public void onMsg(MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
if (!MamdaOrderBookFields.isSet())
{
return;
}
try
{
switch (msgType)
{
case mamaMsgType.MAMA_MSG_TYPE_BOOK_CLEAR:
handleClear(subscription, msg);
break;
case mamaMsgType.MAMA_MSG_TYPE_BOOK_INITIAL:
case mamaMsgType.MAMA_MSG_TYPE_BOOK_RECAP:
case mamaMsgType.MAMA_MSG_TYPE_BOOK_SNAPSHOT:
handleRecap(subscription, msg);
break;
case mamaMsgType.MAMA_MSG_TYPE_BOOK_UPDATE:
handleUpdate(subscription, msg);
break;
}
}
catch (MamaException)
{
}
}
/// <summary>
/// </summary>
/// <param name="subscription"></param>
/// <param name="msg"></param>
/// <param name="msgType"></param>
public void onMsg(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
if (!MamdaOrderBookFields.isSet())
{
return;
}
// If msg is a order book related message, invoke the
// appropriate callback:
switch (msgType)
{
case mamaMsgType.MAMA_MSG_TYPE_BOOK_CLEAR:
handleClear(subscription, msg);
break;
case mamaMsgType.MAMA_MSG_TYPE_BOOK_INITIAL:
case mamaMsgType.MAMA_MSG_TYPE_BOOK_RECAP:
case mamaMsgType.MAMA_MSG_TYPE_BOOK_SNAPSHOT:
handleRecap(subscription, msg);
break;
case mamaMsgType.MAMA_MSG_TYPE_BOOK_UPDATE:
handleUpdate(subscription, msg);
break;
}
}
private void createDeltaFromMamaMsgWithoutVectorFields(
MamdaSubscription subscription,
MamaMsg msg,
bool isRecap)
{
NullableInt numLevelFields_ = new NullableInt();
int numLevelFieldInMsg = 1;
if (msg.tryI32(MamdaOrderBookFields.NUM_LEVELS, ref numLevelFields_))
{
numLevelFieldInMsg = numLevelFields_.Value;
}
int maxLevelFields = MamdaOrderBookFields.getNumLevelFields();
// getNumLevelFields() defaults to 0 but we want to go into the
// below loop at least once for flattened messages scenario
if (maxLevelFields == 0)
{
maxLevelFields = 1;
}
if (numLevelFieldInMsg < maxLevelFields)
{
maxLevelFields = numLevelFieldInMsg;
}
mPriceLevels = maxLevelFields;
for (int i = 1; i <= maxLevelFields; i++)
{
clearLevelFields();
mPriceLevel = i;
MamaMsg plMsg = null;
if (MamdaOrderBookFields.PRICE_LEVEL.Length > 1)
{
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");
}
}
getLevelInfoAndEntries(subscription, msg, plMsg, isRecap);
}
}
private void createDeltaFromMamaMsg(MamdaSubscription subscription,
MamaMsg msg,
bool isRecap)
{
if (mBookHandler != null)
{
mBookHandler.onBookAtomicBeginBook(subscription, this, isRecap);
}
// Note: the following test checks whether vector fields are part
// of the data dictionary. However, the vector fields may indeed
// be part of the data dictionary, but the message may still
// contain the non-vector style order book data.
if (MamdaOrderBookFields.getHasVectorFields())
{
/* null is passed as default value otherwise
* getVectorMsg throws an exception if not found */
MamaMsg[] msgLevels =
msg.getVectorMsg(MamdaOrderBookFields.PRICE_LEVELS, null);
if (msgLevels != null)
{
createDeltaFromMamaMsgWithVectorFields(subscription,
msg,
msgLevels,
isRecap);
}
else
{
createDeltaFromMamaMsgWithoutVectorFields(subscription, msg, isRecap);
}
}
else
{
createDeltaFromMamaMsgWithoutVectorFields(subscription, msg, isRecap);
}
if (mBookHandler != null)
{
mBookHandler.onBookAtomicEndBook(subscription, this);
}
}
/// <summary>
/// createDeltaFromMamaMsg processes a MamaMsg containing a partial
/// or full order book and returns whether processing is complete
/// </summary>
/// <param name="delta"></param>
/// <param name="msg"></param>
/// <returns></returns>
private bool createDeltaFromMamaMsg(
MamdaOrderBook delta,
MamaMsg msg)
{
// Note: the following test checks whether vector fields are part
// of the data dictionary. However, the vector fields may indeed
// be part of the data dictionary, but the message may still
// contain the non-vector style order book data.
if (MamdaOrderBookFields.getHasVectorFields())
{
/* null is passed as default value otherwise
* getVectorMsg throws an exception if not found*/
MamaMsg[] msgLevels =
msg.getVectorMsg(MamdaOrderBookFields.PRICE_LEVELS, null);
if (msgLevels != null)
{
createDeltaFromMamaMsgWithVectorFields(delta, msgLevels);
return(true);
}
}
return(createDeltaFromMamaMsgWithoutVectorFields(delta, msg));
}
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);
}
}
}
}
}
}
