public void onQuoteRecap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
}
public void onQuoteClosing(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteClosing closingEvent,
MamdaQuoteRecap recap)
{
}
public void Teardown()
{
// Reset member variables
if (m_msg != null)
{
m_msg.destroy();
m_msg = null;
}
}
public void onQuoteRecap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
Console.WriteLine ("Quote Recap (" + msg.getString
(MamdaCommonFields.ISSUE_SYMBOL)+ "): ");
}
public void onQuoteClosing(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteClosing closingEvent,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote Closing (" + sub.getSymbol() + "): ");
}
public void onQuoteGap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteGap gapEvent,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote gap (" + gapEvent.getBeginGapSeqNum() +
"-" + gapEvent.getEndGapSeqNum() + ")");
}
public void addMamaHeaderFields(
MamaMsg msg,
byte msgType,
byte msgStatus,
uint seqNum)
{
msg.addU8(null, 1, msgType);
msg.addU8(null, 2, msgStatus);
msg.addU32(null, 10, seqNum);
msg.addU64(null, 20, 1);
}
public void Setup()
{
Mama.loadBridge ("lbm");
Mama.open ();
// Create the message
m_msg = new MamaMsg();
// Create the array of messages
m_vectorPrice = InitialisePriceArray(m_numberPrices, 69);
m_vectorPrice2 = InitialisePriceArray(m_numberPrices, 144);
}
public void testOrigShortSaleCircuitBreaker()
{
mMsg = new MamaMsg();
addMamaHeaderFields(mMsg,
(byte)mamaMsgType.MAMA_MSG_TYPE_CANCEL,
(byte)mamaMsgStatus.MAMA_MSG_STATUS_OK,
(uint)1);
mMsg.addChar("wOrigShortSaleCircuitBreaker", 5249, 'C');
ticker.callMamdaOnMsg(mSubscription, mMsg);
Assert.AreEqual('C', ticker.myOrigShortSaleCircuitBreaker);
}
public void TestCorrTradeId()
{
mMsg = new MamaMsg();
addMamaHeaderFields(mMsg,
(byte)mamaMsgType.MAMA_MSG_TYPE_CORRECTION,
(byte)mamaMsgStatus.MAMA_MSG_STATUS_OK,
(uint)1);
mMsg.addString("wCorrTradeId", 4060, "B");
ticker.callMamdaOnMsg(mSubscription, mMsg);
Assert.AreEqual("B", ticker.myCorrTradeId);
}
public void onQuoteUpdate(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate update,
MamdaQuoteRecap recap)
{
Console.WriteLine ("Quote (" + msg.getString
(MamdaCommonFields.ISSUE_SYMBOL) +
":" + recap.getQuoteCount() +
"): " + update.getBidPrice() +
" " + update.getBidSize() +
" X " + update.getAskSize() +
" " + update.getAskPrice() +
" (seq#: " + update.getEventSeqNum() +
"; time: " + update.getEventTime() +
"; qual: " + update.getQuoteQual() + ")");
}
public void callMamdaOnMsg(MamdaSubscription sub, MamaMsg msg)
{
try
{
ArrayList msgListeners = new ArrayList();
msgListeners = sub.getMsgListeners();
IEnumerator iter = msgListeners.GetEnumerator();
int size = msgListeners.Count;
for (int i = 0; i < size; i++)
{
iter.MoveNext();
MamdaMsgListener listener = (MamdaMsgListener)iter.Current;
listener.onMsg(sub, msg, msg.getType());
}
}
catch (Exception ex)
{
throw new MamdaDataException(ex.Message, ex);
}
}
private void CheckMessageArray(MamaMsg[] messages, int numberMessages, int offset)
{
// Verify that the array has the correct number of messages
if (messages.Length != numberMessages)
{
throw new ArgumentOutOfRangeException("numberMessages");
}
// Chech each item in the array
for (int nextMessage = 0; nextMessage < numberMessages; nextMessage++)
{
// Get the int32 field
int intValue = messages[nextMessage].getI32(string.Empty, (ushort)(nextMessage + 1));
// Verify that it has the correct value
if (intValue != (nextMessage + offset))
{
throw new InvalidOperationException();
}
}
}
/// <summary>
/// Implementation of MamdaListener interface.
