public void onTradeCorrection(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeCorrection correction,
MamdaTradeRecap recap)
{
prettyPrint("Trade correction ({0}):", sub.getSymbol());
}
public void onOptionSeriesUpdate(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionSeriesUpdate update,
MamdaOptionChain chain)
{
printView();
}
public void onTradeClosing(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeClosing closing,
MamdaTradeRecap recap)
{
prettyPrint("Trade closing ({0}):", sub.getSymbol());
}
public void onTradeCancelOrError(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeCancelOrError cancelOrError,
MamdaTradeRecap recap)
{
prettyPrint("Trade error/cancel ({0}):", sub.getSymbol());
}
private void handleUpdate(
MamdaSubscription subscription,
MamaMsg msg)
{
foreach (MamdaAuctionHandler handler in mHandlers)
{
handler.onAuctionUpdate(subscription, this, msg, this, this);
}
}
public void onSecurityStatusRecap(
MamdaSubscription subscription,
MamdaSecurityStatusListener listener,
MamaMsg msg,
MamdaSecurityStatusRecap recap)
{
Console.WriteLine("SecStatus recap (" + subscription.getSymbol()
+ " Status:" + recap.getSecurityStatusStr());
}
public void onOptionChainRecap(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionChain chain)
{
myGotRecap = true;
printView();
}
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);
}
}
public void onTradeReport(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeReport trade,
MamdaTradeRecap recap)
{
// Do something with a specific trade report.
myDisplay.printlnContract(myContract);
}
public void onQuoteUpdate(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate update,
MamdaQuoteRecap recap)
{
// Do something with a specific quote.
myDisplay.printlnContract(myContract);
}
public void onTradeReport(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeReport trade,
MamdaTradeRecap recap)
{
Console.WriteLine("Underlying trade: " + trade.getTradeVolume() +
" @ " + trade.getTradePrice());
}
public void onQuoteUpdate(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate update,
MamdaQuoteRecap recap)
{
myShortSaleCircuitBreaker = update.getShortSaleCircuitBreaker();
Console.WriteLine("myShortSaleCircuitBreaker: " + myShortSaleCircuitBreaker);
}
public void onTradeCorrection(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeCorrection correction,
MamdaTradeRecap recap)
{
myCorrShortSaleCircuitBreaker = correction.getCorrShortSaleCircuitBreaker();
Console.WriteLine("myCorrShortSaleCircuitBreaker: " + myCorrShortSaleCircuitBreaker);
}
public void onTradeCancelOrError(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeCancelOrError cancelOrError,
MamdaTradeRecap recap)
{
myOrigShortSaleCircuitBreaker = cancelOrError.getOrigShortSaleCircuitBreaker();
Console.WriteLine("myOrigShortSaleCircuitBreaker: " + myOrigShortSaleCircuitBreaker);
}
public void onTradeReport(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeReport trade,
MamdaTradeRecap recap)
{
myShortSaleCircuitBreaker = trade.getShortSaleCircuitBreaker();
Console.WriteLine("myShortSaleCircuitBreaker: " + myShortSaleCircuitBreaker);
}
public void onQuoteGap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteGap gapEvent,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote gap (" + gapEvent.getBeginGapSeqNum() +
"-" + gapEvent.getEndGapSeqNum() + ")");
}
public void Teardown()
{
// Reset member variables
if (m_msg != null)
{
m_msg.destroy();
m_msg = null;
}
Mama.close();
}
public void onBookAtomicClear(
MamdaSubscription subscription,
MamdaBookAtomicListener listener,
MamaMsg msg)
{
if (myQuietModeLevel < 2)
{
Console.WriteLine("BOOK CLEAR - " + subscription.getSymbol());
Console.WriteLine();
}
}
public void onBookAtomicLevelEntryDelta(
MamdaSubscription subscription,
MamdaBookAtomicListener listener,
MamaMsg msg,
MamdaBookAtomicLevelEntry levelEntry)
{
if (myQuietModeLevel < 2)
{
prettyPrint(subscription, levelEntry);
}
}
public void onQuoteGap(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteGap gap,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote gap ({0}-{1})",
gap.getBeginGapSeqNum(),
gap.getEndGapSeqNum());
}
public void onBookAtomicLevelRecap(
MamdaSubscription subscription,
MamdaBookAtomicListener listener,
MamaMsg msg,
MamdaBookAtomicLevel level)
{
if (myQuietModeLevel < 2)
{
prettyPrint(subscription, level);
}
}
private void handleRecap(
MamdaSubscription subscription,
MamaMsg msg)
{
updateFieldStates();
updateFundamentalFields(msg);
foreach (MamdaFundamentalHandler handler in mHandlers)
{
handler.onFundamentals(subscription, this, msg, this);
}
}
public void testTradeId()
{
mMsg = new MamaMsg();
addMamaHeaderFields(mMsg,
(byte)mamaMsgType.MAMA_MSG_TYPE_TRADE,
(byte)mamaMsgStatus.MAMA_MSG_STATUS_OK,
(uint)1);
mMsg.addString("wTradeId", 477, "A");
ticker.callMamdaOnMsg(mSubscription, mMsg);
Assert.AreEqual("A", ticker.myTradeId);
}
/// <summary>
/// This function will invoke the message callback on the user supplied callback implementation.
