com::wombat::mamda::orderbook::MamdaBookAtomicListener

Inherits from com.wombat.mamda.MamdaMsgListener, com.wombat.mamda.orderbook.MamdaBookAtomicLevel, com.wombat.mamda.orderbook.MamdaBookAtomicLevelEntry, com.wombat.mamda.orderbook.MamdaBookAtomicGap, com.wombat.mamda.MamdaBasicRecap, com.wombat.mamda.MamdaBasicEvent

Public Functions

Public Functions Documentation

function entryIterator

inline Iterator entryIterator()

Return: Iterator The iterator for the price level entries

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevel::entryIterator

Returns a java.util.Iterator for all entries within this level. Price Level entries are represented by the [MamdaOrderBookEntry](classcom_1_1wombat_1_1mamda_1_1orderbook_1_1MamdaOrderBookEntry.html) class.

function addBookHandler

inline void addBookHandler(
    MamdaBookAtomicBookHandler handler
)

function addLevelHandler

inline void addLevelHandler(
    MamdaBookAtomicLevelHandler handler
)

function addLevelEntryHandler

inline void addLevelEntryHandler(
    MamdaBookAtomicLevelEntryHandler handler
)

function getSymbol

inline String getSymbol()

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

Reimplements: com::wombat::mamda::MamdaBasicRecap::getSymbol

Get the string symbol for the instrument.

function getPartId

inline String getPartId()

Return: 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: com::wombat::mamda::MamdaBasicRecap::getPartId

Get the participant identifier.

function getSrcTime

inline MamaDateTime getSrcTime()

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: com::wombat::mamda::MamdaBasicEvent::getSrcTime

function getActivityTime

inline MamaDateTime getActivityTime()

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

Reimplements: com::wombat::mamda::MamdaBasicEvent::getActivityTime

function getLineTime

inline MamaDateTime getLineTime()

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: com::wombat::mamda::MamdaBasicRecap::getLineTime

Get the line time of the update.

function getSendTime

inline MamaDateTime getSendTime()

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).

Reimplements: com::wombat::mamda::MamdaBasicRecap::getSendTime

Get the send time of the update.

function getMsgQual

inline short getMsgQual()

function getEventSeqNum

inline long getEventSeqNum()

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

Reimplements: com::wombat::mamda::MamdaBasicEvent::getEventSeqNum

function getEventTime

inline MamaDateTime 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: com::wombat::mamda::MamdaBasicEvent::getEventTime

function getPriceLevelNumLevels

inline long getPriceLevelNumLevels()

Return: The number of price levels.

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevel::getPriceLevelNumLevels

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

function getPriceLevelNum

inline long getPriceLevelNum()

Return: The position of this level in the update received.

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevel::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)

function getPriceLevelPrice

inline double getPriceLevelPrice()

Return: The price level price.

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevel::getPriceLevelPrice

Return the price for this price level.

function getPriceLevelMamaPrice

inline MamaPrice getPriceLevelMamaPrice()

Return: The price level price.

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevel::getPriceLevelMamaPrice

Return the MamaPrice for this price level.

function getPriceLevelSize

inline double getPriceLevelSize()

Return: The number of entries in this price level.

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevel::getPriceLevelSize

Return the number of order entries comprising this price level.

Not supported for V5 entry book updates.

function getPriceLevelSizeChange

inline long getPriceLevelSizeChange()

Return: The aggregate size at the current price level.

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevel::getPriceLevelSizeChange

Aggregate size at current price level.

Not supported for V5 entry book updates.

function getPriceLevelAction

inline char getPriceLevelAction()

Return: The price level action.

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevel::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). Not supported for V5 entry book updates.

function getPriceLevelSide

inline char getPriceLevelSide()

Return: The price level side.

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevel::getPriceLevelSide

Side of book at current price level.

• B : Bid side. Same as ‘buy’ side.
• A : Ask side. Same as ‘sell’ side.

function getPriceLevelTime

inline MamaDateTime getPriceLevelTime()

Return: The time of the orderbook price level.

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevel::getPriceLevelTime

Time of order book price level.

function getPriceLevelNumEntries

inline double getPriceLevelNumEntries()

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

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevel::getPriceLevelNumEntries

Number of order book entries at current price level.

