Пример #1
0
        private void updateLevelSide(
            MamdaOrderBookPriceLevel level,
            TreeMap bookSide)
        {
            MamaPrice price = level.getPrice();

            if (bookSide.ContainsKey(price))
            {
                MamdaOrderBookPriceLevel fullBookLevel =
                    bookSide[price] as MamdaOrderBookPriceLevel;

                /*Iterate over the entries in the update and apply them to the
                 * full book level according to action*/
                foreach (MamdaOrderBookEntry deltaEntry in level)
                {
                    switch (deltaEntry.getAction())
                    {
                    case MamdaOrderBookEntry.Actions.Add:
                        fullBookLevel.addEntry(deltaEntry);
                        break;

                    case MamdaOrderBookEntry.Actions.Update:
                        fullBookLevel.updateEntry(deltaEntry);
                        break;

                    case MamdaOrderBookEntry.Actions.Delete:
                        fullBookLevel.removeEntry(deltaEntry);
                        break;

                    case MamdaOrderBookEntry.Actions.Unknown:
                        /*Do nothing*/
                        break;

                    default:
                        /*Do nothing*/
                        break;
                    }
                }
                /*Update the details for the level itself*/
                fullBookLevel.setDetails(level);
            }
            else
            {
                bookSide.Add(price, level);                 // Add it anyway
            }
        }
Пример #2
0
        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 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);
                    }
                }
            }
        }