Wombat::MamdaOrderBookConcreteComplexDelta Class Reference

MamdaOrderBookConcreteComplexDelta is a class that saves information about a complex order book delta. More...

#include <MamdaOrderBookConcreteComplexDelta.h>

Inheritance diagram for Wombat::MamdaOrderBookConcreteComplexDelta:

Public Member Functions
	MamdaOrderBookConcreteComplexDelta ()
virtual	~MamdaOrderBookConcreteComplexDelta ()
virtual const char *	getSymbol () const
	Get the instruments string symbol. More...
virtual const char *	getPartId () const
	Get the participant identifier. More...
virtual mama_seqnum_t	getEventSeqNum () const
	Get the event sequence number. More...
virtual const MamaDateTime &	getEventTime () const
	Get the event time. More...
virtual const MamaDateTime &	getSrcTime () const
	Get the source time. More...
virtual const MamaDateTime &	getActivityTime () const
	Get the activity time. More...
virtual const MamaDateTime &	getLineTime () const
	Get the line time. More...
virtual const MamaDateTime &	getSendTime () const
	Get the send time. More...
virtual const MamaMsgQual &	getMsgQual () const
	Get the message qualifier. More...
virtual MamdaFieldState	getSymbolFieldState () const
	Get the string symbol field state. More...
virtual MamdaFieldState	getPartIdFieldState () const
	Get the participant identifier field state. More...
virtual MamdaFieldState	getEventSeqNumFieldState () const
	Get the event sequence number field state. More...
virtual MamdaFieldState	getEventTimeFieldState () const
	Get the event time field state. More...
virtual MamdaFieldState	getSrcTimeFieldState () const
	Get the source time field state. More...
virtual MamdaFieldState	getActivityTimeFieldState () const
	Get the activity time field state. More...
virtual MamdaFieldState	getLineTimeFieldState () const
	Get the line time of the update. More...
virtual MamdaFieldState	getSendTimeFieldState () const
	Get the send time field state. More...
virtual MamdaFieldState	getMsgQualFieldState () const
	Get the message qualifier field state. More...
virtual void	setSymbol (const char *value)
virtual void	setPartId (const char *value)
virtual void	setEventSeqNum (mama_seqnum_t value)
virtual void	setEventTime (const MamaDateTime &value)
virtual void	setSrcTime (const MamaDateTime &value)
virtual void	setActivityTime (const MamaDateTime &value)
virtual void	setLineTime (const MamaDateTime &value)
virtual void	setSendTime (const MamaDateTime &value)
virtual void	setMsgQual (const MamaMsgQual &value)
Public Member Functions inherited from Wombat::MamdaOrderBookComplexDelta
virtual	~MamdaOrderBookComplexDelta ()
Public Member Functions inherited from Wombat::MamdaOrderBookBasicDeltaList
	MamdaOrderBookBasicDeltaList ()
	~MamdaOrderBookBasicDeltaList ()
void	clear ()
	Clear the delta. More...
void	setKeepBasicDeltas (bool keep)
	Set whether to actually keep the basic deltas. More...
ModifiedSides	getModifiedSides () const
	Get which side(s) of the book have been modified by this complex update. More...
void	add (MamdaOrderBookEntry *entry, MamdaOrderBookPriceLevel *level, mama_quantity_t plDeltaSize, MamdaOrderBookPriceLevel::Action plAction, MamdaOrderBookEntry::Action entryAction)
	Add a basic delta. More...
void	add (const MamdaOrderBookBasicDelta &delta)
	Add a basic delta. More...
void	setOrderBook (MamdaOrderBook *book)
	Set the MamdaOrderBook object to which this delta belongs. More...
MamdaOrderBook *	getOrderBook () const
	Get the MamdaOrderBook object to which this delta belongs. More...
mama_size_t	getSize () const
	Return the number of simple deltas in this complex delta. More...
void	fixPriceLevelActions ()
	Fix up price level actions (temporary workaround for problem). More...
void	setConflateDeltas (bool conflate)
	Whether to conflate the order book deltas. More...
bool	getSendImmediately ()
	Get sendImmediately. More...
void	setProcessEntries (bool processEntries)
	Set whether we are interested in "entry level" information at all. More...
void	dump (ostream &output) const
	Dump the complex update to the output stream. More...
iterator	begin ()
const_iterator	begin () const
iterator	end ()
const_iterator	end () const
Public Member Functions inherited from Wombat::MamdaBasicEvent
virtual	~MamdaBasicEvent ()
	Destructor. More...

