Wombat::MamdaOrderBookHandler Class Reference

MamdaOrderBookHandler is an interface for applications that want to have an easy way to handle order book updates. More...

#include <MamdaOrderBookHandler.h>

Inheritance diagram for Wombat::MamdaOrderBookHandler:

Public Member Functions
virtual void	onBookRecap (MamdaSubscription *subscription, MamdaOrderBookListener &listener, const MamaMsg *msg, const MamdaOrderBookComplexDelta *delta, const MamdaOrderBookRecap &event, const MamdaOrderBook &book)=0
	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)=0
	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)=0
	Method invoked when an order book delta is reported. More...
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 void	onBookClear (MamdaSubscription *subscription, MamdaOrderBookListener &listener, const MamaMsg *msg, const MamdaOrderBookClear &event, const MamdaOrderBook &book)=0
	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)=0
	Method invoked when a gap in order book updates is discovered. More...
virtual	~MamdaOrderBookHandler ()

Detailed Description

MamdaOrderBookHandler is an interface for applications that want to have an easy way to handle order book updates.

The interface defines callback methods for different types of orderBook-related events: order book recaps and updates.

Constructor & Destructor Documentation

~MamdaOrderBookHandler()

virtual Wombat::MamdaOrderBookHandler::~MamdaOrderBookHandler ( )

virtual

{};

Member Function Documentation

onBookRecap()

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

pure 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.

Implemented in MamdaOrderBookDepthFilter.

onBookDelta()

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

pure 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).

Implemented in MamdaOrderBookDepthFilter.

onBookComplexDelta()

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

pure 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).

Implemented in MamdaOrderBookDepthFilter.

onMarketOrderDelta()

virtual void Wombat::MamdaOrderBookHandler::onMarketOrderDelta ( MamdaSubscription *  subscription, MamdaOrderBookListener &  listener, const MamaMsg *  msg, const MamdaOrderBookSimpleDelta &  event, const MamdaOrderBook &  book  )

virtual

Deprecated.

Market Order updates now available in the onBookDelta callback Obtaining the price level from the Delta and calling getOrderType() can be used to determine if it is a LIMIT or MARKET level

                                                     {};

onMarketOrderComplexDelta()

virtual void Wombat::MamdaOrderBookHandler::onMarketOrderComplexDelta ( MamdaSubscription *  subscription, MamdaOrderBookListener &  listener, const MamaMsg *  msg, const MamdaOrderBookComplexDelta &  event, const MamdaOrderBook &  book  )

virtual

Deprecated.

Market Order updates now available in the onBookDelta callback Obtaining the price level from the Delta and calling getOrderType() can be used to determine if it is a LIMIT or MARKET level

                                                     {};

onBookClear()

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

pure 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).

Implemented in MamdaOrderBookDepthFilter.

onBookGap()

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

pure 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.

Implemented in MamdaOrderBookDepthFilter.

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

• MamdaOrderBookHandler.h