/// <summary>
/// Take the details from <code>level</code>code> and apply them to this level
/// This does not update entries within the level, only information
/// pertaining to the level itself.
/// It is intended that this method should not be used externally to the
/// API.
/// </summary>
/// <param name="level">The price level object from which the details are being
/// obtained.</param>
public void setDetails(MamdaOrderBookPriceLevel level)
{
this.mSizeChange = level.mSize - this.mSize;
this.mSize = level.mSize;
this.mNumEntries = level.mNumEntries;
this.mTime = level.mTime;
}
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()));
}
/// <summary>
/// Add a price level to the order book.
/// </summary>
/// <param name="level">The price level to add to the book.</param>
public void addLevel(MamdaOrderBookPriceLevel level)
{
switch (level.getSide())
{
case MamdaOrderBookPriceLevel.Sides.Bid:
addLevelSide(level, mBidLevels);
break;
case MamdaOrderBookPriceLevel.Sides.Ask:
addLevelSide(level, mAskLevels);
break;
}
}
/// <summary>
/// Add a price level to the order book.
/// </summary>
/// <param name="level">The price level to add to the book.</param>
public void addLevel(MamdaOrderBookPriceLevel level)
{
switch (level.getSide())
{
case MamdaOrderBookPriceLevel.Sides.Bid:
addLevelSide(level, mBidLevels);
break;
case MamdaOrderBookPriceLevel.Sides.Ask:
addLevelSide(level, mAskLevels);
break;
}
}
private void deleteLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (bookSide.ContainsKey(price))
{
/* We actually need to process this properly because the
* update may not contain all entries, just updated
* ones. */
bookSide.Remove(price);
}
}
private void addLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (!bookSide.ContainsKey(price))
{
bookSide.Add(price, level);
}
else
{
bookSide[price] = level; // Overwrite it anyway
}
}
private void updateLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (bookSide.ContainsKey(price))
{
MamdaOrderBookPriceLevel fullBookLevel =
bookSide[price] as MamdaOrderBookPriceLevel;
/*Iterate over the entries in the update and apply them to the
* full book level according to action*/
foreach (MamdaOrderBookEntry deltaEntry in level)
{
switch (deltaEntry.getAction())
{
case MamdaOrderBookEntry.Actions.Add:
fullBookLevel.addEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Update:
fullBookLevel.updateEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Delete:
fullBookLevel.removeEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Unknown:
/*Do nothing*/
break;
default:
/*Do nothing*/
break;
}
}
/*Update the details for the level itself*/
fullBookLevel.setDetails(level);
}
else
{
bookSide.Add(price, level); // Add it anyway
}
}
/// <summary>
/// Copy a price level object which is an exact and deep copy of
/// the original.
/// </summary>
/// <param name="copy">The MamdaOrderBookPriceLevel to copy.</param>
public void copy(MamdaOrderBookPriceLevel copy)
{
setPrice(copy.mPrice);
setSize(copy.mSize);
setSizeChange(copy.mSizeChange);
setNumEntries(copy.mNumEntries);
setSide(copy.mSide);
setAction(copy.mAction);
setTime(copy.mTime); // always deep copied
for (int i = 0; i < copy.mEntries.Count; i++)
{
MamdaOrderBookEntry entry = new MamdaOrderBookEntry();
entry.copy((MamdaOrderBookEntry)copy.mEntries[i]);
mEntries.Add(entry);
}
}
/// <summary>
/// Construct a price level object which is a shallow copy of
/// the original.
/// </summary>
/// <param name="copy">The MamdaOrderBookPriceLevel to copy.</param>
public MamdaOrderBookPriceLevel(MamdaOrderBookPriceLevel copy)
{
mPrice = copy.mPrice;
mSize = copy.mSize;
mSizeChange = copy.mSizeChange;
mNumEntries = copy.mNumEntries;
mSide = copy.mSide;
mAction = copy.mAction;
mTime = copy.mTime;
for (int i = 0; i < copy.mEntries.Count; i++)
{
MamdaOrderBookEntry entry = new MamdaOrderBookEntry(
(MamdaOrderBookEntry)copy.mEntries[i]);
mEntries.Add(entry);
}
}
/// <summary>
/// Construct a price level object which is a shallow copy of
/// the original.
