| public tryF64 ( Wombat.MamaFieldDescriptor descriptor, double &result ) : bool | ||
| descriptor | Wombat.MamaFieldDescriptor | |
| result | double | |
| return | bool | |
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 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 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);
}
}
}
}
}
}
