| public tryString ( Wombat.MamaFieldDescriptor descriptor, string &result ) : bool | ||
| descriptor | Wombat.MamaFieldDescriptor | |
| result | string | |
| 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;
}
/// <summary>
/// Get the participant Id from the message.
/// </summary>
/// <param name="msg">The MamaMsg instance</param>
/// <returns>The participant id if it exists or null if this is a
/// consolidated symbol</returns>
/// <exception cref="MamdaDataException">If the symbol contains a dot but the part id
/// cannot be extracted.</exception>
private string getPartId(MamaMsg msg)
{
string partId = null;
string symbol = null;
if (msg.tryString(MamdaCommonFields.PART_ID, ref partId))
{
if (partId != String.Empty)
return partId;
}
if (!msg.tryString(MamdaCommonFields.ISSUE_SYMBOL, ref symbol))
{
if (!msg.tryString(MamdaCommonFields.INDEX_SYMBOL, ref symbol))
{
if (!msg.tryString(MamdaCommonFields.SYMBOL, ref symbol))
{
return null;
}
}
}
int lastDotIndex = symbol.LastIndexOf('.');
if (lastDotIndex != -1)
{
lastDotIndex++;
if (lastDotIndex != symbol.Length)
{
return symbol.Substring(lastDotIndex);
}
}
return null;
}
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;
}
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 handleStandardFields(MamdaSubscription subscription,
MamaMsg msg,
bool checkSeqNum)
{
if (mSymbol == null)
msg.tryString (MamdaCommonFields.SYMBOL, ref mSymbol);
if (mPartId == null)
{
if ((!msg.tryString (MamdaOrderBookFields.PART_ID, ref mPartId)) && (mSymbol != null))
{
// No explicit part ID in message, but maybe in symbol.
int lastDot = mSymbol.IndexOf (".");
if (lastDot != -1)
{
lastDot++;
int lastChar = mSymbol.Length;
if (lastDot != lastChar)
{
mPartId = mSymbol.Substring (lastDot, (lastChar-lastDot));
}
}
}
}
msg.tryDateTime (MamdaOrderBookFields.SRC_TIME, ref mSrcTime);
msg.tryDateTime (MamdaOrderBookFields.ACTIVITY_TIME, ref mActivityTime);
msg.tryDateTime (MamdaOrderBookFields.LINE_TIME, ref mLineTime);
msg.tryDateTime (MamaReservedFields.SendTime, ref mSendTime);
mEventTime = msg.getDateTime (MamdaOrderBookFields.BOOK_TIME, mSrcTime);
long seqNum = msg.getI64(MamaReservedFields.SeqNum);
if (checkSeqNum && (seqNum != (mEventSeqNum + 1)))
{
mGapBegin = mEventSeqNum + 1;
mGapEnd = seqNum - 1;
mEventSeqNum = seqNum;
invokeGapHandlers (subscription, msg);
}
else
{
mEventSeqNum = seqNum;
}
}