/// </summary>
/// <param name="nativeMsg">
/// The native MAMA message.
/// </param>
internal void InvokeMessage(IntPtr nativeMsg)
{
if (null != mCallback)
{
// Create a new MamaaMsg using the native handle passed in
MamaMsg message = new MamaMsg(nativeMsg);
// Invoke the callback
mCallback.onMsg(mInbox, message);
}
}
/// <summary>
/// Generic method for dispatching messages to instances of
/// MamaMsgListeners.
/// </summary>
/// <param name="listeners"></param>
/// <param name="subscription"></param>
/// <param name="msg"></param>
/// <param name="msgType"></param>
private void forwardMsg(
ArrayList listeners,
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
foreach (MamdaMsgListener listener in listeners)
{
listener.onMsg(subscription, msg, msgType);
}
}
public void Setup()
{
Mama.loadBridge("lbm");
Mama.open();
// Create the message
m_msg = new MamaMsg();
// Create the array of messages
m_vectorPrice = InitialisePriceArray(m_numberPrices, 69);
m_vectorPrice2 = InitialisePriceArray(m_numberPrices, 144);
}
/// <summary>
/// Returns a MamaMsg representing the data dictionary. This message can be
/// published or used to create a new MamaDictionary object.
/// A new MamaMsg is created for each invocation of the method. It is the
/// responsibility of the caller to delete the message when no longer
/// needed.
/// </summary>
public MamaMsg getDictionaryMessage()
{
EnsurePeerCreated();
MamaMsg myDictMsg;
IntPtr mamaMsg = IntPtr.Zero;
int code = NativeMethods.mamaDictionary_getDictionaryMessage(nativeHandle, ref mamaMsg);
CheckResultCode(code);
myDictMsg = new MamaMsg(mamaMsg);
return(myDictMsg);
}
/// <summary>
/// Send a message with the throttle.
/// The lifecycle of the message sent is controlled by the user of the API. The
/// callback indicates when the API is no longer using the message and can be
/// destroyed/reused by the application.
/// </summary>
/// <param name="message">The mamaMsg to send.</param>
/// <param name="callback">Callback invoked once the message has been send on
/// the throttle</param>
/// <param name="closure">User supplied data returned in the send complete callback.</param>
public void sendWithThrottle(
MamaMsg message,
MamaSendCompleteCallback callback,
object closure)
{
#if MAMA_WRAPPERS_CHECK_ARGUMENTS
if (message == null)
{
throw new ArgumentNullException("message");
}
if (callback == null)
{
throw new ArgumentNullException("callback");
}
EnsurePeerCreated();
#endif // MAMA_WRAPPERS_CHECK_ARGUMENTS
// Create a new callback wrapper
MamaCallbackWrapper <MamaSendCompleteCallback, MamaThrottledSendCompleteDelegate> wrapper =
new MamaCallbackWrapper <MamaSendCompleteCallback, MamaThrottledSendCompleteDelegate>(
callback,
closure,
new MamaThrottledSendCompleteDelegate(onSendComplete));
// Add this to the store
IntPtr nativeClosure = mCallbackStore.StoreWrapper(wrapper);
// Call the native function
int code = NativeMethods.mamaPublisher_sendWithThrottle(
nativeHandle,
message.NativeHandle,
(Wombat.MamaPublisher.MamaThrottledSendCompleteDelegate)wrapper.NativeDelegate,
nativeClosure);
try
{
CheckResultCode(code);
}
// If something goes wrong then remove the wrapper from the store
catch
{
// Remove the wrapper
mCallbackStore.RemoveWrapper(nativeClosure);
// Dispose it
((IDisposable)wrapper).Dispose();
// Rethrow the exception
throw;
}
// Ensure that the message passed will not delete its native peer
message.SelfManageLifeTime(false);
}
public void addMamaHeaderFields(
MamaMsg msg,
byte msgType,
byte msgStatus,
uint seqNum)
{
msg.addU8(null, 1, msgType);
msg.addU8(null, 2, msgStatus);
msg.addU32(null, 10, seqNum);
msg.addU64(null, 20, 1);
}
/// <summary>
/// Process initial images. This is most likely when we will be
/// notify of the creation of a new security.
