public void onQuoteRecap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
}
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 SetUp()
{
try
{
//Intialise mama
myBridge = new MamaBridge("lbm");
Mama.open();
mDictionary = new MamaDictionary();
mDictionary.create("dictionary.txt");
MamdaCommonFields.setDictionary(mDictionary, null);
MamdaTradeFields.reset();
MamdaTradeFields.setDictionary(mDictionary, null);
mSubscription = new MamdaSubscription();
mTradeListener = new MamdaTradeListener();
mSubscription.addMsgListener(mTradeListener);
ticker = new tradetickerCB();
mTradeListener.addHandler(ticker);
}
catch (Exception e)
{
Console.Error.WriteLine(e.ToString());
Environment.Exit(1);
}
}
public void onQuoteClosing(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteClosing closingEvent,
MamdaQuoteRecap recap)
{
}
public void onError(
MamdaSubscription subscription,
MamdaErrorSeverity severity,
MamdaErrorCode errorCode,
string errorStr)
{
Console.WriteLine("Error (" + subscription.getSymbol() + "): ");
}
public void onQuoteRecap(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteRecap recap)
{
Console.WriteLine ("Quote Recap (" + msg.getString
(MamdaCommonFields.ISSUE_SYMBOL)+ "): ");
}
public void onQuoteClosing(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteClosing closingEvent,
MamdaQuoteRecap recap)
{
Console.WriteLine("Quote Closing (" + sub.getSymbol() + "): ");
}
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 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 callMamdaOnMsg(MamdaSubscription sub, MamaMsg msg)
{
try
{
ArrayList msgListeners = new ArrayList();
msgListeners = sub.getMsgListeners();
IEnumerator iter = msgListeners.GetEnumerator();
int size = msgListeners.Count;
for (int i = 0; i < size; i++)
{
iter.MoveNext();
MamdaMsgListener listener = (MamdaMsgListener)iter.Current;
listener.onMsg(sub, msg, msg.getType());
}
}
catch (Exception ex)
{
throw new MamdaDataException(ex.Message, ex);
}
}
/// <summary>
/// </summary>
/// <param name="transport"></param>
/// <param name="queue"></param>
/// <param name="handler"></param>
/// <param name="source"></param>
/// <param name="symbol"></param>
/// <param name="intervalSeconds"></param>
public MamdaOrderBookChecker(
MamaTransport transport,
MamaQueue queue,
MamdaOrderBookCheckerHandler handler,
string source,
string symbol,
double intervalSeconds)
{
mSnapShotmHandler = new SnapShotChecker(this);
mRealTimeSubsc = new MamdaSubscription();
mRealTimeListener = new MamdaOrderBookListener();
mHandler = handler;
mQueue = queue;
mIntervalSecs = intervalSeconds;
mRandomTimerFired = false;
mRealTimeSubsc.setType(mamaSubscriptionType.MAMA_SUBSC_TYPE_BOOK);
mRealTimeSubsc.create(transport, queue, source, symbol, null);
mRealTimeSubsc.addMsgListener(mRealTimeListener);
init();
}
public void SetUp()
{
try
{
MamaBridge mBridge = Mama.loadBridge("lbm");
Mama.open();
MamaDictionary mDictionary = new MamaDictionary();
mDictionary.create("dictionary.txt");
MamdaCommonFields.setDictionary(mDictionary, null);
MamdaSecurityStatusFields.reset();
MamdaSecurityStatusFields.setDictionary(mDictionary, null);
mSubscription = new MamdaSubscription();
}
catch (Exception ex)
{
throw new MamdaDataException(ex.Message, ex);
}
}
private void handleUpdate(
MamdaSubscription subscription,
MamaMsg msg)
{
if (!mGotInitial)
{
throw new MamdaOrderBookException(
"got update before initial/recap");
}
// Synchronize the current Order Book in case a snapshot is being created
if (mFullBook != null)
{
lock (mFullBook)
{
handleUpdateImpl(subscription, msg);
}
}
else
{
handleUpdateImpl(subscription, msg);
}
}
/// <summary>
/// Implementation of MamdaListener interface.
