public void SetUp()
{
try
{
MamaBridge mBridge = Mama.loadBridge("lbm");
Mama.open();
MamaDictionary mDictionary = new MamaDictionary();
mDictionary.create("dictionary.txt");
MamdaCommonFields.setDictionary(mDictionary, null);
MamdaQuoteFields.reset();
MamdaQuoteFields.setDictionary(mDictionary, null);
mSubscription = new MamdaSubscription();
mQuoteListener = new MamdaQuoteListener();
mSubscription.addMsgListener(mQuoteListener);
ticker = new QuoteTicker();
mQuoteListener.addHandler(ticker);
}
catch (Exception ex)
{
throw new MamdaDataException(ex.Message, ex);
}
}
public void onQuoteRecap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
}
public void onQuoteRecap(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote Recap ({0})", subscription.getSymbol());
}
public void onQuoteRecap(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
prettyPrint("Quote Recap ({0})", subscription.getSymbol());
}
public void onQuoteUpdate(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate updateEvent,
MamdaQuoteRecap recap)
{
}
public void onQuoteClosing(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteClosing closingEvent,
MamdaQuoteRecap recap)
{
}
public void onQuoteClosing(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteClosing closingEvent,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote Closing (" + sub.getSymbol() + "): ");
}
public void onQuoteRecap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote Recap (" + msg.getString
(MamdaCommonFields.ISSUE_SYMBOL) + "): ");
}
public void onQuoteRecap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
// Refresh the "display" of this contract.
myDisplay.printlnContract(myContract);
}
public void onQuoteGap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteGap gapEvent,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote gap (" + gapEvent.getBeginGapSeqNum() +
"-" + gapEvent.getEndGapSeqNum() + ")");
}
public void onQuoteUpdate(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate update,
MamdaQuoteRecap recap)
{
myShortSaleCircuitBreaker = update.getShortSaleCircuitBreaker();
Console.WriteLine("myShortSaleCircuitBreaker: " + myShortSaleCircuitBreaker);
}
public void onQuoteUpdate(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate update,
MamdaQuoteRecap recap)
{
// Do something with a specific quote.
myDisplay.printlnContract(myContract);
}
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 onQuoteRecap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
// Refresh the "display" of this contract.
if (myView.isVisible(myContract))
{
myDisplay.printContract(myContract);
}
}
/* End Field State Accessors */
private void handleQuoteMsg(
MamdaOptionContract contract,
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
MamdaQuoteListener quoteListener = contract.getQuoteListener();
if (quoteListener != null)
{
quoteListener.onMsg(subscription, msg, msgType);
}
}
public void onConsolidatedCreate(
MamdaSubscription subscription,
MamdaMultiParticipantManager manager)
{
MamdaTradeListener aTradeListener = new MamdaTradeListener();
MamdaQuoteListener aQuoteListener = new MamdaQuoteListener();
ComboTicker aTicker = new ComboTicker();
aTradeListener.addHandler(aTicker);
aQuoteListener.addHandler(aTicker);
manager.addConsolidatedListener(aTradeListener);
manager.addConsolidatedListener(aQuoteListener);
}
public void onSecurityCreate(
MamdaSubscription subscription,
MamdaMultiSecurityManager manager,
string symbol)
{
MamdaTradeListener aTradeListener = new MamdaTradeListener();
MamdaQuoteListener aQuoteListener = new MamdaQuoteListener();
ComboTicker aTicker = new ComboTicker();
aTradeListener.addHandler(aTicker);
aQuoteListener.addHandler(aTicker);
manager.addListener(aTradeListener, symbol);
manager.addListener(aQuoteListener, symbol);
}
public void onParticipantCreate(
MamdaSubscription subscription,
MamdaMultiParticipantManager manager,
string participantId,
NullableBool isPrimary)
{
MamdaTradeListener aTradeListener = new MamdaTradeListener();
MamdaQuoteListener aQuoteListener = new MamdaQuoteListener();
ComboTicker aTicker = new ComboTicker();
aTradeListener.addHandler(aTicker);
aQuoteListener.addHandler(aTicker);
manager.addParticipantListener(aTradeListener, participantId);
manager.addParticipantListener(aQuoteListener, participantId);
}
public void onQuoteUpdate(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate update,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote (" + msg.getString
(MamdaCommonFields.ISSUE_SYMBOL) +
":" + recap.getQuoteCount() +
"): " + update.getBidPrice() +
" " + update.getBidSize() +
" X " + update.getAskSize() +
" " + update.getAskPrice() +
" (seq#: " + update.getEventSeqNum() +
"; time: " + update.getEventTime() +
"; qual: " + update.getQuoteQual() + ")");
}
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 onQuoteUpdate(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate quote,
MamdaQuoteRecap recap)
{
Console.WriteLine(
"Underlying quote: " +
quote.getBidSize() + "x" + quote.getBidPrice() + " " +
quote.getAskPrice() + "x" + quote.getAskSize() + " " +
"mid=" + recap.getQuoteMidPrice());
if (myPrintStrikes)
{
double lowStrike = -1.0;
double highStrike = -1.0;
Console.WriteLine(
" strikes within 15%: " + lowStrike + " " + highStrike);
}
}
public void onQuoteClosing(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteClosing quoteClosing,
MamdaQuoteRecap recap)
{
}
/// <summary>
/// Set the underlying quote listener information.