/// </summary>
/// <param name="copy">The MamdaOrderBookPriceLevel to copy.</param>
public MamdaOrderBookPriceLevel(MamdaOrderBookPriceLevel copy)
{
mPrice = copy.mPrice;
mSize = copy.mSize;
mSizeChange = copy.mSizeChange;
mNumEntries = copy.mNumEntries;
mSide = copy.mSide;
mAction = copy.mAction;
mTime = copy.mTime;
for (int i = 0; i < copy.mEntries.Count; i++)
{
MamdaOrderBookEntry entry = new MamdaOrderBookEntry(
(MamdaOrderBookEntry)copy.mEntries[i]);
mEntries.Add(entry);
}
}
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()));
}
/// <summary>
/// Order book price level equality verification. A
/// is thrown if the price levels are
/// not equal, along with the reason for the inequality.
/// </summary>
/// <param name="rhs"></param>
/// <exception cref="MamdaOrderBookException">MamdaOrderBookException is thrown if the price levels are</exception>
public void assertEqual(MamdaOrderBookPriceLevel rhs)
{
if ((mPrice != null) != (rhs.mPrice != null))
{
throwError("price not equal");
}
if (!mPrice.equals(rhs.mPrice))
{
throwError("price not equal");
}
if (mSize != rhs.mSize)
{
throwError("size not equal");
}
if (mNumEntries != rhs.mNumEntries)
{
throwError("number of entries not equal");
}
if (mSide != rhs.mSide)
{
throwError("side not equal");
}
if (mAction != rhs.mAction)
{
throwError("action not equal");
}
if (mTime != rhs.mTime)
{
throwError("time not equal");
}
if (mEntries.Count != rhs.mEntries.Count)
{
throwError("entries size mismatch (" + mEntries.Count +
"!=" + rhs.mEntries.Count);
}
for (int i = 0; i < mEntries.Count; i++)
{
MamdaOrderBookEntry lhsEntry = (MamdaOrderBookEntry)mEntries[i];
MamdaOrderBookEntry rhsEntry = (MamdaOrderBookEntry)rhs.mEntries[i];
lhsEntry.assertEqual(rhsEntry);
}
}
private void createDeltaFromMamaMsgWithVectorFields(
MamdaOrderBook delta,
MamaMsg[] msgLevels)
{
/*
* Books with vector fields always come in a single MamaMsg.
*/
delta.clear();
for (int i = 0; i < msgLevels.Length; i++)
{
MamaMsg plMsg = msgLevels[i];
MamdaOrderBookPriceLevel level = new MamdaOrderBookPriceLevel();
getLevelInfo(level, plMsg, delta);
getEntries(level, plMsg);
delta.addLevel(level);
}
}
private void deepCopy(IEnumerable bookLevels)
{
foreach (MamdaOrderBookPriceLevel bookLevel in bookLevels)
{
MamdaOrderBookPriceLevel level = new MamdaOrderBookPriceLevel();
level.copy(bookLevel);
switch (level.getAction())
{
case MamdaOrderBookPriceLevel.Actions.Add:
addLevel(level);
break;
case MamdaOrderBookPriceLevel.Actions.Update:
updateLevel(level);
break;
case MamdaOrderBookPriceLevel.Actions.Delete:
deleteLevel(level);
break;
}
}
}
private void dump(TextWriter writer, MamdaOrderBookPriceLevel level, int index)
{
string title = level.getSide() == MamdaOrderBookPriceLevel.Sides.Ask ? "Ask" : "Bid";
writer.WriteLine("{0} {1} | price={2} size={3} action={4} entries={5} time={6}",
title,
index,
level.getPrice(),
level.getSize(),
level.getAction(),
level.getNumEntries(),
level.hasTime() ? level.getTime().ToString() : "null");
foreach (MamdaOrderBookEntry entry in level)
{
writer.WriteLine(" | id={0} size={1} action={2} time={3}",
entry.getId(),
entry.getSize(),
entry.getAction(),
entry.hasTime() ? entry.getTime().ToString() : "null");
}
}
private void assertEqual(
TreeMap lhsLevels,
TreeMap rhsLevels)
{
if (lhsLevels.Count != rhsLevels.Count)