/// </summary>
/// <param name="subscription"></param>
/// <param name="msg"></param>
/// <param name="msgType"></param>
/// <param name="symbol"></param>
private void handleFullImage(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType,
string symbol)
{
if (!mListeners.containsKey(symbol))
{
checkSecurityCreateNotify(subscription, symbol);
}
}
public void onAuctionUpdate(
MamdaSubscription subscription,
MamdaAuctionListener listener,
MamaMsg msg,
MamdaAuctionUpdate update,
MamdaAuctionRecap recap)
{
Console.WriteLine("Auction Update ({0}, Uncross Price {1}({2}), Uncross Vol {3}({4}), Ind {5}({6})",
subscription.getSymbol(),
update.getUncrossPrice(),
update.getUncrossPriceFieldState(),
update.getUncrossVolume(),
update.getUncrossVolumeFieldState(),
update.getUncrossPriceInd(),
update.getUncrossPriceIndFieldState());
}
public void onQuoteRecap(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote Recap ({0})", subscription.getSymbol());
}
public void onBookClear(
MamdaSubscription sub,
MamdaOrderBookListener listener,
MamaMsg msg,
MamdaOrderBookDelta bookDelta,
MamdaOrderBookRecap fullBook)
{
Console.WriteLine("BookClear");
}
public void onTradeCancelOrError(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeCancelOrError cancelOrError,
MamdaTradeRecap recap)
{
}
public void onQuoteRecap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
// Refresh the "display" of this contract.
if (myView.isVisible(myContract))
myDisplay.printContract (myContract);
}
public void onOptionChainRecap(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionChain chain)
{
myGotRecap = true;
printChain(chain);
}
public void onTradeReport(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeReport trade,
MamdaTradeRecap recap)
{
prettyPrint(
"Trade ({0}:{1}): {2} @ {3} (seq#: {4}; time: {5}; acttime: {6}; qual: {7})",
sub.getSymbol(),
recap.getTradeCount(),
trade.getTradeVolume(),
trade.getTradePrice(),
trade.getEventSeqNum(),
trade.getEventTime(),
trade.getActivityTime(),
trade.getTradeQual());
}
public void onBookClear(
MamdaSubscription sub,
MamdaOrderBookListener listener,
MamaMsg msg,
MamdaOrderBookDelta bookDelta,
MamdaOrderBookRecap fullBook)
{
if (myQuietModeLevel < 2)
{
Console.WriteLine ("CLEAR!!! (seq# {0}) ", msg.getSeqNum());
}
}
public void onMsg(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
Console.WriteLine("Update ({0})", subscription.getSymbol());
}
public void onBookRecap(
MamdaSubscription sub,
MamdaOrderBookListener listener,
MamaMsg msg,
MamdaOrderBookDelta bookDelta,
MamdaOrderBookRecap bookRecap)
{
++myRecapStats;
}
public void onOptionSeriesUpdate(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionSeriesUpdate update,
MamdaOptionChain chain)
{
printChain(chain);
}
public void onFundamentals(
MamdaSubscription subscription,
MamdaFundamentalListener listener,
MamaMsg msg,
MamdaFundamentals fundamentals)
{
Console.WriteLine ("Fundamental update (" + subscription.getSymbol() +
" wDivFreq:" + fundamentals.getDividendFrequency() +
" wMarketSector:" + fundamentals.getMarketSector() +
" wMarketSegment:" + fundamentals.getMarketSegment()
);
}
public void onOptionChainGap(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionChain chain)
{
printChain(chain);
}
public void onQuoteGap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteGap gap,
MamdaQuoteRecap recap)
{
}
public void onOptionContractCreate(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionContract contract,
MamdaOptionChain chain)
{
// (Optional: create a trade/quote handler for the
// individual option contract.)