/// MamdaOptionChain does not use this class itself, but related
/// classes might (e.g., MamdaOptionChainView).
/// </summary>
/// <param name="quoteListener">The quote listener for the chain.</param>
public void setUnderlyingQuoteListener(MamdaQuoteListener quoteListener)
{
mQuoteListener = quoteListener;
}
public static void Main(string[] args)
{
MamaTransport transport = null;
MamaQueue defaultQueue = null;
MamaDictionary dictionary = null;
CommandLineProcessor options = new CommandLineProcessor(args);
myQuietModeLevel = options.getQuietModeLevel();
if (options.hasLogLevel())
{
Mama.enableLogging(options.getLogLevel());
}
try
{
// Initialize MAMDA
myBridge = new MamaBridge(options.getMiddleware());
Mama.open();
transport = new MamaTransport();
transport.create(options.getTransport(), myBridge);
defaultQueue = Mama.getDefaultEventQueue(myBridge);
/*Get the data dictionary*/
MamaSource dictionarySource = new MamaSource();
dictionarySource.symbolNamespace = "WOMBAT";
dictionarySource.transport = transport;
dictionary = buildDataDictionary(transport, defaultQueue, dictionarySource);
MamdaQuoteFields.setDictionary(dictionary, null);
mamdaSubscriptions = new MamdaSubscription [options.getSymbolList().Count];
int i=0;
foreach (string symbol in options.getSymbolList())
{
mamdaSubscriptions[i] = new MamdaSubscription();
MamdaQuoteListener aQuoteListener = new MamdaQuoteListener();
QuoteTicker aTicker = new QuoteTicker();
aQuoteListener.addHandler(aTicker);
mamdaSubscriptions[i].addMsgListener(aQuoteListener);
mamdaSubscriptions[i].addStaleListener(aTicker);
mamdaSubscriptions[i].addErrorListener(aTicker);
mamdaSubscriptions[i].create(transport,
defaultQueue,
options.getSource (),
symbol,
null);
i++;
}
Console.WriteLine("Hit Enter or Ctrl-C to exit.");
Mama.start(myBridge);
GC.KeepAlive(dictionary);
Console.ReadLine();
}
catch (Exception e)
{
Console.Error.WriteLine(e.ToString());
Environment.Exit(1);
}
}
public static void Main(string[] args)
{
MamaTransport transport = null;
MamaQueue defaultQueue = null;
MamaDictionary dictionary = null;
CommandLineProcessor options = new CommandLineProcessor(args);
myQuietModeLevel = options.getQuietModeLevel();
if (options.hasLogLevel())
{
Mama.enableLogging(options.getLogLevel());
}
try
{
// Initialize MAMDA
myBridge = new MamaBridge(options.getMiddleware());
Mama.open();
transport = new MamaTransport();
transport.create(options.getTransport(), myBridge);
defaultQueue = Mama.getDefaultEventQueue(myBridge);
/*Get the data dictionary*/
MamaSource dictionarySource = new MamaSource();
dictionarySource.symbolNamespace = "WOMBAT";
dictionarySource.transport = transport;
dictionary = buildDataDictionary(transport, defaultQueue, dictionarySource);
MamdaQuoteFields.setDictionary(dictionary, null);
mamdaSubscriptions = new MamdaSubscription [options.getSymbolList().Count];
int i = 0;
foreach (string symbol in options.getSymbolList())
{
mamdaSubscriptions[i] = new MamdaSubscription();
MamdaQuoteListener aQuoteListener = new MamdaQuoteListener();
QuoteTicker aTicker = new QuoteTicker();
aQuoteListener.addHandler(aTicker);
mamdaSubscriptions[i].addMsgListener(aQuoteListener);
mamdaSubscriptions[i].addStaleListener(aTicker);
mamdaSubscriptions[i].addErrorListener(aTicker);
mamdaSubscriptions[i].create(transport,
defaultQueue,
options.getSource(),
symbol,
null);
i++;
}
Console.WriteLine("Hit Enter or Ctrl-C to exit.");
Mama.start(myBridge);
GC.KeepAlive(dictionary);
Console.ReadLine();
}
catch (Exception e)
{
Console.Error.WriteLine(e.ToString());
Environment.Exit(1);
}
}
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 onQuoteRecap(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote Recap ({0})", subscription.getSymbol());
}
public void onQuoteUpdate(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate update,
MamdaQuoteRecap recap)
{
// Do something with a specific quote.
