public getVectorMsg ( Wombat.MamaFieldDescriptor descriptor ) : Wombat.MamaMsg[] | ||
descriptor | Wombat.MamaFieldDescriptor | |
리턴 | Wombat.MamaMsg[] |
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); } } } }
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); } } } } } }
/// <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 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); } }