Additional Inherited Members
Public Types inherited from Wombat::MamdaOrderBookBasicDeltaList
enum	ModifiedSides { MOD_SIDES_NONE = 0, MOD_SIDES_BID = 1, MOD_SIDES_ASK = 2, MOD_SIDES_BID_AND_ASK = 3 }
Public Attributes inherited from Wombat::MamdaOrderBookBasicDeltaList
const typedef iterator	const_iterator

Detailed Description

MamdaOrderBookConcreteComplexDelta is a class that saves information about a complex order book delta.

A complex delta involves multiple entries and/or price levels. For example, a modified order may involve a price change that means moving an entry from one price level to another. A complex delta is made up of several simple deltas, which can be iterated over by methods provided in the class.

Constructor & Destructor Documentation

MamdaOrderBookConcreteComplexDelta()

Wombat::MamdaOrderBookConcreteComplexDelta::MamdaOrderBookConcreteComplexDelta

(

)

~MamdaOrderBookConcreteComplexDelta()

virtual Wombat::MamdaOrderBookConcreteComplexDelta::~MamdaOrderBookConcreteComplexDelta ( )

virtual

Member Function Documentation

getSymbol()

virtual const char* Wombat::MamdaOrderBookConcreteComplexDelta::getSymbol ( ) const

virtual

Get the instruments string symbol.

Returns

Symbol. This is the "well-known" symbol for the security, including any symbology mapping performed by the publisher.

Implements Wombat::MamdaBasicEvent.

getPartId()

virtual const char* Wombat::MamdaOrderBookConcreteComplexDelta::getPartId ( ) const

virtual

Get the participant identifier.

Returns

Participant ID. This may be an exchange identifier, a market maker ID, etc., or NULL (if this is not related to any specific participant).

Implements Wombat::MamdaBasicEvent.

getEventSeqNum()

virtual mama_seqnum_t Wombat::MamdaOrderBookConcreteComplexDelta::getEventSeqNum ( ) const

virtual

Get the event sequence number.

Returns

Source sequence number. The exchange generated sequence number.

Implements Wombat::MamdaBasicEvent.

getEventTime()

virtual const MamaDateTime& Wombat::MamdaOrderBookConcreteComplexDelta::getEventTime ( ) const

virtual

Get the event time.

Returns

Event time. Typically, when the event actually occurred. This is often the same as the "source time", because many feeds do not distinguish between the actual event time and when the exchange sent the message.

Implements Wombat::MamdaBasicEvent.

getSrcTime()

virtual const MamaDateTime& Wombat::MamdaOrderBookConcreteComplexDelta::getSrcTime ( ) const

virtual

Get the source time.

Returns

Source time. Typically, the exchange generated feed time stamp. This is often the same as the "event time", because many feeds do not distinguish between the actual event time and when the exchange sent the message.

Implements Wombat::MamdaBasicEvent.

getActivityTime()

virtual const MamaDateTime& Wombat::MamdaOrderBookConcreteComplexDelta::getActivityTime ( ) const

virtual

Get the activity time.

Returns

Activity time. A feed handler generated time stamp representing when the data item was last updated.

Implements Wombat::MamdaBasicEvent.

getLineTime()

virtual const MamaDateTime& Wombat::MamdaOrderBookConcreteComplexDelta::getLineTime ( ) const

virtual

Get the line time.

Returns

Line time. A feed handler (or similar publisher) time stamp representing the time that such publisher received the update message pertaining to the event. If clocks are properly synchronized and the source time (see above) is accurate enough, then the difference between the source time and line time is the latency between the data source and the feed handler.

Implements Wombat::MamdaBasicEvent.

getSendTime()

virtual const MamaDateTime& Wombat::MamdaOrderBookConcreteComplexDelta::getSendTime ( ) const

virtual

Get the send time.

