/// <summary>
/// Print the contents of the chain to standard out.
/// </summary>
public void dump()
{
Console.WriteLine("Dump chain: {0}", mSymbol);
int i = 0;
Iterator callIter = mCallOptions.iterator();
Iterator putIter = mPutOptions.iterator();
while (callIter.hasNext() || putIter.hasNext())
{
Console.WriteLine("{0} | ", i);
if (callIter.hasNext())
{
MamdaOptionContract callContract = (MamdaOptionContract)callIter.next();
dump(callContract);
}
else
{
Console.Write(" ");
}
Console.Write(" | ");
if (putIter.hasNext())
{
MamdaOptionContract putContract = (MamdaOptionContract)putIter.next();
dump(putContract);
}
else
{
}
Console.WriteLine();
++i;
}
}
/* Ascending expiration month, strike price, and exchange. */
public int compare(object o1, object o2)
{
MamdaOptionContract contract1 = (MamdaOptionContract)o1;
MamdaOptionContract contract2 = (MamdaOptionContract)o2;
// Expiration month
DateTime expiration1 = contract1.getExpireDate();
DateTime expiration2 = contract2.getExpireDate();
int comp = expiration1.CompareTo(expiration2);
if (comp == 0)
{
// Strike price
double strike1 = contract1.getStrikePrice();
double strike2 = contract2.getStrikePrice();
comp = strike1.CompareTo(strike2);
}
if (comp == 0)
{
// Exchange
string exchange1 = contract1.getExchange();
string exchange2 = contract2.getExchange();
comp = exchange1.CompareTo(exchange2);
}
return(comp);
}
private void dump(MamdaOptionContract contract)
{
Console.Write("{0} {1} {2} {3}",
contract.getSymbol(),
contract.getExchange(),
contract.getExpireDate(),
contract.getStrikePrice());
}
/// <summary>
/// Handler for option chain structural updates.
/// </summary>
/// <param name="subscription"></param>
/// <param name="listener"></param>
/// <param name="msg"></param>
/// <param name="contract"></param>
/// <param name="chain"></param>
public void onOptionContractCreate(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionContract contract,
MamdaOptionChain chain)
{
resetRange();
}
/// <summary>
/// Return whether an option contract falls within this view's
/// parameters.
/// </summary>
/// <param name="contract"></param>
/// <returns></returns>
public bool isVisible(MamdaOptionContract contract)
{
double strikePrice = contract.getStrikePrice();
DateTime expireDate = contract.getExpireDate();
return((mLowExpireDate <= expireDate) &&
(mHighExpireDate >= expireDate) &&
(mLowStrike <= strikePrice) &&
(strikePrice <= mHighStrike));
}
/// <summary>
/// Add an option contract. This method would not normally be
/// invoked by a user application. Rather,
/// MamdaOptionChainListener would be most likely to call this
/// method.
/// </summary>
/// <param name="contractSymbol">The option instrument symbol.</param>
/// <param name="contract">The Mamda option contract representation.</param>
public void addContract(
string contractSymbol,
MamdaOptionContract contract)
{
DateTime expireDate = contract.getExpireDate();
double strikePrice = contract.getStrikePrice();
string exchange = contract.getExchange();
MamdaOptionContract.PutOrCall putCall = contract.getPutCall();
mOptions.put(contractSymbol, contract);
if (putCall == MamdaOptionContract.PutOrCall.Call)
{
mCallOptions.add(contract);
}
else
{
mPutOptions.add(contract);
}
// Add the contract to the expiration-by-strike set.