/// </summary>
/// <param name="subscription"></param>
/// <param name="msg"></param>
/// <param name="msgType"></param>
public void onMsg(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
if(!MamdaOptionFields.isSet())
{
return;
}
if (msgType == mamaMsgType.MAMA_MSG_TYPE_END_OF_INITIALS)
{
foreach (MamdaOptionChainHandler handler in mHandlers)
{
handler.onOptionChainRecap(subscription, this, msg, mChain);
}
return;
}
MamdaOptionContract contract = findContract(subscription, msg);
switch (msgType)
{
case mamaMsgType.MAMA_MSG_TYPE_INITIAL:
case mamaMsgType.MAMA_MSG_TYPE_RECAP:
handleQuoteMsg(contract, subscription, msg, msgType);
handleTradeMsg(contract, subscription, msg, msgType);
break;
case mamaMsgType.MAMA_MSG_TYPE_QUOTE:
handleQuoteMsg(contract, subscription, msg, msgType);
break;
case mamaMsgType.MAMA_MSG_TYPE_TRADE:
case mamaMsgType.MAMA_MSG_TYPE_CANCEL:
case mamaMsgType.MAMA_MSG_TYPE_ERROR:
case mamaMsgType.MAMA_MSG_TYPE_CORRECTION:
handleTradeMsg(contract, subscription, msg, msgType);
break;
}
}
public void onTradeCorrection(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeCorrection correctionEvent,
MamdaTradeRecap recap)
{
}
private MamdaOptionContract.PutOrCall extractPutCall(
MamaMsg msg,
string fullSymbol)
{
MamdaOptionContract.PutOrCall putCall = MamdaOptionContract.PutOrCall.Unknown;
int putCallInt = 0;
if (!msg.tryField (MamdaOptionFields.PUT_CALL, ref tmpfield_))
{
Console.WriteLine("findContract:CANNOT find put/call in msg:"+fullSymbol+putCall);
}
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:
putCallInt = tmpfield_.getU16();
switch(putCallInt)
{
case 1:
putCall = MamdaOptionContract.PutOrCall.Put;
break;
case 2:
putCall = MamdaOptionContract.PutOrCall.Call;
break;
case 99:
putCall = MamdaOptionContract.PutOrCall.Unknown;
break;
default:
putCall = MamdaOptionContract.PutOrCall.Unknown;
Console.WriteLine("Unhandled value for wPutCall."+ putCallInt);
break;
}
break;
case mamaFieldType.MAMA_FIELD_TYPE_STRING:
string putCallStr = tmpfield_.getString();
switch (putCallStr[0])
{
case '1':
case 'P':
putCall = MamdaOptionContract.PutOrCall.Put;
break;
case '2':
case 'C':
putCall = MamdaOptionContract.PutOrCall.Call;
break;
default:
putCall = MamdaOptionContract.PutOrCall.Unknown;
if ((putCallStr=="99") && (putCallStr=="Z"))
{
Console.WriteLine("Unhandled value for wPutCall."+ putCallStr);
}
break;
}
break;
default:
putCall = MamdaOptionContract.PutOrCall.Unknown;
Console.WriteLine("Unhandled type for wPutCall. Expected string or integer but returned: "+tmpfield_.getType());
break;
}
}
return putCall;
}
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 void handleTradeMsg(
MamdaOptionContract contract,
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
MamdaTradeListener tradeListener = contract.getTradeListener();
if (tradeListener != null)
{
tradeListener.onMsg(subscription, msg, msgType);
}
}
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;
}
/// <summary>
/// Handler for option chain structural updates.
/// </summary>
/// <param name="subscription"></param>
/// <param name="listener"></param>
/// <param name="msg"></param>
/// <param name="updateEvent"></param>
/// <param name="chain"></param>
public void onOptionSeriesUpdate(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionSeriesUpdate updateEvent,
MamdaOptionChain chain)
{
resetRange();
}
/* End Field State Accessors */
private void handleQuoteMsg(
MamdaOptionContract contract,
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
MamdaQuoteListener quoteListener = contract.getQuoteListener();
if (quoteListener != null)
{
quoteListener.onMsg(subscription, msg, msgType);
}
}
/// <summary>
/// FieldIterator callback
/// </summary>
//////////////////////////////////////////////////////////////////////////////////////////////////
public void onField(MamaMsg msg,
MamaMsgField field,
object closure)
{
MamaFieldDescriptor descriptor = field.getDescriptor();
Console.WriteLine(descriptor.getName() + " : " + field.getAsString());
}
public void onQuoteUpdate(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate update,
MamdaQuoteRecap recap)
{
myShortSaleCircuitBreaker = update.getShortSaleCircuitBreaker();
Console.WriteLine("myShortSaleCircuitBreaker: " + myShortSaleCircuitBreaker);
}
public void onMsg(MamaSubscription subscription, MamaMsg msg)
{
Console.WriteLine("Received msg:");
displayAllFields(msg);
}
public void onMsg(MamaSubscription subscription,
MamaMsg msg)
{
if (msg.getType() == mamaMsgType.MAMA_MSG_TYPE_INITIAL)
{
stats.mInitialMsgCount++;
}
else
stats.mOtherMsgCount++;
if (mamaLogLevel > MamaLogLevel.MAMA_LOG_LEVEL_NORMAL)
{
Console.WriteLine("msg.getSymbol msg.getStatus");
}
}
private void displayAllFields(MamaMsg msg)
{
MamaMsgIterator iterator = new MamaMsgIterator(null);
MamaMsgField field;
msg.begin(ref iterator);
while ((field = iterator.getField()) != null)
{
displayField(field);
iterator++;
}
}
public void onTradeReport(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeReport trade,
MamdaTradeRecap recap)
{
}
public void onTradeGap(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeGap gapEvent,
MamdaTradeRecap recap)
{
}
public void onQuoteUpdate(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate updateEvent,
MamdaQuoteRecap recap)
{
}
public void onTradeCancelOrError(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeCancelOrError cancelEvent,
MamdaTradeRecap recap)
{
}