/// <summary>
/// Create an order book listener using user-provided data
/// structures for the full and delta order books. It is an error
/// for the deltaBook to be NULL. If the fullBook is NULL, then
/// there will be no cached order book (and therefore nothing to
/// apply the delta order books to); this may be useful in some
/// circumstances.
/// </summary>
/// <param name="fullBook"></param>
/// <param name="deltaBook"></param>
public MamdaOrderBookListener(
MamdaOrderBook fullBook,
MamdaOrderBook deltaBook)
{
mFullBook = fullBook;
mDeltaBook = deltaBook;
}
/// <summary>
/// Set this order book to be a delta that would, when applied, be
/// the difference between to other books.
/// </summary>
/// <param name="lhs">An order book.</param>
/// <param name="rhs">An order book.</param>
public void setAsDeltaDifference(
MamdaOrderBook lhs,
MamdaOrderBook rhs)
{
clear();
determineDiffs(mBidLevels, lhs.mBidLevels, rhs.mBidLevels, false);
determineDiffs(mAskLevels, lhs.mAskLevels, rhs.mAskLevels, true);
}
/// <summary>
/// Order book equality verification. A MamdaOrderBookException is
/// thrown if the books are not equal, along with the reason for
/// the inequality.
/// </summary>
/// <param name="rhs">The order book to compare to the current book.</param>
/// <exception cref="MamdaOrderBookException">Throws MamdaOrderBookException
/// if the two books are not equal.</exception>
public void assertEqual(MamdaOrderBook rhs)
{
if (mSymbol != rhs.mSymbol)
{
throw new MamdaOrderBookException(
"different symbols: " + mSymbol + "/" + rhs.mSymbol);
}
assertEqual(mBidLevels, rhs.mBidLevels);
assertEqual(mAskLevels, rhs.mAskLevels);
}
internal void OnBookRecapCallback(
MamdaSubscription subscription,
MamdaOrderBookListener listener,
MamaMsg msg,
MamdaOrderBookDelta delta,
MamdaOrderBookRecap recap)
{
long snappedSeqNum = listener.getSeqNum();
long realTimeSeqNum = mRealTimeListener.getSeqNum();
MamdaOrderBook fullBook = recap.getFullOrderBook();
if (snappedSeqNum != realTimeSeqNum)
{
mInconclusiveCount++;
if (mHandler != null)
{
string reason = "sequence numbers differ (" + snappedSeqNum + "!=" + realTimeSeqNum;
mHandler.onInconclusive(MamdaOrderBookCheckType.SNAPSHOT, reason);
}
}
else
{
try
{
fullBook.assertEqual(mRealTimeListener.getFullOrderBook());
mSuccessCount++;
if (mHandler != null)
{
mHandler.onSuccess(MamdaOrderBookCheckType.APPLY_DELTA);
}
}
catch (MamdaOrderBookException e)
{
mFailureCount++;
if (mHandler != null)
{
mHandler.onFailure(MamdaOrderBookCheckType.SNAPSHOT,
e.ToString(),
msg,
mRealTimeListener.getFullOrderBook(),
fullBook);
}
}
}
//Deactivate the subscription
mSnapShotListener.clear();
mSnapShotSubsc.deactivate();
}
/// <summary>
/// Returns a shallow copy of the underlying order book.
/// As such this method should not be called from a separate thread.
/// The recommended use of this method is to use a timer on the same queue
/// as data for this book is being dispatched and grab the snapshot at
/// regular intervals.
/// </summary>
/// <returns>A snapshot of the current Order Book</returns>
public MamdaOrderBook getBookSnapshot()
{
MamdaOrderBook mSnapshot = null;
if (mFullBook != null)
{
mSnapshot = new MamdaOrderBook();
// aquire lock
lock (mFullBook)
{
mSnapshot.copy(mFullBook);
mSnapshot.setSymbol(mFullBook.getSymbol());
mSnapshot.setIsConsistent(mFullBook.getIsConsistent());
}
}
return(mSnapshot);
}
/// <summary>
/// Returns a deep copy of the underlying order book.
/// </summary>
/// <returns>A deep snapshot of the current Order Book</returns>
public MamdaOrderBook getDeepBookSnapshot()
{
MamdaOrderBook mSnapshot = null;
if (null != mFullBook)
{
mSnapshot = new MamdaOrderBook();
// aquire lock
lock (mFullBook)
{
mSnapshot.deepCopy(mFullBook);
mSnapshot.setSymbol(mFullBook.getSymbol()); // strings are immutable, hence safe for assignment
mSnapshot.setIsConsistent(mFullBook.getIsConsistent());
}
}
return(mSnapshot);
}
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()));
}
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);
}
}
/// <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));
}
/// <summary>
/// Make a shallow copy of a book.
/// </summary>
/// <param name="book">The order book to copy.</param>
public void copy(MamdaOrderBook book)
{
clear();
apply(book);
}
/// <summary>
/// Set this order book to be a delta that would, when applied,
/// delete all of the fields in the bookToDelete.
/// </summary>
/// <param name="bookToDelete">The book to be deleted.</param>
public void setAsDeltaDeleted(MamdaOrderBook bookToDelete)
{
copy(bookToDelete);
markAllDeleted(mBidLevels);
markAllDeleted(mAskLevels);
}
/// <summary>
/// Make a deep copy of a book.