{
throw new MamdaOrderBookException(
"number of price levels do not add up (" + lhsLevels.Count +
"/" + rhsLevels.Count);
}
IEnumerator lhsEnum = lhsLevels.Values.GetEnumerator();
IEnumerator rhsEnum = rhsLevels.Values.GetEnumerator();
while (lhsEnum.MoveNext() && rhsEnum.MoveNext())
{
MamdaOrderBookPriceLevel lhsLevel =
(MamdaOrderBookPriceLevel)lhsEnum.Current;
MamdaOrderBookPriceLevel rhsLevel =
(MamdaOrderBookPriceLevel)rhsEnum.Current;
lhsLevel.assertEqual(rhsLevel);
}
}
private void addLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (!bookSide.ContainsKey(price))
{
bookSide.Add(price, level);
}
else
{
bookSide[price] = level; // Overwrite it anyway
}
}
private void deepCopy(IEnumerable bookLevels)
{
foreach (MamdaOrderBookPriceLevel bookLevel in bookLevels)
{
MamdaOrderBookPriceLevel level = new MamdaOrderBookPriceLevel();
level.copy(bookLevel);
switch (level.getAction())
{
case MamdaOrderBookPriceLevel.Actions.Add:
addLevel(level);
break;
case MamdaOrderBookPriceLevel.Actions.Update:
updateLevel(level);
break;
case MamdaOrderBookPriceLevel.Actions.Delete:
deleteLevel(level);
break;
}
}
}
private void dump(TextWriter writer, MamdaOrderBookPriceLevel level, int index)
{
string title = level.getSide() == MamdaOrderBookPriceLevel.Sides.Ask ? "Ask" : "Bid";
writer.WriteLine("{0} {1} | price={2} size={3} action={4} entries={5} time={6}",
title,
index,
level.getPrice(),
level.getSize(),
level.getAction(),
level.getNumEntries(),
level.hasTime() ? level.getTime().ToString() : "null");
foreach (MamdaOrderBookEntry entry in level)
{
writer.WriteLine(" | id={0} size={1} action={2} time={3}",
entry.getId(),
entry.getSize(),
entry.getAction(),
entry.hasTime() ? entry.getTime().ToString() : "null");
}
}
/// <summary>
/// Take the details from <code>level</code>code> and apply them to this level
/// This does not update entries within the level, only information
/// pertaining to the level itself.
/// It is intended that this method should not be used externally to the
/// API.
/// </summary>
/// <param name="level">The price level object from which the details are being
/// obtained.</param>
public void setDetails(MamdaOrderBookPriceLevel level)
{
this.mSizeChange = level.mSize - this.mSize;
this.mSize = level.mSize;
this.mNumEntries = level.mNumEntries;
this.mTime = level.mTime;
}
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);
}
}
}
}
/// <summary>
/// Returns whether a complete book delta was received.
///
/// Books without vector fields (i.e. fixed field layout) might
/// come in multiple MamaMsgs. The MdMsgNum and MdTotalNum
/// fields can be used to determine which message is which.
///
/// When a single price level is present, it may or may not be
/// encapsulated in a nested message field. Similarly, with single
/// entries in a price level.
/// </summary>
/// <param name="delta"></param>
/// <param name="msg"></param>
/// <returns></returns>
private bool createDeltaFromMamaMsgWithoutVectorFields(
MamdaOrderBook delta,
MamaMsg msg)
{
int msgNum = 1;
int msgTotal = 1;
if (msg.tryI32(MamaReservedFields.MsgNum, ref mMsgNum))
{
msgNum = mMsgNum.Value;
}
if (msg.tryI32(MamaReservedFields.MsgTotal, ref mMsgTotal))
{
msgTotal = mMsgTotal.Value;
}
if (msgNum == 1)
{
// Only clear the book if this is the first message in the
// set of updates.
