/usr/include/mamda/MamdaOrderBookHandler.h is in libmamda-dev 2.2.2.1-10.
This file is owned by root:root, with mode 0o644.
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*
* OpenMAMA: The open middleware agnostic messaging API
* Copyright (C) 2011 NYSE Technologies, Inc.
*
* This library is free software; you can redistribute it and/or
* modify it under the terms of the GNU Lesser General Public
* License as published by the Free Software Foundation; either
* version 2.1 of the License, or (at your option) any later version.
*
* This library is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
* Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* License along with this library; if not, write to the Free Software
* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
* 02110-1301 USA
*/
#ifndef MamdaOrderBookHandlerH
#define MamdaOrderBookHandlerH
#include <mamda/MamdaOptionalConfig.h>
#include <mamda/MamdaOrderBookListener.h>
#include <mamda/MamdaOrderBookSimpleDelta.h>
#include <mamda/MamdaOrderBookComplexDelta.h>
#include <mamda/MamdaOrderBookRecap.h>
#include <mamda/MamdaOrderBookClear.h>
#include <mamda/MamdaOrderBookGap.h>
#include <mamda/MamdaOrderBookComplexDelta.h>
namespace Wombat
{
class MamdaSubscription;
/**
* 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.
*/
class MAMDAOPTExpDLL MamdaOrderBookHandler
{
public:
/**
* 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.
*
* @param subscription The subscription which received the update.
* @param listener The order book listener that invoked this
* callback.
* @param msg The MamaMsg that triggered this invocation.
* @param delta Always NULL. Reserved for future use.
* @param event The order book recap event.
* @param book The current full book.
*/
virtual void onBookRecap (
MamdaSubscription* subscription,
MamdaOrderBookListener& listener,
const MamaMsg* msg,
const MamdaOrderBookComplexDelta* delta,
const MamdaOrderBookRecap& event,
const MamdaOrderBook& book) = 0;
/**
* 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.
*
* @param subscription The MamdaSubscription handle.
* @param listener The order book listener that received the update.
* @param msg The MamaMsg that triggered this invocation.
* @param event Details of the delta event.
* @param book The current full book (after applying the delta).
*/
virtual void onBookDelta (
MamdaSubscription* subscription,
MamdaOrderBookListener& listener,
const MamaMsg* msg,
const MamdaOrderBookSimpleDelta& event,
const MamdaOrderBook& book) = 0;
/**
* 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.
*
* @param subscription The MamdaSubscription handle.
* @param listener The order book listener that received the update.
* @param msg The MamaMsg that triggered this invocation.
* @param event Details of the the delta.
* @param book The current full book (after applying the delta).
*/
virtual void onBookComplexDelta (
MamdaSubscription* subscription,
MamdaOrderBookListener& listener,
const MamaMsg* msg,
const MamdaOrderBookComplexDelta& event,
const MamdaOrderBook& book) = 0;
/**
* 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
*/
virtual void onMarketOrderDelta (
MamdaSubscription* subscription,
MamdaOrderBookListener& listener,
const MamaMsg* msg,
const MamdaOrderBookSimpleDelta& event,
const MamdaOrderBook& book) {};
/**
* 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
*/
virtual void onMarketOrderComplexDelta (
MamdaSubscription* subscription,
MamdaOrderBookListener& listener,
const MamaMsg* msg,
const MamdaOrderBookComplexDelta& event,
const MamdaOrderBook& book) {};
/**
* Method invoked when an order book is cleared.
*
* @param subscription The MamdaSubscription handle.
* @param listener The order book listener that caused the clear.
* @param msg The MamaMsg that triggered this invocation.
* @param event The clear event.
* @param book The current state of the book (empty).
*/
virtual void onBookClear (
MamdaSubscription* subscription,
MamdaOrderBookListener& listener,
const MamaMsg* msg,
const MamdaOrderBookClear& event,
const MamdaOrderBook& book) = 0;
/**
* 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.
*
* @param subscription The MamdaSubscription handle.
* @param listener The order book listener that detected the gap.
* @param msg The MamaMsg that triggered this invocation.
* @param event Provides the sequence number gap range.
* @param book The current state of the book.
*/
virtual void onBookGap (
MamdaSubscription* subscription,
MamdaOrderBookListener& listener,
const MamaMsg* msg,
const MamdaOrderBookGap& event,
const MamdaOrderBook& book) = 0;
virtual ~MamdaOrderBookHandler() {};
};
} // namespace
#endif // MamdaOrderBookHandlerH
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