|
public getMsg ( Wombat.MamaFieldDescriptor descriptor ) : |
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| descriptor | Wombat.MamaFieldDescriptor | |
| return | ||
private void getEntries(
MamdaOrderBookPriceLevel level,
MamaMsg plMsg)
{
/* Entries may or may not exist in the message. If they do exist,
* they exist as a vector of submessages, separate submessages, or
* (if there is only one entry in the message) in the price level
* message itself. */
/* Optional order book fields: */
MamaMsg[] msgEntries = null;
/*We won't have PL_ENTRIES if FieldAttrsOrderBookWombatMsg
is not specified in the data dictionary*/
if (MamdaOrderBookFields.PL_ENTRIES != null)
{
/* null is passed as default value otherwise
getVectorMsg throws an exception if not found*/
msgEntries = plMsg.getVectorMsg(MamdaOrderBookFields.PL_ENTRIES, null);
}
if (msgEntries != null)
{
MamdaOrderBookEntry[] entries = new MamdaOrderBookEntry[msgEntries.Length];
for (int j = 0; j < msgEntries.Length; j++)
{
MamaMsg entMsg = msgEntries[j];
if (entMsg != null)
{
MamdaOrderBookEntry entry = new MamdaOrderBookEntry();
getEntryInfo(entry, entMsg, level);
level.addEntry(entry);
}
}
return;
}
/* Second, try the list of entries. */
int maxEntryFields = MamdaOrderBookFields.PL_ENTRY.Length;
// Get the number of attached sub messages
int numEntryAttached = plMsg.getI32(MamdaOrderBookFields.PL_NUM_ATTACH, 0);
// If there are no sub messages attempt to get the entry Id from this price level message
if (0 == numEntryAttached)
{
string entID = null;
// Check for the entry Id
if (plMsg.tryString(MamdaOrderBookFields.ENTRY_ID, ref entID))
{
// Add a new entry to the level
MamdaOrderBookEntry entry = new MamdaOrderBookEntry();
getEntryInfo(entry, plMsg, level);
level.addEntry(entry);
}
}
else
{
// Ensure we dont' enumerate beyond the maximum number of entries
if (numEntryAttached < maxEntryFields)
{
maxEntryFields = numEntryAttached;
}
// Enumerate all the entries
for (int j = 1; j <= maxEntryFields; j++)
{
// Get the sub message
MamaMsg entMsg = plMsg.getMsg(MamdaOrderBookFields.PL_ENTRY[j], null);
if (entMsg != null)
{
// Add an entry for this level
MamdaOrderBookEntry entry = new MamdaOrderBookEntry();
getEntryInfo(entry, entMsg, level);
level.addEntry(entry);
}
}
}
}
private void getLevelInfoAndEntries(
MamdaSubscription subscription,
MamaMsg msg,
MamaMsg plMsg,
bool isRecap)
{
double priceLevelSizeChange = 0.0;
int priceLevelActionInt = 0;
int priceLevelSideInt = 0;
MamaMsg entMsg = null;
plMsg.tryPrice(MamdaOrderBookFields.PL_PRICE, ref mPriceLevelPrice);
plMsg.tryF64(MamdaOrderBookFields.PL_SIZE, ref mPriceLevelSize);
plMsg.tryF64(MamdaOrderBookFields.PL_NUM_ENTRIES, ref mPriceLevelNumEntries);
if (plMsg.tryI32(MamdaOrderBookFields.PL_ACTION, ref priceLevelActionInt))
{
mPriceLevelAction = (sbyte) priceLevelActionInt;
}
if (plMsg.tryI32(MamdaOrderBookFields.PL_SIDE, ref priceLevelSideInt))
{
mPriceLevelSide = (sbyte) priceLevelSideInt;
}
// Optional order book fields:
mPriceLevelTime = plMsg.getDateTime (MamdaOrderBookFields.PL_TIME, mEventTime);
if ( plMsg.tryF64(MamdaOrderBookFields.PL_SIZE_CHANGE, ref priceLevelSizeChange) )
{
mPriceLevelSizeChange = (long) priceLevelSizeChange;
}
// Call the Price Level Handler if set
if (mLevelHandler!=null)
{
if (isRecap)
{
mLevelHandler.onBookAtomicLevelRecap (
subscription, this, msg, this);
}
else
{
mLevelHandler.onBookAtomicLevelDelta (
subscription, this, msg, this);
}
}
// Handle entries.
//
// Note: the number of entries actually present may well
// not add up to the PL_NUM_ENTRIES; it may be more than,
// less than or equal to PL_NUM_ENTRIES. For example, if
// the delta is a price level update then PL_NUM_ENTRIES
// indicates the total number of remaining entries whereas
// the array of entries in the message will only contain
// those that are being added/deleted/updated. Only if the
// price level action is an add should the number of
// entries match.
//
if (mLevelEntryHandler!=null)
{
// clear entry cache
clearLevelEntryFields();
// First try a single vector.
int numEntriesInMsg = 0;
MamaMsg[] msgEntries = null;
/* We won't have PL_ENTRIES if FieldAttrsOrderBookWombatMsg
* is not specified in the data dictionary */
if (MamdaOrderBookFields.PL_ENTRIES != null)
{
/* null is passed as default value otherwise
* getVectorMsg throws an exception if not found */
msgEntries = plMsg.getVectorMsg(MamdaOrderBookFields.PL_ENTRIES, null);
if (msgEntries != null)
{
numEntriesInMsg = msgEntries.Length;
}
}
if (numEntriesInMsg > 0)
{
mPriceLevelActNumEntries = numEntriesInMsg;
for (int j = 0; j < numEntriesInMsg; j++)
{
entMsg = msgEntries[j];
getEntriesInfo(entMsg);
if (isRecap)
{
mLevelEntryHandler.onBookAtomicLevelEntryRecap (
subscription, this, msg, this);
}
else
{
mLevelEntryHandler.onBookAtomicLevelEntryDelta (
subscription, this, msg, this);
}
}
}
else
{
// Second, try the list of entries.
