/usr/include/mamda/MamdaOrderBookPriceLevel.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 MamdaOrderBookPriceLevelH
#define MamdaOrderBookPriceLevelH
#include <mamda/MamdaOptionalConfig.h>
#include <mamda/MamdaOrderBookTypes.h>
#include <mamda/MamdaOrderBookEntryFilter.h>
#include <mama/mamacpp.h>
#include <stdlib.h>
#include <string.h>
namespace Wombat
{
class MamaSource;
class MamdaOrderBook;
class MamdaOrderBookEntry;
class MamdaOrderBookBasicDeltaList;
/**
* MamdaOrderBookPriceLevel is a class that provides a price level
* type for order books.
*/
class MAMDAOPTExpDLL MamdaOrderBookPriceLevel
{
public:
/**
* An enumeration for price level actions. Price level actions
* differ from entry actions because, for example, a price level
* message with ACTION_UPDATE may consist of entries with
* ACTION_ADD, ACTION_UPDATE or ACTION_DELETE.
*/
enum Action
{
MAMDA_BOOK_ACTION_ADD = MamdaOrderBookTypes::MAMDA_BOOK_ACTION_ADD,
MAMDA_BOOK_ACTION_UPDATE = MamdaOrderBookTypes::MAMDA_BOOK_ACTION_UPDATE,
MAMDA_BOOK_ACTION_DELETE = MamdaOrderBookTypes::MAMDA_BOOK_ACTION_DELETE,
MAMDA_BOOK_ACTION_UNKNOWN = MamdaOrderBookTypes::MAMDA_BOOK_ACTION_UNKNOWN
};
/**
* An enumeration for the side order book side. "Bid" (or "buy")
* orders occur on one side and "ask" (or "sell") orders occur on
* the other.
*/
enum Side
{
MAMDA_BOOK_SIDE_BID = MamdaOrderBookTypes::MAMDA_BOOK_SIDE_BID,
MAMDA_BOOK_SIDE_ASK = MamdaOrderBookTypes::MAMDA_BOOK_SIDE_ASK,
MAMDA_BOOK_SIDE_UNKNOWN = MamdaOrderBookTypes::MAMDA_BOOK_SIDE_UNKNOWN
};
/**
* An enumeration for a reason for a change. Some of the values
* of Reason can mean the same thing, as far as their affect on
* the order book. If possible, a feed will send MODIFY, CANCEL or
* TRADE actions so that downstream applications that are
* interested in such data can handle it; other applications can
* treat such actions in the same way as an UPDATE action (or as a
* DELETE action if the size is zero).
*/
enum Reason
{
MAMDA_BOOK_REASON_MODIFY = MamdaOrderBookTypes::MAMDA_BOOK_REASON_MODIFY,
MAMDA_BOOK_REASON_CANCEL = MamdaOrderBookTypes::MAMDA_BOOK_REASON_CANCEL,
MAMDA_BOOK_REASON_TRADE = MamdaOrderBookTypes::MAMDA_BOOK_REASON_TRADE,
MAMDA_BOOK_REASON_CLOSE = MamdaOrderBookTypes::MAMDA_BOOK_REASON_CLOSE,
MAMDA_BOOK_REASON_DROP = MamdaOrderBookTypes::MAMDA_BOOK_REASON_DROP,
MAMDA_BOOK_REASON_MISC = MamdaOrderBookTypes::MAMDA_BOOK_REASON_MISC,
MAMDA_BOOK_REASON_UNKNOWN = MamdaOrderBookTypes::MAMDA_BOOK_REASON_UNKNOWN
};
/**
* An enumeration for the type of level. "Limit" level orders are set at a
* specific price. "Market" level orders are set at the current market price.
*/
enum OrderType
{
MAMDA_BOOK_LEVEL_LIMIT = MamdaOrderBookTypes::MAMDA_BOOK_LEVEL_LIMIT,
MAMDA_BOOK_LEVEL_MARKET = MamdaOrderBookTypes::MAMDA_BOOK_LEVEL_MARKET,
MAMDA_BOOK_LEVEL_UNKNOWN = MamdaOrderBookTypes::MAMDA_BOOK_LEVEL_UNKNOWN
};
MamdaOrderBookPriceLevel ();
/**
* Copy constructor. Note that the associated order book of the
* original copy is not copied.
*/
MamdaOrderBookPriceLevel (const MamdaOrderBookPriceLevel& copy);
/**
* Constructor initializing just the price and side.