MamdaOptionExpirationStrikes expireStrikes = (MamdaOptionExpirationStrikes)mExpirationSet.valueOf(expireDate);
if (expireStrikes == null)
{
expireStrikes = new MamdaOptionExpirationStrikes();
mExpirationSet.put(expireDate, expireStrikes);
}
MamdaOptionStrikeSet strikeSet = (MamdaOptionStrikeSet)expireStrikes.valueOf(strikePrice);
if (strikeSet == null)
{
strikeSet = new MamdaOptionStrikeSet(expireDate, strikePrice);
expireStrikes.put(strikePrice, strikeSet);
}
MamdaOptionContractSet contractSet = (putCall == MamdaOptionContract.PutOrCall.Call) ?
strikeSet.getCallSet() : strikeSet.getPutSet();
if (MamdaOptionExchangeUtils.isBbo(exchange))
{
contractSet.setBboContract(contract);
}
else if (MamdaOptionExchangeUtils.isWombatBbo(exchange))
{
contractSet.setWombatBboContract(contract);
}
else
{
contractSet.setExchangeContract(exchange, contract);
mExchanges.add(exchange);
}
mStrikePrices.add(strikePrice);
}
private void handleTradeMsg(
MamdaOptionContract contract,
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
MamdaTradeListener tradeListener = contract.getTradeListener();
if (tradeListener != null)
{
tradeListener.onMsg(subscription, msg, msgType);
}
}
/* End Field State Accessors */
private void handleQuoteMsg(
MamdaOptionContract contract,
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
MamdaQuoteListener quoteListener = contract.getQuoteListener();
if (quoteListener != null)
{
quoteListener.onMsg(subscription, msg, msgType);
}
}
/// <summary>
/// Implementation of MamdaListener interface.
/// </summary>
/// <param name="subscription"></param>
/// <param name="msg"></param>
/// <param name="msgType"></param>
public void onMsg(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
if (!MamdaOptionFields.isSet())
{
return;
}
if (msgType == mamaMsgType.MAMA_MSG_TYPE_END_OF_INITIALS)
{
foreach (MamdaOptionChainHandler handler in mHandlers)
{
handler.onOptionChainRecap(subscription, this, msg, mChain);
}
return;
}
MamdaOptionContract contract = findContract(subscription, msg);
switch (msgType)
{
case mamaMsgType.MAMA_MSG_TYPE_INITIAL:
case mamaMsgType.MAMA_MSG_TYPE_RECAP:
handleQuoteMsg(contract, subscription, msg, msgType);
handleTradeMsg(contract, subscription, msg, msgType);
break;
case mamaMsgType.MAMA_MSG_TYPE_QUOTE:
handleQuoteMsg(contract, subscription, msg, msgType);
break;
case mamaMsgType.MAMA_MSG_TYPE_TRADE:
case mamaMsgType.MAMA_MSG_TYPE_CANCEL:
case mamaMsgType.MAMA_MSG_TYPE_ERROR:
case mamaMsgType.MAMA_MSG_TYPE_CORRECTION:
handleTradeMsg(contract, subscription, msg, msgType);
break;
}
}
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>
/// Set the contract for the best bid and offer, as calculated
/// by Wombat.
/// </summary>
/// <param name="contract"></param>
public void setWombatBboContract(MamdaOptionContract contract)
{
mWombatmBboContract = contract;
}
private void handleTradeMsg(
MamdaOptionContract contract,
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
MamdaTradeListener tradeListener = contract.getTradeListener();
if (tradeListener != null)
{
tradeListener.onMsg(subscription, msg, msgType);
}
}
/// <summary>
/// Handler for option chain structural updates.
/// </summary>
/// <param name="subscription"></param>
/// <param name="listener"></param>
/// <param name="msg"></param>
/// <param name="contract"></param>
/// <param name="chain"></param>
public void onOptionContractCreate(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionContract contract,
MamdaOptionChain chain)
{
resetRange();
}
/// <summary>
/// Set the contract for the particular exchange.
/// </summary>
/// <param name="exchange"></param>
/// <param name="contract"></param>
public void setExchangeContract(
string exchange,
MamdaOptionContract contract)
{
mExchangeContracts.put(exchange, contract);
}
/// <summary>
/// Set the contract for the best bid and offer, as calculated
/// by Wombat.