delta.clear();
}
if (!mHaveSanityCheckedBookDict)
{
mHaveSanityCheckedBookDict = true;
if (MamdaOrderBookFields.PRICE_LEVEL.Length == 0)
{
throw new MamdaOrderBookException(
"data dictionary error: cannot find price level fields");
}
}
//for optimised feed date, wNumLevels should be assumed = 1 if not sent
int numLevelFieldInMsg = 1;
if (msg.tryI32(MamdaOrderBookFields.NUM_LEVELS, ref mNumLevelFields))
{
numLevelFieldInMsg = mNumLevelFields.Value;
}
int maxLevelFields = MamdaOrderBookFields.PRICE_LEVEL.Length;
if (numLevelFieldInMsg < maxLevelFields)
{
maxLevelFields = numLevelFieldInMsg;
}
for (int i = 1; i <= maxLevelFields; i++)
{
MamaMsg plMsg = msg.getMsg(MamdaOrderBookFields.PRICE_LEVEL[i], null);
if (plMsg == null)
{
if (numLevelFieldInMsg == 1)
{
/* Price level fields are probably be in the main
* message. */
plMsg = msg;
}
else
{
throw new MamdaDataException(
"cannot find price level fields in MamaMsg");
}
}
MamdaOrderBookPriceLevel level = new MamdaOrderBookPriceLevel();
getLevelInfo(level, plMsg, delta);
getEntries(level, plMsg);
delta.addLevel(level);
}
return(msgNum == msgTotal);
}
/// <summary>
/// </summary>
/// <param name="lhs"></param>
/// <param name="rhs"></param>
public void setAsDifference(
MamdaOrderBookPriceLevel lhs,
MamdaOrderBookPriceLevel rhs)
{
int lhsBookSize = lhs.mEntries.Count;
int rhsBookSize = rhs.mEntries.Count;
int lhsIndex = 0;
int rhsIndex = 0;
while ((lhsIndex < lhsBookSize) && (rhsIndex < rhsBookSize))
{
string lhsId = null;
string rhsId = null;
long lhsSize = 0;
long rhsSize = 0;
MamdaOrderBookEntry lhsEntry = null;
MamdaOrderBookEntry rhsEntry = null;
if (lhsIndex < lhsBookSize)
{
lhsEntry = (MamdaOrderBookEntry)lhs.mEntries[lhsIndex];
lhsId = lhsEntry.getId();
lhsSize = lhsEntry.getSize();
}
if (rhsIndex < rhsBookSize)
{
rhsEntry = (MamdaOrderBookEntry)rhs.mEntries[rhsIndex];
rhsId = rhsEntry.getId();
rhsSize = rhsEntry.getSize();
}
if ((lhsId != null) && (rhsId != null))
{
if (lhsId == rhsId)
{
// Same ID, maybe different size.
if (lhsSize != rhsSize)
{
MamdaOrderBookEntry updateEntry = new MamdaOrderBookEntry(rhsEntry);
updateEntry.setAction(MamdaOrderBookEntry.Actions.Update);
addEntry(updateEntry);
}
lhsIndex++;
rhsIndex++;
continue;
}
else
{
// Different ID (either something exists on the LHS
// and not on RHS or vice versa).
int rhsFound = findEntryAfter(rhs.mEntries, rhsIndex, lhsId);
if (rhsFound != rhsSize)
{
// The ID from the LHS was found on the RHS, so
// there must have been additional entries on the
// RHS, which we now need to add.
do
{
addEntry((MamdaOrderBookEntry)rhs.mEntries[rhsIndex]);
rhsIndex++;
}
while (rhsIndex < rhsFound);
}
else
{
// The ID from the LHS was not present on the RHS,
// so add the LHS entry. Note: it would probably
// be faster to iterate over the LHS side rather
// than begin the loop again.
addEntry((MamdaOrderBookEntry)lhs.mEntries[lhsIndex]);
lhsIndex++;
}
}
}
}
if (mPrice != null && rhs.getPrice() != null)
{
mPrice.destroy();
}
mPrice = rhs.getPrice();
setSizeChange(rhs.getSize() - lhs.getSize());
setSize(rhs.getSize());
setNumEntries(rhs.getNumEntries());
setAction(Actions.Update);
mTime = rhs.getTime();
setSide(rhs.getSide());
}
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 createDeltaFromMamaMsgWithVectorFields(
MamdaOrderBook delta,
MamaMsg[] msgLevels)
{
/*
* Books with vector fields always come in a single MamaMsg.
