#include <MamdaOrderBookDepthFilter.h>

Inheritance diagram for MamdaOrderBookDepthFilter:

Public Member Functions
	MamdaOrderBookDepthFilter (MamdaOrderBookListener &parent, size_t depth)

virtual	~MamdaOrderBookDepthFilter ()

virtual void	addHandler (MamdaOrderBookHandler *handler)
	Add a specialized order book handler. More...

virtual void	removeHandlers ()
	Remove the reference of handlers from the internal list. More...

virtual const MamdaOrderBook *	getOrderBook () const
	Return the filtered orderbook. More...

virtual const MamdaOrderBook *	getFullOrderBook () const
	Return the full depth orderbook. More...

virtual void	onMsg (MamdaSubscription *subscription, const MamaMsg &msg, short msgType)
	Implementation of MamdaListener interface. More...

virtual void	onBookRecap (MamdaSubscription subscription, MamdaOrderBookListener &listener, const MamaMsg msg, const MamdaOrderBookComplexDelta *delta, const MamdaOrderBookRecap &event, const MamdaOrderBook &book)
	Method invoked when a full refresh of the order book for the security is available. More...

virtual void	onBookDelta (MamdaSubscription subscription, MamdaOrderBookListener &listener, const MamaMsg msg, const MamdaOrderBookSimpleDelta &event, const MamdaOrderBook &book)
	Method invoked when a basic order book delta is reported. More...

virtual void	onBookComplexDelta (MamdaSubscription subscription, MamdaOrderBookListener &listener, const MamaMsg msg, const MamdaOrderBookComplexDelta &event, const MamdaOrderBook &book)
	Method invoked when an order book delta is reported. More...

virtual void	onBookClear (MamdaSubscription subscription, MamdaOrderBookListener &listener, const MamaMsg msg, const MamdaOrderBookClear &event, const MamdaOrderBook &book)
	Method invoked when an order book is cleared. More...

virtual void	onBookGap (MamdaSubscription subscription, MamdaOrderBookListener &listener, const MamaMsg msg, const MamdaOrderBookGap &event, const MamdaOrderBook &book)
	Method invoked when a gap in order book updates is discovered. More...

Public Member Functions inherited from Wombat::MamdaOrderBookListener
	MamdaOrderBookListener (MamdaOrderBook *fullBook=NULL)
	Create an order book listener using an optional user-provided object for the full order book. More...

virtual	~MamdaOrderBookListener ()

virtual void	setProcessEntries (bool process)
	Set whether we are interested in "entry level" information at all. More...

virtual bool	getProcessEntries () const
	Get whether we are interested in "entry level" information. More...

virtual void	setProcessMarketOrders (bool process)
	Set whether we are interested in market order information, if available. More...

virtual bool	getProcessMarketOrders () const
	Get whether we are interested in market order information. More...

virtual void	addIgnoreEntryId (const char *id)
	Add an entry ID to ignore. More...

virtual void	removeIgnoreEntryId (const char *id)
	Remove an entry ID to ignore. More...

virtual void	clear ()
	Clear all cached data fields. More...

virtual const char *	getSymbol () const

virtual const char *	getPartId () const

virtual const MamaDateTime &	getSrcTime () const

virtual const MamaDateTime &	getActivityTime () const

virtual const MamaDateTime &	getLineTime () const

virtual const MamaDateTime &	getSendTime () const

virtual const MamaMsgQual &	getMsgQual () const

virtual const MamaDateTime &	getEventTime () const

virtual mama_seqnum_t	getEventSeqNum () const

virtual MamdaFieldState	getSymbolFieldState () const

virtual MamdaFieldState	getPartIdFieldState () const

virtual MamdaFieldState	getEventSeqNumFieldState () const

virtual MamdaFieldState	getEventTimeFieldState () const

virtual MamdaFieldState	getSrcTimeFieldState () const

virtual MamdaFieldState	getActivityTimeFieldState () const

virtual MamdaFieldState	getLineTimeFieldState () const

virtual MamdaFieldState	getSendTimeFieldState () const

virtual MamdaFieldState	getMsgQualFieldState () const

virtual MamdaOrderBook *	getOrderBook ()

virtual mama_seqnum_t	getBeginGapSeqNum () const

virtual mama_seqnum_t	getEndGapSeqNum () const

virtual void	setUseEntryManager (bool useManager)
	Set whether to use an "entry manager" for finding entries in a book. More...

virtual void	setEntryIdsAreUnique (bool uniqueIds)
	Set whether the entry IDs are unique across the entire book. More...