myDisplay.printlnContract(myContract);
}
public void onQuoteGap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteGap gap,
MamdaQuoteRecap recap)
{
}
public void onQuoteRecap(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
prettyPrint("Quote Recap ({0})", subscription.getSymbol());
}
public void onQuoteRecap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
// Refresh the "display" of this contract.
myDisplay.printlnContract(myContract);
}
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 static void Main(string[] args)
{
MamaTransport baseTransport = null;
MamaTransport optionTransport = null;
MamaTransport dictTransport = null;
string dictTransportName = null;
MamaQueue defaultQueue = null;
MamaDictionary dictionary = null;
CommandLineProcessor options = new CommandLineProcessor(args);
if (options.hasLogLevel())
{
logLevel_ = options.getLogLevel();
Mama.enableLogging(logLevel_);
}
try
{
// Initialize MAMA
myBridge = new MamaBridge(options.getMiddleware());
Mama.open();
// Initialize transports. We're assuming that options and
// underlyings might be on different transports. Note:
// some companies might use multiple transports for
// underlyings (e.g., CTA and NASDAQ), which case it would
// be necessary to create three transports here and be
// sure to pass the correct transport later.
baseTransport = new MamaTransport();
baseTransport.create(options.getTransport(), myBridge);
optionTransport = baseTransport;
defaultQueue = Mama.getDefaultEventQueue(myBridge);
// Fetch and initialize the data dictionary
MamaSource dictionarySource = new MamaSource();
dictionarySource.symbolNamespace = options.getDictSource();
dictTransportName = options.getDictTransport();
if (null != dictTransportName)
{
dictTransport = new MamaTransport();
dictTransport.create(dictTransportName, myBridge);
}
else
{
dictTransport = baseTransport;
}
dictionarySource.transport = dictTransport;
dictionary = buildDataDictionary(dictTransport, defaultQueue, dictionarySource);
MamdaQuoteFields.setDictionary(dictionary, null);
MamdaTradeFields.setDictionary(dictionary, null);
MamdaFundamentalFields.setDictionary(dictionary, null);
MamdaOptionFields.setDictionary(dictionary, null);
// Create listeners for each chain. Two subscriptions are
// necessary.
foreach (string symbol in options.getSymbolList())
{
// Create chain and listener objects.
MamdaTradeListener aBaseTradeListener = new MamdaTradeListener();
MamdaQuoteListener aBaseQuoteListener = new MamdaQuoteListener();
MamdaOptionChain anOptionChain = new MamdaOptionChain(symbol);
anOptionChain.setUnderlyingQuoteListener(aBaseQuoteListener);
anOptionChain.setUnderlyingTradeListener(aBaseTradeListener);
MamdaOptionChainListener anOptionListener =
new MamdaOptionChainListener(anOptionChain);
// Create our handlers (the UnderlyingTicker and
// OptionChainDisplay could be a single class).
UnderlyingTicker aBaseTicker =
new UnderlyingTicker(anOptionChain, true);
OptionChainDisplay aDisplay =
new OptionChainDisplay(anOptionChain);
// Create subscriptions for underlying and option chain:
MamdaSubscription aBaseSubscription = new MamdaSubscription();
MamdaSubscription anOptionSubscription =
new MamdaSubscription();
// Register for underlying quote and trade events.
aBaseTradeListener.addHandler(aBaseTicker);
aBaseQuoteListener.addHandler(aBaseTicker);
aBaseSubscription.addMsgListener(aBaseTradeListener);
aBaseSubscription.addMsgListener(aBaseQuoteListener);
aBaseSubscription.create(
baseTransport,
defaultQueue,
options.getSource(),
symbol,
null);
mamdaSubscriptions.Add(aBaseSubscription);
// Register for underlying option events.
anOptionListener.addHandler(aDisplay);
// We set the timeout to 1 for this example because we
// currently use the timeout feature to determine when
// to say that we have received all of the initials.