*/
delta.clear();
for (int i = 0; i < msgLevels.Length; i++)
{
MamaMsg plMsg = msgLevels[i];
MamdaOrderBookPriceLevel level = new MamdaOrderBookPriceLevel();
getLevelInfo(level, plMsg, delta);
getEntries(level, plMsg);
delta.addLevel(level);
}
}
private void updateLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (bookSide.ContainsKey(price))
{
MamdaOrderBookPriceLevel fullBookLevel =
bookSide[price] as MamdaOrderBookPriceLevel;
/*Iterate over the entries in the update and apply them to the
* full book level according to action*/
foreach (MamdaOrderBookEntry deltaEntry in level)
{
switch (deltaEntry.getAction())
{
case MamdaOrderBookEntry.Actions.Add:
fullBookLevel.addEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Update:
fullBookLevel.updateEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Delete:
fullBookLevel.removeEntry(deltaEntry);
break;
case MamdaOrderBookEntry.Actions.Unknown:
/*Do nothing*/
break;
default:
/*Do nothing*/
break;
}
}
/*Update the details for the level itself*/
fullBookLevel.setDetails(level);
}
else
{
bookSide.Add(price, level); // Add it anyway
}
}
/// <summary>
/// </summary>
/// <param name="lhs"></param>
/// <param name="rhs"></param>
public void setAsDifference(
MamdaOrderBookPriceLevel lhs,
MamdaOrderBookPriceLevel rhs)
{
int lhsBookSize = lhs.mEntries.Count;
int rhsBookSize = rhs.mEntries.Count;
int lhsIndex = 0;
int rhsIndex = 0;
while ((lhsIndex < lhsBookSize) && (rhsIndex < rhsBookSize))
{
string lhsId = null;
string rhsId = null;
long lhsSize = 0;
long rhsSize = 0;
MamdaOrderBookEntry lhsEntry = null;
MamdaOrderBookEntry rhsEntry = null;
if (lhsIndex < lhsBookSize)
{
lhsEntry = (MamdaOrderBookEntry)lhs.mEntries[lhsIndex];
lhsId = lhsEntry.getId();
lhsSize = lhsEntry.getSize();
}
if (rhsIndex < rhsBookSize)
{
rhsEntry = (MamdaOrderBookEntry)rhs.mEntries[rhsIndex];
rhsId = rhsEntry.getId();
rhsSize = rhsEntry.getSize();
}
if ((lhsId != null) && (rhsId != null))
{
if (lhsId == rhsId)
{
// Same ID, maybe different size.
if (lhsSize != rhsSize)
{
MamdaOrderBookEntry updateEntry = new MamdaOrderBookEntry(rhsEntry);
updateEntry.setAction(MamdaOrderBookEntry.Actions.Update);
addEntry(updateEntry);
}
lhsIndex++;
rhsIndex++;
continue;
}
else
{
// Different ID (either something exists on the LHS
// and not on RHS or vice versa).
int rhsFound = findEntryAfter(rhs.mEntries, rhsIndex, lhsId);
if (rhsFound != rhsSize)
{
// The ID from the LHS was found on the RHS, so
// there must have been additional entries on the
// RHS, which we now need to add.
do
{
addEntry((MamdaOrderBookEntry)rhs.mEntries[rhsIndex]);
rhsIndex++;
}while (rhsIndex < rhsFound);
}
else
{
// The ID from the LHS was not present on the RHS,
// so add the LHS entry. Note: it would probably
// be faster to iterate over the LHS side rather
// than begin the loop again.