OptionContractTicker aTicker =
new OptionContractTicker(contract, chain, this);
contract.addQuoteHandler(aTicker);
contract.addTradeHandler(aTicker);
}
public void onBookGap(
MamdaSubscription sub,
MamdaOrderBookListener listener,
MamaMsg msg,
MamdaOrderBookGap gapEvent,
MamdaOrderBookRecap fullBook)
{
++myBookGapStats;
}
public void onQuoteClosing(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteClosing quoteClosing,
MamdaQuoteRecap recap)
{
}
public void onTradeCorrection(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeCorrection tradeCorrection,
MamdaTradeRecap recap)
{
}
public void onQuoteUpdate(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate update,
MamdaQuoteRecap recap)
{
// Do something with a specific quote.
myDisplay.printlnContract(myContract);
}
public void onTradeRecap(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeRecap recap)
{
// Refresh the "display" of this contract.
myDisplay.printlnContract(myContract);
}
public void onTradeClosing(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeClosing tradeClosing,
MamdaTradeRecap recap)
{
}
public void onQuoteUpdate(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate update,
MamdaQuoteRecap recap)
{
string format = "Quote ({0}:{1}): {2} {3} X {4} {5} (seq#: {6}; time: {7}; qual: {8})";
Console.WriteLine(format,
subscription.getSymbol(),
recap.getQuoteCount(),
update.getBidPrice(),
update.getBidSize(),
update.getAskSize(),
update.getAskPrice(),
update.getEventSeqNum(),
update.getEventTime(),
update.getQuoteQual());
}
public void onTradeGap(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeGap gap,
MamdaTradeRecap recap)
{
}
public void onSecurityStatusUpdate(
MamdaSubscription subscription,
MamdaSecurityStatusListener listener,
MamaMsg msg,
MamdaSecurityStatusUpdate update,
MamdaSecurityStatusRecap recap)
{
Console.WriteLine ("SecStatus update (" + subscription.getSymbol ()
+ " Status:" + listener.getSecurityStatusStr ());
}
public void onTradeReport(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeReport trade,
MamdaTradeRecap recap)
{
// Do something with a specific trade report.
myDisplay.printlnContract(myContract);
}
public void onTradeRecap(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeRecap recap)
{
prettyPrint("Trade Recap ({0}): ", sub.getSymbol());
}
public void onBookGap(
MamdaSubscription sub,
MamdaOrderBookListener listener,
MamaMsg msg,
MamdaOrderBookGap gapEvent,
MamdaOrderBookRecap fullBook)
{
Console.WriteLine (
"Received book gap " + sub.getSymbol ()
+ " Start: " + gapEvent.getBeginGapSeqNum()
+ " End: " + gapEvent.getEndGapSeqNum());
}
public void onQuoteGap(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteGap gap,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote gap ({0}-{1})",
gap.getBeginGapSeqNum(),
gap.getEndGapSeqNum());
}
public void onFailure(
MamdaOrderBookCheckType checkType,
string reason,
MamaMsg msg,
MamdaOrderBook realTimeBook,
MamdaOrderBook checkBook)
{
//Failed Check
Console.WriteLine("Failure check ({0} - {1})", checkType, reason);
Console.WriteLine("msg: {0}", msg);
Console.WriteLine("Failed Current Book: ");
realTimeBook.dump();
Console.WriteLine("Failed Checking Book: ");
checkBook.dump();
}
public void onBookRecap(
MamdaSubscription sub,
MamdaOrderBookListener listener,
MamaMsg msg,
MamdaOrderBookDelta bookDelta,
MamdaOrderBookRecap bookRecap)
{
if (myQuietModeLevel < 2)
{
Console.WriteLine ("RECAP!!! (seq# {0}) ", msg.getSeqNum());
}
if (myCacheFullBooks)
{
prettyPrint(bookRecap.getFullOrderBook());
}
else
{
prettyPrint(bookDelta.getDeltaOrderBook());
}
}
