| public tryField ( Wombat.MamaFieldDescriptor descriptor, Wombat.MamaMsgField &result ) : bool | ||
| descriptor | Wombat.MamaFieldDescriptor | |
| result | Wombat.MamaMsgField | |
| return | bool | |
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;
}
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 void updateFundamentalFields(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.
*/
if (msg.tryDateTime(MamdaFundamentalFields.SRC_TIME, ref mSrcTimeStr))
mSrcTimeStrFieldState = MamdaFieldState.MODIFIED;
if (msg.tryDateTime(MamdaFundamentalFields.ACTIVITY_TIME, ref mActTimeStr))
mActTimeStrFieldState = MamdaFieldState.MODIFIED;
if (msg.tryString(MamdaFundamentalFields.CORP_ACT_TYPE, ref mCorpActType))
mCorpActTypeFieldState = MamdaFieldState.MODIFIED;
if(msg.tryField (MamdaFundamentalFields.DIVIDEND_FREQ, ref mTmpfield))
{
mDivFreq = getFieldAsString(mTmpfield);
mDivFreqFieldState = MamdaFieldState.MODIFIED;
}
if (msg.tryString(MamdaFundamentalFields.DIVIDEND_EX_DATE, ref mDivExDate))
mDivExDateFieldState = MamdaFieldState.MODIFIED;
if(msg.tryString(MamdaFundamentalFields.DIVIDEND_PAY_DATE, ref mDivPayDate))
mDivPayDateFieldState = MamdaFieldState.MODIFIED;
if (msg.tryString(MamdaFundamentalFields.DIVIDEND_REC_DATE, ref mDivRecordDate))
mDivRecordDateFieldState = MamdaFieldState.MODIFIED;
if(msg.tryString(MamdaFundamentalFields.DIVIDEND_CURRENCY, ref mDivCurrency))
mDivCurrencyFieldState = MamdaFieldState.MODIFIED;
if (msg.tryString(MamdaFundamentalFields.MRKT_SEGM_NATIVE, ref mMrktSegmNative))
mMrktSegmNativeFieldState = MamdaFieldState.MODIFIED;
if (msg.tryString(MamdaFundamentalFields.MRKT_SECT_NATIVE, ref mMrktSectNative))
mMrktSectNativeFieldState = MamdaFieldState.MODIFIED;
if(msg.tryField (MamdaFundamentalFields.MRKT_SEGMENT, ref mTmpfield))
{
mMarketSegment = getFieldAsString(mTmpfield);
mMarketSegmentFieldState = MamdaFieldState.MODIFIED;
}
if(msg.tryField (MamdaFundamentalFields.MRKT_SECTOR, ref mTmpfield))
{
mMarketSector = getFieldAsString(mTmpfield);
mMarketSectorFieldState = MamdaFieldState.MODIFIED;
}
if (msg.tryI64 (MamdaFundamentalFields.SHARES_OUT, ref mSharesOut))
mSharesOutFieldState = MamdaFieldState.MODIFIED;
if (msg.tryI64 (MamdaFundamentalFields.SHARES_FLOAT, ref mSharesFloat))
mSharesFloatFieldState = MamdaFieldState.MODIFIED;
if (msg.tryI64 (MamdaFundamentalFields.SHARES_AUTH, ref mSharesAuth))
mSharesAuthFieldState = MamdaFieldState.MODIFIED;
if (msg.tryF64(MamdaFundamentalFields.DIVIDEND_PRICE, ref mDividendPrice))
mDividendPriceFieldState = MamdaFieldState.MODIFIED;
if (msg.tryF64(MamdaFundamentalFields.EARN_PER_SHARE, ref mEarnPerShare))
mEarnPerShareFieldState = MamdaFieldState.MODIFIED;
if (msg.tryF64(MamdaFundamentalFields.VOLATILITY, ref mVolatility))
mVolatilityFieldState = MamdaFieldState.MODIFIED;
if (msg.tryF64(MamdaFundamentalFields.PRICE_EARN_RATIO, ref mPeRatio))
mPeRatioFieldState = MamdaFieldState.MODIFIED;
if (msg.tryF64(MamdaFundamentalFields.YIELD, ref mYield))
mYieldFieldState = MamdaFieldState.MODIFIED;
if (msg.tryF64(MamdaFundamentalFields.HIST_VOLATILITY, ref mHistVolatility))
mHistVolatilityFieldState = MamdaFieldState.MODIFIED;
if (msg.tryF64(MamdaFundamentalFields.RISK_FREE_RATE, ref mRiskFreeRate))
mRiskFreeRateFieldState = MamdaFieldState.MODIFIED;
}
