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);
}
}
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>
/// 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 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);
}