addEntry((MamdaOrderBookEntry)lhs.mEntries[lhsIndex]);
lhsIndex++;
}
}
}
}
if (mPrice != null && rhs.getPrice() != null)
{
mPrice.destroy();
}
mPrice = rhs.getPrice();
setSizeChange(rhs.getSize() - lhs.getSize());
setSize(rhs.getSize());
setNumEntries(rhs.getNumEntries());
setAction(Actions.Update);
mTime = rhs.getTime();
setSide(rhs.getSide());
}
private void deleteLevelSide(
MamdaOrderBookPriceLevel level,
TreeMap bookSide)
{
MamaPrice price = level.getPrice();
if (bookSide.ContainsKey(price))
{
/* We actually need to process this properly because the
* update may not contain all entries, just updated
* ones. */
bookSide.Remove(price);
}
}
private TreeMap determineDiffs(
TreeMap resultSide,
TreeMap lhs,
TreeMap rhs,
bool ascending)
{
IEnumerator lhsEnum = lhs.Values.GetEnumerator();
IEnumerator rhsEnum = rhs.Values.GetEnumerator();
bool lhsHasNext = lhsEnum.MoveNext();
bool rhsHasNext = rhsEnum.MoveNext();
while (lhsHasNext || rhsHasNext)
{
MamdaOrderBookPriceLevel lhsLevel = null;
MamdaOrderBookPriceLevel rhsLevel = null;
double lhsPrice = double.MinValue;
double rhsPrice = double.MinValue;
long lhsSize = 0;
long rhsSize = 0;
if (lhsHasNext)
{
lhsLevel = (MamdaOrderBookPriceLevel)lhsEnum.Current;
lhsPrice = lhsLevel.getPrice().getValue();
lhsSize = lhsLevel.getSize();
}
if (rhsHasNext)
{
rhsLevel = (MamdaOrderBookPriceLevel)rhsEnum.Current;
rhsPrice = rhsLevel.getPrice().getValue();
rhsSize = rhsLevel.getSize();
}
// Compare two doubles using an epsilon
if ((doubleEquals(lhsPrice, rhsPrice)) && (lhsSize == rhsSize))
{
// Usual scenario: both levels are the same
lhsHasNext = lhsEnum.MoveNext();
rhsHasNext = rhsEnum.MoveNext();
continue;
}
if (doubleEquals(lhsPrice, rhsPrice))
{
// Same price, different size. Need to determine the
// different entries.
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel();
diffLevel.setAsDifference(lhsLevel, rhsLevel);
resultSide.Add(lhsLevel.getPrice(), diffLevel);
lhsHasNext = lhsEnum.MoveNext();
rhsHasNext = rhsEnum.MoveNext();
continue;
}
if (ascending)
{
if (((lhsPrice > rhsPrice) && (rhsPrice != double.MinValue)) || (lhsPrice == double.MinValue))
{
// RHS has an additional price level
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(rhsLevel);
resultSide.Add(rhsLevel.getPrice(), diffLevel);
rhsHasNext = rhsEnum.MoveNext();
continue;
}
else
{
// RHS does not have a price level that is on the LHS.
// Copy the LHS level and mark all as deleted.
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(lhsLevel);
resultSide.Add(lhsLevel.getPrice(), diffLevel);
lhsHasNext = lhsEnum.MoveNext();
continue;
}
}
else
{
if (((lhsPrice > rhsPrice) && (lhsPrice != double.MinValue)) || (rhsPrice == double.MinValue))
{
// LHS has an additional price level
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(lhsLevel);
resultSide.Add(lhsLevel.getPrice(), diffLevel); // CHECK: use indexer?
lhsHasNext = lhsEnum.MoveNext();
continue;
}
else
{
// LHS does not have a price level that is on the RHS.
// Copy the RHS level and mark all as deleted.
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(rhsLevel);
resultSide.Add(rhsLevel.getPrice(), diffLevel); // CHECK: use indexer?
rhsHasNext = rhsEnum.MoveNext();
continue;
}
}
}
return(resultSide);
}
/// <summary>
/// Enforce strict checking of order book modifications (at the
/// expense of some performance). This setting is passed on to the
/// MamdaOrderBookPriceLevel and MamdaOrderBookEntry classes.
/// </summary>
/// <param name="strict"></param>
public static void setStrictChecking(bool strict)
{
MamdaOrderBookPriceLevel.setStrictChecking(strict);
MamdaOrderBookEntry.setStrictChecking(strict);
}
/// <summary>
/// Returns whether a complete book delta was received.