int maxEntryFields = MamdaOrderBookFields.getNumEntryFields ();
// getNumEntryFields() defaults to 0 but we want to go into the
// below loop at least once for flattened messages scenario
if (maxEntryFields == 0)
{
maxEntryFields = 1;
}
int numEntryAttached = plMsg.getI32(MamdaOrderBookFields.PL_NUM_ATTACH, 1);
if (numEntryAttached < maxEntryFields)
{
maxEntryFields = numEntryAttached;
}
mPriceLevelActNumEntries = maxEntryFields;
for (int j = 1; j <= maxEntryFields; j++)
{
if (MamdaOrderBookFields.PL_ENTRY.Length > 1)
{
entMsg = plMsg.getMsg(MamdaOrderBookFields.PL_ENTRY[j], null);
}
if ((entMsg == null) && (numEntryAttached == 1))
{
// Price level fields are probably be in the main message.
entMsg = plMsg;
}
if (entMsg != null)
{
if (!getEntriesInfo(entMsg))
{
return;
}
if (isRecap)
{
mLevelEntryHandler.onBookAtomicLevelEntryRecap (
subscription, this, msg, this);
}
else
{
mLevelEntryHandler.onBookAtomicLevelEntryDelta (
subscription, this, msg, this);
}
}
}
}
}
}
/// <summary>
/// Returns whether a complete book delta was received.
///
/// Books without vector fields (i.e. fixed field layout) might
/// come in multiple MamaMsgs. The MdMsgNum and MdTotalNum
/// fields can be used to determine which message is which.
///
/// When a single price level is present, it may or may not be
/// encapsulated in a nested message field. Similarly, with single
/// entries in a price level.
/// </summary>
/// <param name="delta"></param>
/// <param name="msg"></param>
/// <returns></returns>
private bool createDeltaFromMamaMsgWithoutVectorFields(
MamdaOrderBook delta,
MamaMsg msg)
{
int msgNum = 1;
int msgTotal = 1;
if (msg.tryI32(MamaReservedFields.MsgNum, ref mMsgNum))
{
msgNum = mMsgNum.Value;
}
if (msg.tryI32(MamaReservedFields.MsgTotal, ref mMsgTotal))
{
msgTotal = mMsgTotal.Value;
}
if (msgNum == 1)
{
// Only clear the book if this is the first message in the
// set of updates.
delta.clear();
}
if (!mHaveSanityCheckedBookDict)
{
mHaveSanityCheckedBookDict = true;
if (MamdaOrderBookFields.PRICE_LEVEL.Length == 0)
{
throw new MamdaOrderBookException (
"data dictionary error: cannot find price level fields");
}
}
//for optimised feed date, wNumLevels should be assumed = 1 if not sent
int numLevelFieldInMsg = 1;
if (msg.tryI32(MamdaOrderBookFields.NUM_LEVELS, ref mNumLevelFields))
{
numLevelFieldInMsg = mNumLevelFields.Value;
}
int maxLevelFields = MamdaOrderBookFields.PRICE_LEVEL.Length;
if (numLevelFieldInMsg < maxLevelFields)
{
maxLevelFields = numLevelFieldInMsg;
}
for (int i = 1; i <= maxLevelFields; i++)
{
MamaMsg plMsg = msg.getMsg(MamdaOrderBookFields.PRICE_LEVEL[i], null);
if (plMsg == null)
{
if (numLevelFieldInMsg == 1)
{
/* Price level fields are probably be in the main
* message. */
plMsg = msg;
}
else
{
throw new MamdaDataException (
"cannot find price level fields in MamaMsg");
}
}
MamdaOrderBookPriceLevel level = new MamdaOrderBookPriceLevel();
getLevelInfo(level, plMsg, delta);
getEntries(level, plMsg);
delta.addLevel (level);
}
return msgNum == msgTotal;
}
private void createDeltaFromMamaMsgWithoutVectorFields(
MamdaSubscription subscription,
MamaMsg msg,
bool isRecap)
{
NullableInt numLevelFields_ = new NullableInt();
int numLevelFieldInMsg = 1;
if (msg.tryI32 (MamdaOrderBookFields.NUM_LEVELS, ref numLevelFields_))
{
numLevelFieldInMsg = numLevelFields_.Value;
}
int maxLevelFields = MamdaOrderBookFields.getNumLevelFields();
// getNumLevelFields() defaults to 0 but we want to go into the
// below loop at least once for flattened messages scenario
if (maxLevelFields == 0)
{
maxLevelFields = 1;
}
if (numLevelFieldInMsg < maxLevelFields)
{
maxLevelFields = numLevelFieldInMsg;
}
mPriceLevels = maxLevelFields;
for (int i = 1; i <= maxLevelFields; i++)
{
clearLevelFields();
mPriceLevel = i;
MamaMsg plMsg = null;
if (MamdaOrderBookFields.PRICE_LEVEL.Length > 1)
{
plMsg = msg.getMsg(MamdaOrderBookFields.PRICE_LEVEL[i], null);
}
if (plMsg == null)
{
if (numLevelFieldInMsg == 1)
{
// Price level fields are probably be in the main message.
plMsg = msg;
}
else
{
throw new MamdaDataException (
"cannot find price level fields in MamaMsg");
}
}
getLevelInfoAndEntries(subscription, msg, plMsg, isRecap);
}
}