*/
MamdaOrderBookPriceLevel (double price,
Side side);
MamdaOrderBookPriceLevel (MamaPrice& price,
Side side);
~MamdaOrderBookPriceLevel ();
/**
* Assignment operator. Note that the associated order book of
* the original copy is not copied.
*/
MamdaOrderBookPriceLevel& operator= (const MamdaOrderBookPriceLevel& rhs);
/**
* Copy a price level. Note that the associated order book of
* the original copy is not copied.
*/
void copy (const MamdaOrderBookPriceLevel& rhs);
/**
* Copy a price level details only. No entries are copied.
*
*/
void copyLevelOnly (const MamdaOrderBookPriceLevel& rhs);
/**
* Add an entry to the level (without any sanity checking).
*/
void addEntry (MamdaOrderBookEntry* entry);
/**
* Update an entry by copying the information from another entry.
*/
void updateEntry (const MamdaOrderBookEntry& entry);
/**
* Remove an entry based on the entry ID information from another entry.
*/
void removeEntryById (const MamdaOrderBookEntry& entry);
/**
* Remove this precise entry (i.e., based on this object being the
* exact object in the level).
*/
void removeEntry (const MamdaOrderBookEntry* entry);
/**
* Add all entries from another price level into this level.
*
* @param level The price level to add.
* @param filter Filter to use when adding the entries
* @param delta An optional delta to collect for the deleted entries.
*/
void addEntriesFromLevel (
const MamdaOrderBookPriceLevel* level,
MamdaOrderBookEntryFilter* filter,
MamdaOrderBookBasicDeltaList* delta);
/**
* Delete all entries in this price level that have "source" as
* its MamaSource.
*
* @param source The source to match.
* @param delta An optional delta to collect for the deleted entries.
*/
void deleteEntriesFromSource (
const MamaSource* source,
MamdaOrderBookBasicDeltaList* delta);
/**
* Re-evaluate the price level. This would be performed after the
* status of sources and/or subsources of an "aggregated order
* book" (i.e., a book built from multiple sources) have changed.
*
* @return Whether the book info changed based on the re-evaluation.
*/
bool reevaluate ();
// The following methods are intended to be used internally (e.g., by
// MamdaOrderBookListener).
void clear ();
void setPrice (double price);
void setPrice (MamaPrice& price);
void setSize (mama_quantity_t size);
void setSizeChange (mama_quantity_t sizeChange);
void setNumEntries (mama_u32_t numEntries);
void setSide (Side side);
void setAction (Action action);
void setTime (const MamaDateTime& time);
void setDetails (const MamdaOrderBookPriceLevel& rhs);
/**
* Mark everything in this price level as deleted, including
* entries.
*/
void markAllDeleted ();
void setAsDifference (const MamdaOrderBookPriceLevel& lhs,
const MamdaOrderBookPriceLevel& rhs);
/**
* Return the price for this level.
*
* @return The price for this level.
*/
double getPrice () const;
MamaPrice getMamaPrice () const;
/**
* Return the total size (across all entries) for this level.
*
* @return The total size for this level.
*/
mama_quantity_t getSize () const;
/**
* Return the size change for this (presumably delta) level. This
* attribute is only of interest for delta order books. For full
* order books, this field will be equal to the size of the price
* level.
*
* @return The changed size for this level.
*/
mama_quantity_t getSizeChange () const;
/**
* Return the actual number of entries for this level. The actual
* number of entries may not equate to the number of entries that
* can be iterated over if:
* (a) the feed does not provide the actual entries, or
* (b) the price level is just a delta.
*
* @return The actual number of entries for this level.
*/
mama_u32_t getNumEntries () const;
/**
* Return the number of entries that can be iterated over
* @return The number of entries that can be iterated over
*/
mama_u32_t getNumEntriesTotal () const;
/**
* Return whether there are no entries for this level.
*
* @return Whether there are no entries for this level.
*/
bool empty () const;
/**
* Return the side (bid/ask) of the book for this level.
*
* @return The side of the book for this level.
*/
Side getSide () const;
/**
* Return the action for this price level. All price levels for a
* full book are marked with ACTION_ADD.
*
* @return The action for this level.
*/
Action getAction () const;
/**
* Return the time stamp for when the price level was last updated.
*
* @return The time stamp for when the price level was last updated.
*/
const MamaDateTime& getTime () const;
/**
* Equality operator. Two price levels are equal if their members
* and price level entries are identical.
*
* @param rhs The order book price level to compare this level to.