// There will be a separate time interval for this in
// the future.
anOptionSubscription.setTimeout(1);
anOptionSubscription.addMsgListener(anOptionListener);
anOptionSubscription.addStaleListener(aDisplay);
anOptionSubscription.addErrorListener(aDisplay);
anOptionSubscription.setType(mamaSubscriptionType.MAMA_SUBSC_TYPE_GROUP);
anOptionSubscription.create(
optionTransport,
defaultQueue,
options.getSource(),
symbol,
null);
optionSubscriptions.Add(anOptionSubscription);
}
//Start dispatching on the default event queue
Mama.start(myBridge);
GC.KeepAlive(dictionary);
Console.WriteLine("Press ENTER or Ctrl-C to quit...");
Console.ReadLine();
}
catch (Exception e)
{
Console.WriteLine(e.ToString());
Environment.Exit(1);
}
}
public static void Main(string[] args)
{
MamaTransport baseTransport = null;
MamaTransport optionTransport = null;
MamaTransport dictTransport = null;
string dictTransportName = null;
MamaQueue defaultQueue = null;
MamaDictionary dictionary = null;
CommandLineProcessor options = new CommandLineProcessor(args);
if (options.hasLogLevel())
{
logLevel_ = options.getLogLevel();
Mama.enableLogging(logLevel_);
}
try
{
// Initialize MAMA
myBridge = new MamaBridge(options.getMiddleware());
Mama.open();
// Initialize transports. We're assuming that options and
// underlyings might be on different transports. Note:
// some companies might use multiple transports for
// underlyings (e.g., CTA and NASDAQ), which case it would
// be necessary to create three transports here and be
// sure to pass the correct transport later.
baseTransport = new MamaTransport();
baseTransport.create(options.getTransport(), myBridge);
optionTransport = baseTransport;
defaultQueue = Mama.getDefaultEventQueue(myBridge);
// Fetch and initialize the data dictionary
MamaSource dictionarySource = new MamaSource();
dictionarySource.symbolNamespace = options.getDictSource();
dictTransportName = options.getDictTransport();
if (null != dictTransportName)
{
dictTransport = new MamaTransport();
dictTransport.create(dictTransportName, myBridge);
}
else
{
dictTransport = baseTransport;
}
dictionarySource.transport = dictTransport;
dictionary = buildDataDictionary(dictTransport, defaultQueue, dictionarySource);
MamdaQuoteFields.setDictionary(dictionary, null);
MamdaTradeFields.setDictionary(dictionary, null);
MamdaFundamentalFields.setDictionary(dictionary, null);
MamdaOptionFields.setDictionary(dictionary, null);
// Create listeners for each chain. Two subscriptions are
// necessary.
foreach (string symbol in options.getSymbolList())
{
// Create chain and listener objects.
MamdaTradeListener aBaseTradeListener = new MamdaTradeListener();
MamdaQuoteListener aBaseQuoteListener = new MamdaQuoteListener();
MamdaOptionChain anOptionChain = new MamdaOptionChain(symbol);
anOptionChain.setUnderlyingQuoteListener(aBaseQuoteListener);
anOptionChain.setUnderlyingTradeListener(aBaseTradeListener);
MamdaOptionChainListener anOptionListener =
new MamdaOptionChainListener(anOptionChain);
// Create our handlers (the UnderlyingTicker and
// OptionChainDisplay could be a single class).
UnderlyingTicker aBaseTicker =
new UnderlyingTicker(anOptionChain, true);
OptionChainDisplay aDisplay =
new OptionChainDisplay(anOptionChain);
// Create subscriptions for underlying and option chain:
MamdaSubscription aBaseSubscription = new MamdaSubscription();
MamdaSubscription anOptionSubscription =
new MamdaSubscription();
// Register for underlying quote and trade events.
aBaseTradeListener.addHandler(aBaseTicker);
aBaseQuoteListener.addHandler(aBaseTicker);
aBaseSubscription.addMsgListener(aBaseTradeListener);
aBaseSubscription.addMsgListener(aBaseQuoteListener);
aBaseSubscription.create(
baseTransport,
defaultQueue,
options.getSource(),
symbol,
null);
mamdaSubscriptions.Add(aBaseSubscription);
// Register for underlying option events.
anOptionListener.addHandler(aDisplay);
// We set the timeout to 1 for this example because we
// currently use the timeout feature to determine when
// to say that we have received all of the initials.
// There will be a separate time interval for this in
// the future.
anOptionSubscription.setTimeout(1);
anOptionSubscription.addMsgListener(anOptionListener);
anOptionSubscription.addStaleListener(aDisplay);
anOptionSubscription.addErrorListener(aDisplay);
anOptionSubscription.setType(mamaSubscriptionType.MAMA_SUBSC_TYPE_GROUP);
anOptionSubscription.create(
optionTransport,
defaultQueue,
options.getSource(),
symbol,
null);
optionSubscriptions.Add(anOptionSubscription);
}
//Start dispatching on the default event queue
Mama.start(myBridge);
GC.KeepAlive(dictionary);
Console.WriteLine("Press ENTER or Ctrl-C to quit...");
Console.ReadLine();
}
catch (Exception e)
{
Console.WriteLine(e.ToString());
Environment.Exit(1);
}
}