OpenMAMA
Wombat::MamdaOrderBookHandler Class Referenceabstract

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:
MamdaOrderBookDepthFilter

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

virtual Wombat::MamdaOrderBookHandler::~MamdaOrderBookHandler ( )
virtual
172 {};

Member Function Documentation

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
subscriptionThe subscription which received the update.
listenerThe order book listener that invoked this callback.
msgThe MamaMsg that triggered this invocation.
deltaAlways NULL. Reserved for future use.
eventThe order book recap event.
bookThe current full book.

Implemented in MamdaOrderBookDepthFilter.

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
subscriptionThe MamdaSubscription handle.
listenerThe order book listener that received the update.
msgThe MamaMsg that triggered this invocation.
eventDetails of the delta event.
bookThe current full book (after applying the delta).

Implemented in MamdaOrderBookDepthFilter.

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
subscriptionThe MamdaSubscription handle.
listenerThe order book listener that received the update.
msgThe MamaMsg that triggered this invocation.
eventDetails of the the delta.
bookThe current full book (after applying the delta).

Implemented in MamdaOrderBookDepthFilter.

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

122  {};
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

134  {};
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
subscriptionThe MamdaSubscription handle.
listenerThe order book listener that caused the clear.
msgThe MamaMsg that triggered this invocation.
eventThe clear event.
bookThe current state of the book (empty).

Implemented in MamdaOrderBookDepthFilter.

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
subscriptionThe MamdaSubscription handle.
listenerThe order book listener that detected the gap.
msgThe MamaMsg that triggered this invocation.
eventProvides the sequence number gap range.
bookThe current state of the book.

Implemented in MamdaOrderBookDepthFilter.


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


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