/// </summary>
/// <param name="subscription"></param>
/// <param name="msg"></param>
/// <param name="msgType"></param>
public void onMsg(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
if(!MamdaOptionFields.isSet())
{
return;
}
if (msgType == mamaMsgType.MAMA_MSG_TYPE_END_OF_INITIALS)
{
foreach (MamdaOptionChainHandler handler in mHandlers)
{
handler.onOptionChainRecap(subscription, this, msg, mChain);
}
return;
}
MamdaOptionContract contract = findContract(subscription, msg);
switch (msgType)
{
case mamaMsgType.MAMA_MSG_TYPE_INITIAL:
case mamaMsgType.MAMA_MSG_TYPE_RECAP:
handleQuoteMsg(contract, subscription, msg, msgType);
handleTradeMsg(contract, subscription, msg, msgType);
break;
case mamaMsgType.MAMA_MSG_TYPE_QUOTE:
handleQuoteMsg(contract, subscription, msg, msgType);
break;
case mamaMsgType.MAMA_MSG_TYPE_TRADE:
case mamaMsgType.MAMA_MSG_TYPE_CANCEL:
case mamaMsgType.MAMA_MSG_TYPE_ERROR:
case mamaMsgType.MAMA_MSG_TYPE_CORRECTION:
handleTradeMsg(contract, subscription, msg, msgType);
break;
}
}
/* End Field State Accessors */
// Implementation of MamdaListener interface.
// NB! For internal use only.
public void onMsg(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
// Listeners may be created on multiple threads and we only
// want a single list of updaters.
if (mUpdaters == null)
{
lock (mUpdatersGuard)
{
if (!MamdaAuctionFields.isSet())
{
return;
}
if (mUpdaters == null)
{
AuctionUpdate[] updaters = createUpdaters();
Thread.MemoryBarrier();
mUpdaters = updaters;
}
}
}
// If msg is a Auction-related message, invoke the
// appropriate callback:
switch (msgType)
{
case mamaMsgType.MAMA_MSG_TYPE_INITIAL:
case mamaMsgType.MAMA_MSG_TYPE_RECAP:
case mamaMsgType.MAMA_MSG_TYPE_UPDATE:
handleAuctionMessage(subscription, msg, msgType);
break;
default:
break;
}
}
private void forwardMsg(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType,
String symbol)
{
ArrayList securityListeners = (ArrayList)mListeners.valueOf(symbol);
if ((securityListeners != null) && (securityListeners.Count > 0))
{
forwardMsg(
securityListeners,
subscription,
msg,
msgType);
}
else
{
/*Needed for new symbols created intraday*/
checkSecurityCreateNotify(subscription, symbol);
}
}
private void forwardMsg(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType,
String partId)
{
if (partId == null) /*Participant message*/
{
/* We may not have an entry for this partId at this stage as
* we may not be receiving initial values for the subscription. */
ParticipantInfo partInfo = getParticipantInfo(partId);
/* Need to check if we have notified. We may well not be receiving
* initials*/
checkParticipantCreateNotify(subscription, partId, partInfo);
/* We may have a ParticipantInfo entry for the partId but there is
* still no guarantee that any listeners have been registered.
* This is quite acceptable as users may not be interested in all
* participants. */
if (partInfo.mParticipantListeners.Count > 0)
{
forwardMsg(partInfo.mParticipantListeners, subscription, msg, msgType);
}
}
else /*Consolidated message*/
{
/* We may not have notified the user that a consolidated message
* has arrived. If not using initials this can be the case.*/
checkConsolidatedCreateNotify(subscription);
/* Forward the message if we have any listeners*/
if (mConsolidatedListeners.Count > 0)
{
forwardMsg(mConsolidatedListeners, subscription, msg, msgType);
}
}
}
/// <summary>
/// Implementation of MamdaListener interface.