/// </summary>
/// <param name="book">The order book to copy.</param>
public void deepCopy(MamdaOrderBook book)
{
clear();
deepCopy(book.getBidLevels());
deepCopy(book.getAskLevels());
}
/// <summary>
/// Make a shallow copy of a book.
/// </summary>
/// <param name="book">The order book to copy.</param>
public void copy(MamdaOrderBook book)
{
clear();
apply(book);
}
/// <summary>
/// Apply a delta to this (presumably) full book.
/// </summary>
/// <param name="deltaBook">The delta to apply to the order book.</param>
public void apply(MamdaOrderBook deltaBook)
{
apply(deltaBook.getBidLevels());
apply(deltaBook.getAskLevels());
}
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>
/// 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>
/// Returns a deep copy of the underlying order book.
/// </summary>
/// <returns>A deep snapshot of the current Order Book</returns>
public MamdaOrderBook getDeepBookSnapshot()
{
MamdaOrderBook mSnapshot = null;
if (null != mFullBook)
{
mSnapshot = new MamdaOrderBook();
// aquire lock
lock (mFullBook)
{
mSnapshot.deepCopy(mFullBook);
mSnapshot.setSymbol(mFullBook.getSymbol()); // strings are immutable, hence safe for assignment
mSnapshot.setIsConsistent(mFullBook.getIsConsistent());
}
}
return mSnapshot;
}
/// <summary>
/// Create an order book listener using user-provided data
/// structures for the full and delta order books. It is an error
/// for the deltaBook to be NULL. If the fullBook is NULL, then
/// there will be no cached order book (and therefore nothing to
/// apply the delta order books to); this may be useful in some
/// circumstances.
/// </summary>
/// <param name="fullBook"></param>
/// <param name="deltaBook"></param>
public MamdaOrderBookListener(
MamdaOrderBook fullBook,
MamdaOrderBook deltaBook)
{
mFullBook = fullBook;
mDeltaBook = deltaBook;
}
/// <summary>
/// Order book equality verification. A MamdaOrderBookException is
/// thrown if the books are not equal, along with the reason for
/// the inequality.
/// </summary>
/// <param name="rhs">The order book to compare to the current book.</param>
/// <exception cref="MamdaOrderBookException">Throws MamdaOrderBookException
/// if the two books are not equal.</exception>
public void assertEqual(MamdaOrderBook rhs)
{
if (mSymbol != rhs.mSymbol)
{
throw new MamdaOrderBookException(
"different symbols: " + mSymbol + "/" + rhs.mSymbol);
}
assertEqual(mBidLevels, rhs.mBidLevels);
assertEqual(mAskLevels, rhs.mAskLevels);
}
/// <summary>
/// Create an order book listener using internally created data
/// structures for the full and delta order books.
/// </summary>
public MamdaOrderBookListener()
{
mFullBook = new MamdaOrderBook();
mDeltaBook = new MamdaOrderBook();
}
/// <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>
/// Returns a shallow copy of the underlying order book.
/// As such this method should not be called from a separate thread.
/// The recommended use of this method is to use a timer on the same queue
/// as data for this book is being dispatched and grab the snapshot at
/// regular intervals.
/// </summary>
/// <returns>A snapshot of the current Order Book</returns>
public MamdaOrderBook getBookSnapshot()
{
MamdaOrderBook mSnapshot = null;
if (mFullBook != null)
{
mSnapshot = new MamdaOrderBook();
// aquire lock
lock (mFullBook)
{
mSnapshot.copy(mFullBook);
mSnapshot.setSymbol(mFullBook.getSymbol());
mSnapshot.setIsConsistent(mFullBook.getIsConsistent());
}
}
return mSnapshot;
}
/// <summary>
/// Make a deep copy of a book.
/// </summary>
/// <param name="book">The order book to copy.</param>
public void deepCopy(MamdaOrderBook book)
{
clear();
deepCopy(book.getBidLevels());
deepCopy(book.getAskLevels());
}
/// <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);
}
/// <summary>
/// Set this order book to be a delta that would, when applied,
/// delete all of the fields in the bookToDelete.
/// </summary>
/// <param name="bookToDelete">The book to be deleted.</param>
public void setAsDeltaDeleted(MamdaOrderBook bookToDelete)
{
copy(bookToDelete);
markAllDeleted(mBidLevels);
markAllDeleted(mAskLevels);
}
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);
}
}
/// <summary>
/// Set this order book to be a delta that would, when applied, be
/// the difference between to other books.
/// </summary>
/// <param name="lhs">An order book.</param>
/// <param name="rhs">An order book.</param>
public void setAsDeltaDifference(
MamdaOrderBook lhs,
MamdaOrderBook rhs)
{
clear();
determineDiffs(mBidLevels, lhs.mBidLevels, rhs.mBidLevels, false);
determineDiffs(mAskLevels, lhs.mAskLevels, rhs.mAskLevels, true);
}
/// <summary>
/// Create an order book listener using internally created data
/// structures for the full and delta order books.
/// </summary>
public MamdaOrderBookListener()
{
mFullBook = new MamdaOrderBook();
mDeltaBook = new MamdaOrderBook();
}
/// <summary>
/// Apply a delta to this (presumably) full book.
/// </summary>
/// <param name="deltaBook">The delta to apply to the order book.</param>
public void apply(MamdaOrderBook deltaBook)
{
apply(deltaBook.getBidLevels());
apply(deltaBook.getAskLevels());
}