*
* @return Whether the price levels are equal.
*/
bool operator== (const MamdaOrderBookPriceLevel& rhs) const;
/**
* Non-equality operator. Two price levels are equal if their
* members and price level entries are identical.
*
* @param rhs The order book price level to compare this level to.
*
* @return Whether the price levels are unequal.
*/
bool operator!= (const MamdaOrderBookPriceLevel& rhs) const
{ return ! operator== (rhs); }
/**
* Set the MamdaOrderBook object to which this price level
* belongs. This method is invoked internally, by the MAMDA API,
* when a price level is added to a book.
*
* @param book The order book to be associated with
*/
void setOrderBook (MamdaOrderBook* book);
/**
* Get the MamdaOrderBook object to which this entry belongs.
*
* @return The order book currently associated with this price level.
*/
MamdaOrderBook* getOrderBook() const;
/**
* Get the symbol for this entry, if possible. This can only be
* done if the price level is part of an order book. NULL is
* returned if no symbol can be found.
*
* @return The symbol or NULL.
*/
const char* getSymbol() const;
/**
* Return the order book entry with ID "id" in the price level or
* NULL if not found.
*
* @param id The ID of the order book entry.
* @return The order book entry found or NULL if not found.
*/
MamdaOrderBookEntry* findEntry (
const char* id) const;
/**
* Return the order book entry with ID "id" in the price level,
* creating one if necessary.
*
* @param id The ID of the order book entry.
* @return The order book entry found or created.
*/
MamdaOrderBookEntry* findOrCreateEntry (
const char* id);
/**
* Return the order book entry with ID "id" in the price level,
* creating one if necessary.
*
* @param id The ID of the order book entry.
* @param newEntry Boolean reference indicating entry creation.
* @return The order book entry found or created.
*/
MamdaOrderBookEntry* findOrCreateEntry (
const char* id,
bool& newEntry);
/**
* Return the order book entry at position "pos" in the price level.
*
* @param pos The position of the order book entry.
* @return The order book entry or NULL if not found.
*/
MamdaOrderBookEntry* getEntryAtPosition (
mama_u32_t pos) const;
/**
* Set the order book price level closure handle.
*
* @param closure The closure.
*/
void setClosure (void* closure);
/**
* Get the order book price level closure handle.
*
* @return The closure.
*/
void* getClosure () const;
/**
* Return the order type of the level.
* @return The order type of the level.
*/
OrderType getOrderType () const;
/**
* Set the order type for this level.
* @param orderType The order type of the level.
*/
void setOrderType (OrderType orderType);
/**
* Order book price level equality verification. A
* MamdaOrderBookException is thrown if the price levels are not
* equal, along with the reason for the inequality.
*
* @param rhs The order book price level to compare this level to.
*
* @throws <MamdaOrderBookException> If error encountered during book
* processing.
*/
void assertEqual (const MamdaOrderBookPriceLevel& rhs) const;
class MAMDAOPTExpDLL iterator
{
protected:
friend class MamdaOrderBookPriceLevel;
struct iteratorImpl;
iteratorImpl& mImpl;
public:
iterator ();
iterator (const iterator& copy);
iterator (const iteratorImpl& copy);
~iterator ();
iterator& operator= (const iterator& rhs);
iterator& operator++ ();
const iterator& operator++ () const;
bool operator== (const iterator& rhs) const;
bool operator!= (const iterator& rhs) const;
MamdaOrderBookEntry* operator* ();
const MamdaOrderBookEntry* operator* () const;
};
typedef const iterator const_iterator;
iterator begin ();
const_iterator begin () const;
iterator& begin (iterator& reuse);
const_iterator& begin (const_iterator& reuse) const;
iterator end ();
const_iterator end () const;
iterator& end (iterator& reuse);
const_iterator& end (const_iterator& reuse) const;
iterator findEntryAfter (iterator& start,
const char* id);
const_iterator findEntryAfter (const_iterator& start,
const char* id) const;
/**
* Enforce strict checking of order book modifications (at the
* expense of some performance). This setting is automatically
* updated by MamdaOrderBook::setStrictChecking().
*
* @param strict Whether strict checking of modification is enabled.
*/
static void setStrictChecking (bool strict);
#ifndef __sun
static bool sortEntriesByTime;
#endif
private:
struct MamdaOrderBookPriceLevelImpl;
MamdaOrderBookPriceLevelImpl& mImpl;
};
} // namespace
#endif // MamdaOrderBookPriceLevelH
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