| public getDateTime ( Wombat.MamaFieldDescriptor descriptor ) : System.DateTime | ||
| descriptor | Wombat.MamaFieldDescriptor | |
| return | System.DateTime | |
private void handleRecap(
MamdaSubscription subscription,
MamaMsg msg)
{
// Synchronize the current Order Book in case a snapshot is being created
if (mFullBook != null)
{
lock (mFullBook)
{
msg.tryU64(MamaReservedFields.SenderId, ref mPreviousSenderId);
handleStandardFields(subscription, msg, false);
if (createDeltaFromMamaMsg(mTempmDeltaBook, msg))
{
mDeltaBook.setSymbol(subscription.getSymbol());
mDeltaBook.setBookTime(msg.getDateTime(MamdaOrderBookFields.BOOK_TIME, mSrcTime));
mDeltaBook.setAsDeltaDifference(mFullBook, mTempmDeltaBook);
mFullBook.copy(mTempmDeltaBook);
mFullBook.setSymbol(subscription.getSymbol());
mFullBook.setBookTime(mDeltaBook.getBookTime());
mFullBook.setIsConsistent(true);
invokeRecapHandlers(subscription, msg);
}
}
}
else
{
handleStandardFields(subscription, msg, false);
// Set the delta to be the contents of the recap.
if (createDeltaFromMamaMsg(mDeltaBook, msg))
{
mDeltaBook.setSymbol(subscription.getSymbol());
invokeRecapHandlers(subscription, msg);
}
}
mGotInitial = true;
}
private void handleUpdateImpl(
MamdaSubscription subscription,
MamaMsg msg)
{
handleStandardFields(subscription, msg, true);
if (createDeltaFromMamaMsg(mDeltaBook, msg))
{
mDeltaBook.setSymbol(subscription.getSymbol());
mDeltaBook.setBookTime(msg.getDateTime(MamdaOrderBookFields.BOOK_TIME, mSrcTime));
if (mFullBook != null)
{
if (mUpdateInconsistentBook || mFullBook.getIsConsistent())
{
mFullBook.apply(mDeltaBook);
}
mFullBook.setBookTime(mDeltaBook.getBookTime());
}
if (mHandlers.Count > 0)
{
if (mUpdateInconsistentBook || (mFullBook == null) || mFullBook.getIsConsistent())
{
invokeDeltaHandlers(subscription, msg);
}
}
}
}
private void getLevelInfo(
MamdaOrderBookPriceLevel level,
MamaMsg plMsg,
MamdaOrderBook deltaBook)
{
level.setPrice(plMsg.getPrice(MamdaOrderBookFields.PL_PRICE));
level.setSize((long)plMsg.getF64(MamdaOrderBookFields.PL_SIZE, 0));
level.setNumEntries((int)plMsg.getF64(MamdaOrderBookFields.PL_NUM_ENTRIES, 1));
level.setAction((MamdaOrderBookPriceLevel.Actions)plMsg.getChar(
MamdaOrderBookFields.PL_ACTION, 'A'));
level.setSide((MamdaOrderBookPriceLevel.Sides)plMsg.getChar(
MamdaOrderBookFields.PL_SIDE, 'B'));
/* Optional order book fields: */
level.setSizeChange((long)plMsg.getF64(MamdaOrderBookFields.PL_SIZE_CHANGE, 0)); //default 0
level.setTime(plMsg.getDateTime(MamdaOrderBookFields.PL_TIME, deltaBook.getBookTime()));
}
void getEntryInfo(
MamdaOrderBookEntry entry,
MamaMsg entMsg,
MamdaOrderBookPriceLevel level)
{
entry.setAction((MamdaOrderBookEntry.Actions)entMsg.getChar(
MamdaOrderBookFields.ENTRY_ACTION, 'D'));
entry.setId(entMsg.getString(MamdaOrderBookFields.ENTRY_ID));
entry.setSize((long)entMsg.getF64(MamdaOrderBookFields.ENTRY_SIZE, 0));
entry.setTime(entMsg.getDateTime(MamdaOrderBookFields.ENTRY_TIME, level.getTime()));
}
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;
}
}
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);
}
}
}
}
}
}
private bool getEntriesInfo(MamaMsg entMsg)
{
int priceLevelEntryActionInt = 0;
ulong mPriceLevelEntrySizeUlong = 0;
if (entMsg.tryI32(MamdaOrderBookFields.ENTRY_ACTION, ref priceLevelEntryActionInt))
{
mPriceLevelEntryAction = (sbyte) priceLevelEntryActionInt;
}
entMsg.tryU64 (MamdaOrderBookFields.ENTRY_SIZE, ref mPriceLevelEntrySizeUlong);
mPriceLevelEntrySize = (long) mPriceLevelEntrySizeUlong;
mPriceLevelEntryTime = entMsg.getDateTime(MamdaOrderBookFields.ENTRY_TIME, mPriceLevelTime);
if(entMsg.tryStringAnsi (MamdaOrderBookFields.ENTRY_ID, ref mPriceLevelEntryIdIntPtr))
{
return true;
}
else
{
return false;
}
}