/// </summary>
/// <param name="subscription"></param>
/// <param name="msg"></param>
/// <param name="msgType"></param>
public void onMsg(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
if (!MamdaFundamentalFields.isSet())
{
return;
}
// If msg is a trade-related message, invoke the
// appropriate callback:
switch (msgType)
{
case mamaMsgType.MAMA_MSG_TYPE_INITIAL:
case mamaMsgType.MAMA_MSG_TYPE_RECAP:
handleRecap(subscription, msg);
break;
case mamaMsgType.MAMA_MSG_TYPE_UPDATE:
handleUpdate(subscription, msg);
break;
}
}
private void handleRecap(
MamdaSubscription subscription,
MamaMsg msg)
{
// Synchronize the current Order Book in case a snapshot is being created
if (mFullBook != null)
{
lock (mFullBook)
{
msg.tryU64(MamaReservedFields.SenderId, ref mPreviousSenderId);
handleStandardFields(subscription, msg, false);
if (createDeltaFromMamaMsg(mTempmDeltaBook, msg))
{
mDeltaBook.setSymbol(subscription.getSymbol());
mDeltaBook.setBookTime(msg.getDateTime(MamdaOrderBookFields.BOOK_TIME, mSrcTime));
mDeltaBook.setAsDeltaDifference(mFullBook, mTempmDeltaBook);
mFullBook.copy(mTempmDeltaBook);
mFullBook.setSymbol(subscription.getSymbol());
mFullBook.setBookTime(mDeltaBook.getBookTime());
mFullBook.setIsConsistent(true);
invokeRecapHandlers(subscription, msg);
}
}
}
else
{
handleStandardFields(subscription, msg, false);
// Set the delta to be the contents of the recap.
if (createDeltaFromMamaMsg(mDeltaBook, msg))
{
mDeltaBook.setSymbol(subscription.getSymbol());
invokeRecapHandlers(subscription, msg);
}
}
mGotInitial = true;
}
public void SetUp()
{
try
{
MamaBridge mBridge = Mama.loadBridge("lbm");
Mama.open();
MamaDictionary mDictionary = new MamaDictionary();
mDictionary.create("dictionary.txt");
MamdaCommonFields.setDictionary(mDictionary, null);
MamdaTradeFields.reset();
MamdaTradeFields.setDictionary(mDictionary, null);
mSubscription = new MamdaSubscription();
mTradeListener = new MamdaTradeListener();
mSubscription.addMsgListener(mTradeListener);
recap = new MamdaConcreteTradeRecap();
}
catch (Exception ex)
{
throw new MamdaDataException(ex.Message, ex);
}
}
public void onTradeGap(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeGap gapEvent,
MamdaTradeRecap recap)
{
}
public void onTradeCorrection(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeCorrection correctionEvent,
MamdaTradeRecap recap)
{
}
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);
}
}
}
}
}
}
private void handleTradeMsg(
MamdaOptionContract contract,
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
MamdaTradeListener tradeListener = contract.getTradeListener();
if (tradeListener != null)
{
tradeListener.onMsg(subscription, msg, msgType);
}
}
public void onQuoteUpdate(
MamdaSubscription subscription,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate update,
MamdaQuoteRecap recap)
{
myShortSaleCircuitBreaker = update.getShortSaleCircuitBreaker();
Console.WriteLine("myShortSaleCircuitBreaker: " + myShortSaleCircuitBreaker);
}
private MamdaOptionContract findContract(
MamdaSubscription subscription,
MamaMsg msg)
{
/*
* NOTE: fields which are enums can be pubished as integers if feedhandler
* uses mama-publish-enums-as-ints. It may also be possible for a feed to
* publish the numerical value as a string. All enumerated fields must be handled
* by getting the value based on the field type.
*/
// Look up the strike price and expiration date
string contractSymbol = null;
if (!msg.tryString(MamdaOptionFields.CONTRACT_SYMBOL, ref contractSymbol))
{
throw new MamdaDataException("cannot find contract symbol");
}
string fullSymbol = contractSymbol;
MamdaOptionContract contract = mChain.getContract(fullSymbol);
if (contract == null)
{
string expireDateStr = String.Empty;
double strikePrice = 0.0;
string putCall = String.Empty;
uint openInterest = 0;
msg.tryString(MamdaOptionFields.EXPIRATION_DATE, ref expireDateStr);
msg.tryF64(MamdaOptionFields.STRIKE_PRICE, ref strikePrice);
if (msg.tryField(MamdaOptionFields.PUT_CALL, ref tmpfield_))
{
putCall = getFieldAsString(tmpfield_);
}
int symbolLen = fullSymbol.Length;
string symbol = null;
string exchange = null;
int dotIndex = fullSymbol.LastIndexOf('.');
if (dotIndex > 0)
{
// Have exchange in symbol.