///
/// Books without vector fields (i.e. fixed field layout) might
/// come in multiple MamaMsgs. The MdMsgNum and MdTotalNum
/// fields can be used to determine which message is which.
///
/// When a single price level is present, it may or may not be
/// encapsulated in a nested message field. Similarly, with single
/// entries in a price level.
/// </summary>
/// <param name="delta"></param>
/// <param name="msg"></param>
/// <returns></returns>
private bool createDeltaFromMamaMsgWithoutVectorFields(
MamdaOrderBook delta,
MamaMsg msg)
{
int msgNum = 1;
int msgTotal = 1;
if (msg.tryI32(MamaReservedFields.MsgNum, ref mMsgNum))
{
msgNum = mMsgNum.Value;
}
if (msg.tryI32(MamaReservedFields.MsgTotal, ref mMsgTotal))
{
msgTotal = mMsgTotal.Value;
}
if (msgNum == 1)
{
// Only clear the book if this is the first message in the
// set of updates.
delta.clear();
}
if (!mHaveSanityCheckedBookDict)
{
mHaveSanityCheckedBookDict = true;
if (MamdaOrderBookFields.PRICE_LEVEL.Length == 0)
{
throw new MamdaOrderBookException (
"data dictionary error: cannot find price level fields");
}
}
//for optimised feed date, wNumLevels should be assumed = 1 if not sent
int numLevelFieldInMsg = 1;
if (msg.tryI32(MamdaOrderBookFields.NUM_LEVELS, ref mNumLevelFields))
{
numLevelFieldInMsg = mNumLevelFields.Value;
}
int maxLevelFields = MamdaOrderBookFields.PRICE_LEVEL.Length;
if (numLevelFieldInMsg < maxLevelFields)
{
maxLevelFields = numLevelFieldInMsg;
}
for (int i = 1; i <= maxLevelFields; i++)
{
MamaMsg plMsg = msg.getMsg(MamdaOrderBookFields.PRICE_LEVEL[i], null);
if (plMsg == null)
{
if (numLevelFieldInMsg == 1)
{
/* Price level fields are probably be in the main
* message. */
plMsg = msg;
}
else
{
throw new MamdaDataException (
"cannot find price level fields in MamaMsg");
}
}
MamdaOrderBookPriceLevel level = new MamdaOrderBookPriceLevel();
getLevelInfo(level, plMsg, delta);
getEntries(level, plMsg);
delta.addLevel (level);
}
return msgNum == msgTotal;
}
private TreeMap determineDiffs(
TreeMap resultSide,
TreeMap lhs,
TreeMap rhs,
bool ascending)
{
IEnumerator lhsEnum = lhs.Values.GetEnumerator();
IEnumerator rhsEnum = rhs.Values.GetEnumerator();
bool lhsHasNext = lhsEnum.MoveNext();
bool rhsHasNext = rhsEnum.MoveNext();
while (lhsHasNext || rhsHasNext)
{
MamdaOrderBookPriceLevel lhsLevel = null;
MamdaOrderBookPriceLevel rhsLevel = null;
double lhsPrice = double.MinValue;
double rhsPrice = double.MinValue;
long lhsSize = 0;
long rhsSize = 0;
if (lhsHasNext)
{
lhsLevel = (MamdaOrderBookPriceLevel)lhsEnum.Current;
lhsPrice = lhsLevel.getPrice().getValue();
lhsSize = lhsLevel.getSize();
}
if (rhsHasNext)
{
rhsLevel = (MamdaOrderBookPriceLevel)rhsEnum.Current;
rhsPrice = rhsLevel.getPrice().getValue();
rhsSize = rhsLevel.getSize();
}
// CHECK: it's usually wrong to compare two doubles w/o using an epsilon
// so the condition should be rewritten as
// lhsLevel.getPrice().equals(rhsLevel.getPrice())
if ((lhsPrice == rhsPrice) && (lhsSize == rhsSize))
{
// Usual scenario: both levels are the same
lhsHasNext = lhsEnum.MoveNext();
rhsHasNext = rhsEnum.MoveNext();
continue;
}
if (lhsPrice == rhsPrice)
{
// Same price, different size. Need to determine the
// different entries.