/// </summary>
/// <param name="contract"></param>
public void setWombatBboContract(MamdaOptionContract contract)
{
mWombatmBboContract = contract;
}
/// <summary>
/// Set the contract for the particular exchange.
/// </summary>
/// <param name="exchange"></param>
/// <param name="contract"></param>
public void setExchangeContract(
string exchange,
MamdaOptionContract contract)
{
mExchangeContracts.put(exchange, contract);
}
/// <summary>
/// Set the contract for the best bid and offer.
/// </summary>
/// <param name="contract"></param>
public void setBboContract(MamdaOptionContract contract)
{
mBboContract = contract;
}
/// <summary>
/// Return whether an option contract falls within this view's
/// parameters.
/// </summary>
/// <param name="contract"></param>
/// <returns></returns>
public bool isVisible(MamdaOptionContract contract)
{
double strikePrice = contract.getStrikePrice();
DateTime expireDate = contract.getExpireDate();
return ((mLowExpireDate <= expireDate) &&
(mHighExpireDate >= expireDate) &&
(mLowStrike <= strikePrice) &&
(strikePrice <= mHighStrike));
}
/// <summary>
/// Add an option contract. This method would not normally be
/// invoked by a user application. Rather,
/// MamdaOptionChainListener would be most likely to call this
/// method.
/// </summary>
/// <param name="contractSymbol">The option instrument symbol.</param>
/// <param name="contract">The Mamda option contract representation.</param>
public void addContract(
string contractSymbol,
MamdaOptionContract contract)
{
DateTime expireDate = contract.getExpireDate();
double strikePrice = contract.getStrikePrice();
string exchange = contract.getExchange();
MamdaOptionContract.PutOrCall putCall = contract.getPutCall();
mOptions.put(contractSymbol, contract);
if (putCall == MamdaOptionContract.PutOrCall.Call)
{
mCallOptions.add(contract);
}
else
{
mPutOptions.add(contract);
}
// Add the contract to the expiration-by-strike set.
MamdaOptionExpirationStrikes expireStrikes = (MamdaOptionExpirationStrikes)mExpirationSet.valueOf(expireDate);
if (expireStrikes == null)
{
expireStrikes = new MamdaOptionExpirationStrikes();
mExpirationSet.put(expireDate, expireStrikes);
}
MamdaOptionStrikeSet strikeSet = (MamdaOptionStrikeSet)expireStrikes.valueOf(strikePrice);
if (strikeSet == null)
{
strikeSet = new MamdaOptionStrikeSet(expireDate, strikePrice);
expireStrikes.put(strikePrice, strikeSet);
}
MamdaOptionContractSet contractSet = (putCall == MamdaOptionContract.PutOrCall.Call) ?
strikeSet.getCallSet() : strikeSet.getPutSet();
if (MamdaOptionExchangeUtils.isBbo(exchange))
{
contractSet.setBboContract(contract);
}
else if (MamdaOptionExchangeUtils.isWombatBbo(exchange))
{
contractSet.setWombatBboContract(contract);
}
else
{
contractSet.setExchangeContract(exchange, contract);
mExchanges.add(exchange);
}
mStrikePrices.add(strikePrice);
}
/* End Field State Accessors */
private void handleQuoteMsg(
MamdaOptionContract contract,
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
MamdaQuoteListener quoteListener = contract.getQuoteListener();
if (quoteListener != null)
{
quoteListener.onMsg(subscription, msg, msgType);
}
}
private void dump(MamdaOptionContract contract)
{
Console.Write("{0} {1} {2} {3}",
contract.getSymbol(),
contract.getExchange(),
contract.getExpireDate(),
contract.getStrikePrice());
}
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>
/// Set the contract for the best bid and offer.
/// </summary>
/// <param name="contract"></param>
public void setBboContract(MamdaOptionContract contract)
{
mBboContract = contract;
}