exchange = fullSymbol.Substring(dotIndex + 1);
symbol = fullSymbol.Substring(0, dotIndex);
}
else
{
exchange = "";
symbol = fullSymbol;
}
DateTime expireDate = DateTime.MinValue;
try
{
expireDate = mDateFormat.Parse(expireDateStr);
}
catch (FormatException e)
{
throw new MamdaDataException(
String.Format("cannot parse expiration date: {0}", expireDateStr));
}
MamdaOptionContract.PutOrCall putCallchar = extractPutCall(msg, fullSymbol);
contract = new MamdaOptionContract(
symbol,
exchange,
expireDate,
strikePrice,
putCallchar);
MamdaOptionContract.ExerciseStyle exerciseStyleChar = extractExerciseStyle(msg, fullSymbol);
contract.setExerciseStyle(exerciseStyleChar);
if (msg.tryU32(MamdaOptionFields.OPEN_INTEREST, ref openInterest))
{
contract.setOpenInterest((long)openInterest);
}
mChain.addContract(fullSymbol, contract);
mLastActionContract = contract;
mLastActionContractFieldState = MamdaFieldState.MODIFIED;
mLastAction = MamdaOptionAction.Add;
mLastActionFieldState = MamdaFieldState.MODIFIED;
foreach (MamdaOptionChainHandler handler in mHandlers)
{
handler.onOptionContractCreate(subscription, this, msg, contract, mChain);
}
}
return(contract);
}
/// <summary>
/// Implementation of the MamdaMsgListener Interface.
/// </summary>
/// <param name="subscription"></param>
/// <param name="msg"></param>
/// <param name="msgType"></param>
public void onMsg(
MamdaSubscription subscription,
MamaMsg msg,
mamaMsgType msgType)
{
try
{
string symbol = msg.getString(MamdaCommonFields.ISSUE_SYMBOL);
if(symbol == null)
{
return;
}
// First handle the message internally. i.e. create listener
// lists, notify handlers etc.
switch (msgType)
{
case mamaMsgType.MAMA_MSG_TYPE_INITIAL:
case mamaMsgType.MAMA_MSG_TYPE_RECAP:
handleFullImage(subscription, msg, msgType, symbol);
break;
case mamaMsgType.MAMA_MSG_TYPE_END_OF_INITIALS:/*Don't forward.*/
return;
default:
break;
}
// Now pass to other listeners (if any)
forwardMsg(subscription, msg, msgType, symbol);
}
catch (MamdaDataException ex)
{
}
}
/// <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 onDestroy(
MamaSubscription subscription)
{
subscription.deallocate();
mSubscription = null;
}
private void handleClear(MamdaSubscription subscription,
MamaMsg msg)
{
handleStandardFields(subscription, msg, false);
invokeClearHandlers(subscription, msg);
}
public void onTradeReport(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeReport trade,
MamdaTradeRecap recap)
{
}
/// <summary>
/// Handler option chain recaps and initial values.
/// </summary>
/// <param name="subscription"></param>
/// <param name="listener"></param>
/// <param name="msg"></param>
/// <param name="chain"></param>
public void onOptionChainRecap(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionChain chain)
{
resetRange();
}
public void onError(
MamdaSubscription subscription,
MamdaErrorSeverity severity,
MamdaErrorCode errorCode,
string errorStr)
{
}
/// <summary>
/// Handler for option chain structural updates.
/// </summary>
/// <param name="subscription"></param>
/// <param name="listener"></param>
/// <param name="msg"></param>
/// <param name="contract"></param>
/// <param name="chain"></param>
public void onOptionContractCreate(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionContract contract,
MamdaOptionChain chain)
{
resetRange();
}
public void onStale(
MamdaSubscription subscription,
mamaQuality quality)
{
}
/// <summary>
/// Handler for option chain structural updates.