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel();
diffLevel.setAsDifference(lhsLevel, rhsLevel);
resultSide.Add(lhsLevel.getPrice(), diffLevel);
lhsHasNext = lhsEnum.MoveNext();
rhsHasNext = rhsEnum.MoveNext();
continue;
}
if (ascending)
{
if (((lhsPrice > rhsPrice) && (rhsPrice != double.MinValue)) || (lhsPrice == double.MinValue))
{
// RHS has an additional price level
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(rhsLevel);
resultSide.Add(rhsLevel.getPrice(), diffLevel);
rhsHasNext = rhsEnum.MoveNext();
continue;
}
else
{
// RHS does not have a price level that is on the LHS.
// Copy the LHS level and mark all as deleted.
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(lhsLevel);
resultSide.Add(lhsLevel.getPrice(), diffLevel);
lhsHasNext = lhsEnum.MoveNext();
continue;
}
}
else
{
if (((lhsPrice > rhsPrice) && (lhsPrice != double.MinValue)) || (rhsPrice == double.MinValue))
{
// LHS has an additional price level
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(lhsLevel);
resultSide.Add(lhsLevel.getPrice(), diffLevel); // CHECK: use indexer?
lhsHasNext = lhsEnum.MoveNext();
continue;
}
else
{
// LHS does not have a price level that is on the RHS.
// Copy the RHS level and mark all as deleted.
MamdaOrderBookPriceLevel diffLevel = new MamdaOrderBookPriceLevel(rhsLevel);
resultSide.Add(rhsLevel.getPrice(), diffLevel); // CHECK: use indexer?
rhsHasNext = rhsEnum.MoveNext();
continue;
}
}
}
return resultSide;
}
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);
}
}
}
}
/// <summary>
/// Order book price level equality verification. A
/// is thrown if the price levels are
/// not equal, along with the reason for the inequality.
/// </summary>
/// <param name="rhs"></param>
/// <exception cref="MamdaOrderBookException">MamdaOrderBookException is thrown if the price levels are</exception>
public void assertEqual(MamdaOrderBookPriceLevel rhs)
{
if ((mPrice != null) != (rhs.mPrice != null))
throwError("price not equal");
if (!mPrice.equals(rhs.mPrice))
throwError("price not equal");
if (mSize != rhs.mSize)
throwError("size not equal");
if (mNumEntries != rhs.mNumEntries)
throwError("number of entries not equal");
if (mSide != rhs.mSide)
throwError("side not equal");
if (mAction != rhs.mAction)
throwError("action not equal");
if (mTime != rhs.mTime)
throwError ("time not equal");
if (mEntries.Count != rhs.mEntries.Count)
{
throwError ("entries size mismatch (" + mEntries.Count +
"!=" + rhs.mEntries.Count);
}
for (int i = 0; i < mEntries.Count; i++)
{
MamdaOrderBookEntry lhsEntry = (MamdaOrderBookEntry)mEntries[i];
MamdaOrderBookEntry rhsEntry = (MamdaOrderBookEntry)rhs.mEntries[i];
lhsEntry.assertEqual (rhsEntry);
}
}
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()));
}
/// <summary>
/// Copy a price level object which is an exact and deep copy of
/// the original.
/// </summary>
/// <param name="copy">The MamdaOrderBookPriceLevel to copy.</param>
public void copy(MamdaOrderBookPriceLevel copy)
{
setPrice(copy.mPrice);
setSize(copy.mSize);
setSizeChange(copy.mSizeChange);
setNumEntries(copy.mNumEntries);
setSide(copy.mSide);
setAction(copy.mAction);
setTime(copy.mTime); // always deep copied
for (int i = 0; i < copy.mEntries.Count; i++)
{
MamdaOrderBookEntry entry = new MamdaOrderBookEntry();
entry.copy((MamdaOrderBookEntry)copy.mEntries[i]);
mEntries.Add(entry);
}
}
