private MamdaOptionContract findContract(
MamdaSubscription subscription,
MamaMsg msg)
{
/*
* NOTE: fields which are enums can be pubished as integers if feedhandler
* uses mama-publish-enums-as-ints. It may also be possible for a feed to
* publish the numerical value as a string. All enumerated fields must be handled
* by getting the value based on the field type.
*/
// Look up the strike price and expiration date
string contractSymbol = null;
if (!msg.tryString(MamdaOptionFields.CONTRACT_SYMBOL, ref contractSymbol))
{
throw new MamdaDataException("cannot find contract symbol");
}
string fullSymbol = contractSymbol;
MamdaOptionContract contract = mChain.getContract(fullSymbol);
if (contract == null)
{
string expireDateStr = String.Empty;
double strikePrice = 0.0;
string putCall = String.Empty;
uint openInterest = 0;
msg.tryString(MamdaOptionFields.EXPIRATION_DATE, ref expireDateStr);
msg.tryF64(MamdaOptionFields.STRIKE_PRICE, ref strikePrice);
if (msg.tryField(MamdaOptionFields.PUT_CALL, ref tmpfield_))
{
putCall = getFieldAsString(tmpfield_);
}
int symbolLen = fullSymbol.Length;
string symbol = null;
string exchange = null;
int dotIndex = fullSymbol.LastIndexOf('.');
if (dotIndex > 0)
{
// Have exchange in symbol.
exchange = fullSymbol.Substring(dotIndex + 1);
symbol = fullSymbol.Substring(0, dotIndex);
}
else
{
exchange = "";
symbol = fullSymbol;
}
DateTime expireDate = DateTime.MinValue;
try
{
expireDate = mDateFormat.Parse(expireDateStr);
}
catch (FormatException e)
{
throw new MamdaDataException(
String.Format("cannot parse expiration date: {0}", expireDateStr));
}
MamdaOptionContract.PutOrCall putCallchar = extractPutCall(msg, fullSymbol);
contract = new MamdaOptionContract(
symbol,
exchange,
expireDate,
strikePrice,
putCallchar);
MamdaOptionContract.ExerciseStyle exerciseStyleChar = extractExerciseStyle(msg, fullSymbol);
contract.setExerciseStyle(exerciseStyleChar);
if (msg.tryU32(MamdaOptionFields.OPEN_INTEREST, ref openInterest))
{
contract.setOpenInterest((long)openInterest);
}
mChain.addContract(fullSymbol, contract);
mLastActionContract = contract;
mLastActionContractFieldState = MamdaFieldState.MODIFIED;
mLastAction = MamdaOptionAction.Add;
mLastActionFieldState = MamdaFieldState.MODIFIED;
foreach (MamdaOptionChainHandler handler in mHandlers)
{
handler.onOptionContractCreate(subscription, this, msg, contract, mChain);
}
}
return(contract);
}
private MamdaOptionContract.ExerciseStyle extractExerciseStyle(
MamaMsg msg,
string fullSymbol)
{
MamdaOptionContract.ExerciseStyle exerciseStyle = MamdaOptionContract.ExerciseStyle.Unknown;
int exerciseStyleInt = 0;
if (!msg.tryField(MamdaOptionFields.EXERCISE_STYLE, ref tmpfield_))
{
Console.WriteLine("findContract:CANNOT find exercisestyle in msg:" + fullSymbol + exerciseStyle);
}
else
{
switch (tmpfield_.getType())
{
case mamaFieldType.MAMA_FIELD_TYPE_I8:
case mamaFieldType.MAMA_FIELD_TYPE_U8:
case mamaFieldType.MAMA_FIELD_TYPE_I16:
case mamaFieldType.MAMA_FIELD_TYPE_U16:
exerciseStyleInt = tmpfield_.getU16();
switch (exerciseStyleInt)
{
case 1:
exerciseStyle = MamdaOptionContract.ExerciseStyle.American;
break;
case 2:
exerciseStyle = MamdaOptionContract.ExerciseStyle.European;
break;
case 3:
exerciseStyle = MamdaOptionContract.ExerciseStyle.Capped;
break;
case 99:
exerciseStyle = MamdaOptionContract.ExerciseStyle.Unknown;
break;
default:
exerciseStyle = MamdaOptionContract.ExerciseStyle.Unknown;
Console.Write("Unhandled value for wExerciseStyle." + exerciseStyleInt);
break;
}
break;
case mamaFieldType.MAMA_FIELD_TYPE_STRING:
string exerciseStyleStr = tmpfield_.getString();;
switch (exerciseStyleStr[0])
{
case '1':
case 'A':
exerciseStyle = MamdaOptionContract.ExerciseStyle.American;
break;
case '2':
case 'E':
exerciseStyle = MamdaOptionContract.ExerciseStyle.European;
break;
case '3':
case 'C':
exerciseStyle = MamdaOptionContract.ExerciseStyle.Capped;
break;
default:
exerciseStyle = MamdaOptionContract.ExerciseStyle.Unknown;
if ((exerciseStyleStr == "99") && (exerciseStyleStr == "Z"))
{
Console.WriteLine("Unhandled value for wExerciseStyle." + exerciseStyleStr);
}
break;
}
break;
default:
exerciseStyle = MamdaOptionContract.ExerciseStyle.Unknown;
Console.WriteLine("Unhandled type for wExerciseStyle. Expected string or integer but returned:" + tmpfield_.getType());
break;
}
}
return(exerciseStyle);
}