virtual void	setKeepBasicDeltas (bool keep)
	Set whether to gather individual basic deltas when processing a complex delta. More...

virtual void	setUpdateInconsistentBook (bool update)
	Whether to handle or ignore updates sent for an inconsistent book. More...

virtual void	setUpdateStaleBook (bool update)
	Whether to handle or ignore updates sent for a stale order book. More...

virtual void	setClearStaleBook (bool clear)
	Whether to clear the order book upon detection of a stale book condition. More...

virtual void	setQuality (MamdaSubscription *sub, mamaQuality quality)
	Change the order book quality and invoke appropriate callbacks. More...

virtual void	setConflateDeltas (bool conflate)
	Whether to conflate the order book deltas. More...

virtual bool	getConflateDeltas ()
	Whether or not order book deltas are conflated. More...

virtual void	setConflationInterval (double interval)
	The conflation interval. More...

virtual void	forceInvokeDeltaHandlers ()
	Invoke delta handlers immediately if there is a conflated delta pending. More...

virtual void	clearConflatedDeltas ()
	Clear any pending conflated deltas. More...

virtual void	acquireReadLock ()
	Acquire a read lock on the full book, so that an alternative running thread can view the book without it being changed from within the MamdaBookListener. More...

virtual void	releaseReadLock ()
	Release the read lock on the full book. More...

virtual void	acquireWriteLock ()

virtual void	releaseWriteLock ()

virtual void	getBookSnapShot (MamdaOrderBook &result)
	A thread safe function that can be called to populate a snapshot of the full book for the given symbol providing there already exists a MamdaBookListener for the symbol within the process. More...

virtual void	setBookPropertyFids (mama_fid_t *fids, mama_size_t numFids)
	Set the FIDs for any additional fields to cached in the book properties for the book. More...

virtual void	setLevelPropertyFids (mama_fid_t *fids, mama_size_t numFids)
	Set the FIDs for any additional fields to cached in the price level properties for the book. More...

virtual void	setEntryPropertyFids (mama_fid_t *fids, mama_size_t numFids)
	Set the FIDs for any additional fields to cached in the entry properties for the book. More...

Public Member Functions inherited from Wombat::MamdaMsgListener
virtual	~MamdaMsgListener ()

Public Member Functions inherited from Wombat::MamdaOrderBookHandler
virtual void	onMarketOrderDelta (MamdaSubscription subscription, MamdaOrderBookListener &listener, const MamaMsg msg, const MamdaOrderBookSimpleDelta &event, const MamdaOrderBook &book)
	Deprecated. More...

virtual void	onMarketOrderComplexDelta (MamdaSubscription subscription, MamdaOrderBookListener &listener, const MamaMsg msg, const MamdaOrderBookComplexDelta &event, const MamdaOrderBook &book)
	Deprecated. More...

virtual	~MamdaOrderBookHandler ()

Additional Inherited Members
Public Attributes inherited from Wombat::MamdaOrderBookListener
MamdaOrderBookListenerImpl &	mImpl

Constructor & Destructor Documentation

◆ MamdaOrderBookDepthFilter()

MamdaOrderBookDepthFilter::MamdaOrderBookDepthFilter	(	MamdaOrderBookListener &	parent,
		size_t	depth
	)

◆ ~MamdaOrderBookDepthFilter()

virtual MamdaOrderBookDepthFilter::~MamdaOrderBookDepthFilter ( )

virtual

Member Function Documentation

◆ addHandler()

virtual void MamdaOrderBookDepthFilter::addHandler ( MamdaOrderBookHandler * handler )

virtual

Add a specialized order book handler.

Currently, only one handler can (and must) be registered.

Parameters

handler The hadler registered to receive order book update callbacks.

Reimplemented from Wombat::MamdaOrderBookListener.

◆ removeHandlers()

virtual void MamdaOrderBookDepthFilter::removeHandlers ( )

virtual

Remove the reference of handlers from the internal list.

Memory is not freed.

Reimplemented from Wombat::MamdaOrderBookListener.

◆ getOrderBook()

virtual const MamdaOrderBook* MamdaOrderBookDepthFilter::getOrderBook ( ) const

virtual

Return the filtered orderbook.

Reimplemented from Wombat::MamdaOrderBookListener.

◆ getFullOrderBook()

virtual const MamdaOrderBook* MamdaOrderBookDepthFilter::getFullOrderBook ( ) const

virtual

Return the full depth orderbook.