Returns

Send time. A feed handler (or similar publisher) time stamp representing the time that such publisher sent the current message. The difference between the line time and send time is the latency within the feed handler itself. Also, if clocks are properly synchronized then the difference between the send time and current time is the latency within the market data distribution framework (i.e. MAMA and the underlying middleware). See MAMA API: MamaDateTime::currentTime()).

Implements Wombat::MamdaBasicEvent.

getMsgQual()

virtual const MamaMsgQual& Wombat::MamdaOrderBookConcreteComplexDelta::getMsgQual ( ) const

virtual

Get the message qualifier.

Returns

Message Qualifier. The message qualifier provides information in relation to messages duplicate, delayed or out-of-sequence status.

Implements Wombat::MamdaBasicEvent.

getSymbolFieldState()

virtual MamdaFieldState Wombat::MamdaOrderBookConcreteComplexDelta::getSymbolFieldState ( ) const

virtual

Get the string symbol field state.

Returns

MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

getPartIdFieldState()

virtual MamdaFieldState Wombat::MamdaOrderBookConcreteComplexDelta::getPartIdFieldState ( ) const

virtual

Get the participant identifier field state.

Returns

MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

getEventSeqNumFieldState()

virtual MamdaFieldState Wombat::MamdaOrderBookConcreteComplexDelta::getEventSeqNumFieldState ( ) const

virtual

Get the event sequence number field state.

Returns

MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

getEventTimeFieldState()

virtual MamdaFieldState Wombat::MamdaOrderBookConcreteComplexDelta::getEventTimeFieldState ( ) const

virtual

Get the event time field state.

Returns

MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

getSrcTimeFieldState()

virtual MamdaFieldState Wombat::MamdaOrderBookConcreteComplexDelta::getSrcTimeFieldState ( ) const

virtual

Get the source time field state.

Returns

MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

getActivityTimeFieldState()

virtual MamdaFieldState Wombat::MamdaOrderBookConcreteComplexDelta::getActivityTimeFieldState ( ) const

virtual

Get the activity time field state.

Returns

MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

getLineTimeFieldState()

virtual MamdaFieldState Wombat::MamdaOrderBookConcreteComplexDelta::getLineTimeFieldState ( ) const

virtual

Get the line time of the update.

Returns

MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

getSendTimeFieldState()

virtual MamdaFieldState Wombat::MamdaOrderBookConcreteComplexDelta::getSendTimeFieldState ( ) const

virtual

Get the send time field state.

Returns

MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

getMsgQualFieldState()

virtual MamdaFieldState Wombat::MamdaOrderBookConcreteComplexDelta::getMsgQualFieldState ( ) const

virtual

Get the message qualifier field state.

Returns

Message Qualifier. The message qualifier provides information in relation to messages duplicate, delayed or out-of-sequence status.

Implements Wombat::MamdaBasicEvent.

setSymbol()

virtual void Wombat::MamdaOrderBookConcreteComplexDelta::setSymbol ( const char *  value )

virtual

setPartId()

virtual void Wombat::MamdaOrderBookConcreteComplexDelta::setPartId ( const char *  value )

virtual

setEventSeqNum()

virtual void Wombat::MamdaOrderBookConcreteComplexDelta::setEventSeqNum ( mama_seqnum_t  value )

virtual

setEventTime()

virtual void Wombat::MamdaOrderBookConcreteComplexDelta::setEventTime ( const MamaDateTime &  value )

virtual

setSrcTime()

virtual void Wombat::MamdaOrderBookConcreteComplexDelta::setSrcTime ( const MamaDateTime &  value )

virtual

setActivityTime()

virtual void Wombat::MamdaOrderBookConcreteComplexDelta::setActivityTime ( const MamaDateTime &  value )

virtual

setLineTime()

virtual void Wombat::MamdaOrderBookConcreteComplexDelta::setLineTime ( const MamaDateTime &  value )

virtual

setSendTime()

virtual void Wombat::MamdaOrderBookConcreteComplexDelta::setSendTime ( const MamaDateTime &  value )

virtual

setMsgQual()

virtual void Wombat::MamdaOrderBookConcreteComplexDelta::setMsgQual ( const MamaMsgQual &  value )

virtual

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

• MamdaOrderBookConcreteComplexDelta.h