Not supported for V5 entry book updates.

function setOrderType

inline void setOrderType(
    char orderType
)

function getOrderType

inline char getOrderType()

function getHasMarketOrders

inline boolean getHasMarketOrders()

function setProcessMarketOrders

inline void setProcessMarketOrders(
    boolean process
)

function getPriceLevelActNumEntries

inline long getPriceLevelActNumEntries()

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevelEntry::getPriceLevelActNumEntries

function getPriceLevelEntryAction

inline char getPriceLevelEntryAction()

Return: The orderbook entry action.

Reimplements: com::wombat::mamda::orderbook::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 getPriceLevelEntryReason

inline char getPriceLevelEntryReason()

Return: The orderbook entry reason.

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevelEntry::getPriceLevelEntryReason

Reason for order book entry.

function getPriceLevelEntryId

inline String getPriceLevelEntryId()

Return: The entry id

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevelEntry::getPriceLevelEntryId

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

function getPriceLevelEntrySize

inline long getPriceLevelEntrySize()

Return: Order book entry size

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevelEntry::getPriceLevelEntrySize

Return the order book entry size

function getPriceLevelEntryTime

inline MamaDateTime getPriceLevelEntryTime()

Return: Time of order book entry update.

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevelEntry::getPriceLevelEntryTime

Return the time of order book entry update.

function getBeginGapSeqNum

inline long getBeginGapSeqNum()

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicGap::getBeginGapSeqNum

Beginning sequence number in a detected gap event.

function getEndGapSeqNum

inline long getEndGapSeqNum()

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicGap::getEndGapSeqNum

Ending sequence number in a detected gap event.

function setPriceLevel

inline void setPriceLevel(
    long priceLevel
)

function isVisible

inline boolean isVisible()

Reimplements: com::wombat::mamda::orderbook::MamdaBookAtomicLevelEntry::isVisible

function getSymbolFieldState

inline short getSymbolFieldState()

Return: symbol Field State

Reimplements: com::wombat::mamda::MamdaBasicRecap::getSymbolFieldState

function getPartIdFieldState

inline short getPartIdFieldState()

Return: participant ID Field State

Reimplements: com::wombat::mamda::MamdaBasicRecap::getPartIdFieldState

function getSrcTimeFieldState

inline short getSrcTimeFieldState()

Reimplements: com::wombat::mamda::MamdaBasicEvent::getSrcTimeFieldState

return Source time Field State MODIFIED (2) value indicates the fied was updated in last tick NOT MODIFIED (1) value indicate that there was no change in the last tick NOT_INITIALISED (0) value indicates that the field has never been updated

function getActivityTimeFieldState

inline short getActivityTimeFieldState()

Reimplements: com::wombat::mamda::MamdaBasicEvent::getActivityTimeFieldState

return Activity time Field State MODIFIED (2) value indicates the fied was updated in last tick NOT MODIFIED (1) value indicate that there was no change in the last tick NOT_INITIALISED (0) value indicates that the field has never been updated

function getLineTimeFieldState

inline short getLineTimeFieldState()

Return: line time Field State

Reimplements: com::wombat::mamda::MamdaBasicRecap::getLineTimeFieldState

function getSendTimeFieldState

inline short getSendTimeFieldState()

Return: send time Field State

Reimplements: com::wombat::mamda::MamdaBasicRecap::getSendTimeFieldState

function getEventTimeFieldState

inline short getEventTimeFieldState()

Reimplements: com::wombat::mamda::MamdaBasicEvent::getEventTimeFieldState

return event time Field State MODIFIED (2) value indicates the fied was updated in last tick NOT MODIFIED (1) value indicate that there was no change in the last tick NOT_INITIALISED (0) value indicates that the field has never been updated

function getEventSeqNumFieldState

inline short getEventSeqNumFieldState()

Reimplements: com::wombat::mamda::MamdaBasicEvent::getEventSeqNumFieldState

return source sequence number Field State MODIFIED (2) value indicates the fied was updated in last tick NOT MODIFIED (1) value indicate that there was no change in the last tick NOT_INITIALISED (0) value indicates that the field has never been updated

function onMsg

inline void onMsg(
    MamdaSubscription subscription,
    MamaMsg msg,
    short msgType
)

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: com::wombat::mamda::MamdaMsgListener::onMsg

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

Updated on 2023-03-31 at 15:30:38 +0100