◆ onMsg()

virtual void MamdaOrderBookDepthFilter::onMsg	(	MamdaSubscription *	subscription,
		const MamaMsg &	msg,
		short	msgType
	)

virtual

Implementation of MamdaListener interface.

Reimplemented from Wombat::MamdaOrderBookListener.

70 { };

◆ onBookRecap()

virtual void MamdaOrderBookDepthFilter::onBookRecap	(	MamdaSubscription *	subscription,
		MamdaOrderBookListener &	listener,
		const MamaMsg *	msg,
		const MamdaOrderBookComplexDelta *	delta,
		const MamdaOrderBookRecap &	event,
		const MamdaOrderBook &	book
	)

virtual

Method invoked when a full refresh of the order book for the security is available.

The reason for the invocation may be any of the following:

Initial image.
Start-of-day book state.
Recap update (e.g., after server fault tolerant event or data quality event.)
After stale status removed.

Parameters

subscription	The subscription which received the update.
listener	The order book listener that invoked this callback.
msg	The MamaMsg that triggered this invocation.
delta	Always NULL. Reserved for future use.
event	The order book recap event.
book	The current full book.

Implements Wombat::MamdaOrderBookHandler.

◆ onBookDelta()

virtual void MamdaOrderBookDepthFilter::onBookDelta	(	MamdaSubscription *	subscription,
		MamdaOrderBookListener &	listener,
		const MamaMsg *	msg,
		const MamdaOrderBookSimpleDelta &	event,
		const MamdaOrderBook &	book
	)

virtual

Method invoked when a basic order book delta is reported.

A basic delta consists of one price levels (add/update/delete), which contains zero or one entries (add/update/delete). Some feeds do not provide order book entry information.

Parameters

subscription	The MamdaSubscription handle.
listener	The order book listener that received the update.
msg	The MamaMsg that triggered this invocation.
event	Details of the delta event.
book	The current full book (after applying the delta).

Implements Wombat::MamdaOrderBookHandler.

◆ onBookComplexDelta()

virtual void MamdaOrderBookDepthFilter::onBookComplexDelta	(	MamdaSubscription *	subscription,
		MamdaOrderBookListener &	listener,
		const MamaMsg *	msg,
		const MamdaOrderBookComplexDelta &	event,
		const MamdaOrderBook &	book
	)

virtual

Method invoked when an order book delta is reported.

A delta consists of one or more price levels (add/update/delete), each of which contains zero or more entries (add/update/delete). Some feeds do not provide order book entry information.

Parameters

subscription	The MamdaSubscription handle.
listener	The order book listener that received the update.
msg	The MamaMsg that triggered this invocation.
event	Details of the the delta.
book	The current full book (after applying the delta).

Implements Wombat::MamdaOrderBookHandler.

◆ onBookClear()

virtual void MamdaOrderBookDepthFilter::onBookClear	(	MamdaSubscription *	subscription,
		MamdaOrderBookListener &	listener,
		const MamaMsg *	msg,
		const MamdaOrderBookClear &	event,
		const MamdaOrderBook &	book
	)

virtual

Method invoked when an order book is cleared.

Parameters

subscription	The MamdaSubscription handle.
listener	The order book listener that caused the clear.
msg	The MamaMsg that triggered this invocation.
event	The clear event.
book	The current state of the book (empty).

Implements Wombat::MamdaOrderBookHandler.

◆ onBookGap()

virtual void MamdaOrderBookDepthFilter::onBookGap	(	MamdaSubscription *	subscription,
		MamdaOrderBookListener &	listener,
		const MamaMsg *	msg,
		const MamdaOrderBookGap &	event,
		const MamdaOrderBook &	book
	)

virtual

Method invoked when a gap in order book updates is discovered.

It is usual for a recap to follow shortly after an order book gap is detected.

Parameters

subscription	The MamdaSubscription handle.
listener	The order book listener that detected the gap.
msg	The MamaMsg that triggered this invocation.
event	Provides the sequence number gap range.
book	The current state of the book.

Implements Wombat::MamdaOrderBookHandler.

The documentation for this class was generated from the following file:

MamdaOrderBookDepthFilter.h

Public Member Functions

Additional Inherited Members

Constructor & Destructor Documentation

◆ MamdaOrderBookDepthFilter()

◆ ~MamdaOrderBookDepthFilter()

Member Function Documentation

◆ addHandler()

◆ removeHandlers()

◆ getOrderBook()

◆ getFullOrderBook()

◆ onMsg()

◆ onBookRecap()

◆ onBookDelta()

◆ onBookComplexDelta()

◆ onBookClear()

◆ onBookGap()