null)
msg.addDateTime (null, MamdaOrderBookFields.BOOK_TIME.getFid(),
book.getBookTime());
}
public void addBookEntry (
MamaMsg msg,
MamdaOrderBookEntry entry,
char entryDeltaAction,
MamaDateTime plTime)
{
if (entry.getId() != null)
{
msg.addString (null, MamdaOrderBookFields.ENTRY_ID.getFid(),
entry.getId());
}
msg.addChar (null, MamdaOrderBookFields.ENTRY_ACTION.getFid(),
entryDeltaAction);
msg.addU32 (null, MamdaOrderBookFields.ENTRY_SIZE.getFid(),
(int)entry.getSize());
if ((null == plTime) || (plTime.compareTo(entry.getTime())!=0 ))
{
msg.addDateTime (null, MamdaOrderBookFields.ENTRY_TIME.getFid(),
entry.getTime());
}
if (entry.getStatus() != 0)
{
msg.addU16 (null, MamdaOrderBookFields.ENTRY_STATUS.getFid(),
(short)entry.getStatus());
}
long entryPosition = entry.getEntryPositionInPriceLevel ();
if (entryPosition > 0)
{
msg.addU32 (null, MamdaOrderBookFields.ENTRY_POSITION.getFid(),
entryPosition);
}
}
public void addBookLevelEntries (
MamaMsg plMsg,
MamdaOrderBookPriceLevel level)
{
// Add a vector of submsgs for each price level entry
int numEntriesTotal = level.getNumEntriesTotal();
// Make sure the reusable sub-submessage vector is large enough
mEntries.grow(numEntriesTotal);
int entCount = 0;
Iterator mitr = level.entryIterator();
MamdaOrderBookEntry ent = null;
while (mitr.hasNext())
{
ent = (MamdaOrderBookEntry) mitr.next();
if (0 == ent.getSize())
continue;
MamaMsg entMsg = mEntries.mMsgVector[entCount];
addBookEntry (entMsg, ent,
MamdaOrderBookEntry.ACTION_ADD,
level.getTime());
entCount++;
}
// flatten
if (1 == entCount)
{
addBookEntry (plMsg, ent,
MamdaOrderBookEntry.ACTION_ADD,
level.getTime());
}
// Add entMsg vector to the plMsg
if (entCount>1)
{
plMsg.addArrayMsgWithLength (null, MamdaOrderBookFields.PL_ENTRIES.getFid(),
mEntries.mMsgVector,entCount);
}
if (defaultNumAttachedEntries != (long) entCount)
{
plMsg.addU32 (null, MamdaOrderBookFields.PL_NUM_ATTACH.getFid(),
(long)entCount);
}
}
}
Updated on 2023-03-31 at 15:30:40 +0100