/// </summary>
/// <param name="subscription"></param>
/// <param name="listener"></param>
/// <param name="msg"></param>
/// <param name="updateEvent"></param>
/// <param name="chain"></param>
public void onOptionSeriesUpdate(
MamdaSubscription subscription,
MamdaOptionChainListener listener,
MamaMsg msg,
MamdaOptionSeriesUpdate updateEvent,
MamdaOptionChain chain)
{
resetRange();
}
/* 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 onQuoteUpdate(
MamdaSubscription sub,
MamdaQuoteListener listener,
MamaMsg msg,
MamdaQuoteUpdate updateEvent,
MamdaQuoteRecap recap)
{
}
private MamdaOptionContract findContract(
MamdaSubscription subscription,
MamaMsg msg)
{
/*
* NOTE: fields which are enums can be pubished as integers if feedhandler
* uses mama-publish-enums-as-ints. It may also be possible for a feed to
* publish the numerical value as a string. All enumerated fields must be handled
* by getting the value based on the field type.
*/
// Look up the strike price and expiration date
string contractSymbol = null;
if (!msg.tryString(MamdaOptionFields.CONTRACT_SYMBOL, ref contractSymbol))
{
throw new MamdaDataException ("cannot find contract symbol");
}
string fullSymbol = contractSymbol;
MamdaOptionContract contract = mChain.getContract(fullSymbol);
if (contract == null)
{
string expireDateStr = String.Empty;
double strikePrice = 0.0;
string putCall = String.Empty;
uint openInterest = 0;
msg.tryString(MamdaOptionFields.EXPIRATION_DATE, ref expireDateStr);
msg.tryF64(MamdaOptionFields.STRIKE_PRICE, ref strikePrice);
if (msg.tryField (MamdaOptionFields.PUT_CALL, ref tmpfield_))
{
putCall = getFieldAsString(tmpfield_);
}
int symbolLen = fullSymbol.Length;
string symbol = null;
string exchange = null;
int dotIndex = fullSymbol.LastIndexOf('.');
if (dotIndex > 0)
{
// Have exchange in symbol.
exchange = fullSymbol.Substring(dotIndex + 1);
symbol = fullSymbol.Substring(0, dotIndex);
}
else
{
exchange = "";
symbol = fullSymbol;
}
DateTime expireDate = DateTime.MinValue;
try
{
expireDate = mDateFormat.Parse(expireDateStr);
}
catch (FormatException e)
{
throw new MamdaDataException (
String.Format("cannot parse expiration date: {0}", expireDateStr));
}
MamdaOptionContract.PutOrCall putCallchar = extractPutCall(msg,fullSymbol);
contract = new MamdaOptionContract(
symbol,
exchange,
expireDate,
strikePrice,
putCallchar);
MamdaOptionContract.ExerciseStyle exerciseStyleChar = extractExerciseStyle(msg,fullSymbol);
contract.setExerciseStyle(exerciseStyleChar);
if (msg.tryU32 (MamdaOptionFields.OPEN_INTEREST, ref openInterest))
{
contract.setOpenInterest( (long)openInterest );
}
mChain.addContract(fullSymbol, contract);
mLastActionContract = contract;
mLastActionContractFieldState = MamdaFieldState.MODIFIED;
mLastAction = MamdaOptionAction.Add;
mLastActionFieldState = MamdaFieldState.MODIFIED;
foreach (MamdaOptionChainHandler handler in mHandlers)
{
handler.onOptionContractCreate(subscription, this, msg, contract, mChain);
}
}
return contract;
}
public void onTradeCancelOrError(
MamdaSubscription sub,
MamdaTradeListener listener,
MamaMsg msg,
MamdaTradeCancelOrError cancelEvent,
MamdaTradeRecap recap)
{
}
public MamdaSubscriptionCallback(MamdaSubscription subscription)
{
mSubscription = subscription;
}
private void handleUpdate(MamdaSubscription subscription,
MamaMsg msg)
{
handleStandardFields(subscription, msg, false);
createDeltaFromMamaMsg(subscription, msg, false);
}
