com.ddfplus.messages.Data3BOrderBook Maven / Gradle / Ivy
/**
* Copyright (C) 2004 - 2015 by Barchart.com, Inc. All Rights Reserved.
*
* This software is the proprietary information of Barchart.com, Inc.
* Use is subject to license terms.
*/
package com.ddfplus.messages;
import com.ddfplus.codec.Codec;
import com.ddfplus.enums.QuoteType;
/**
* ddfplus record 3, subrecord B.
*
* These are Market Depth or "Book" messages. Market Depth is a series of bids
* and asks with corresponding sizes. Normally, bids and asks are the "best" bid
* and "best" ask. This is also known as the "top of the book". The book itself
* also shows the second best bid, the second best ask, the third best, etc. -
* if available. This is commonly referred to as the "order book", or
* just "book".
*
* The entries in this message are ordered best downward, with best being in
* array index 0. The indexes of the ask prices correspond with the indexed of
* the ask sizes, and the indexes of the bid prices correspond with the indexes
* of the bid sizes.
*/
public class Data3BOrderBook extends AbstractMsgBaseMarket implements DdfMarketDepth {
/** The _ask count. */
public volatile int _askCount = 0;
/** The _ask prices. */
public final float[] _askPrices = new float[10];
/** The _ask sizes. */
public final int[] _askSizes = new int[10];
/** The _bid count. */
public volatile int _bidCount = 0;
/** The _bid prices. */
public final float[] _bidPrices = new float[10];
/** The _bid sizes. */
public final int[] _bidSizes = new int[10];
/**
* Instantiates a new data3 b order book.
*
* @param message
* the message
*/
Data3BOrderBook(byte[] message) {
super(message);
}
/**
* Gets the ask count.
*
* @return the number of ask entries in the book.
*/
public int getAskCount() {
return _askCount;
}
/**
* Gets the bid count.
*
* @return the number of bid (offer) entries in the book.
*/
public int getBidCount() {
return _bidCount;
}
/**
* Returns the float[] array of ask prices. Note that this
* array always has a fixed length. Use the #getAskCount() method to
* determine which entries are valid.
*
* @return the indexed array of ask prices
*/
public float[] getAskPrices() {
return _askPrices;
}
/**
* Returns the int[] array of ask sizes. Note that this array
* always has a fixed length. Use the #getAskCount() method to determine
* which entries are valid.
*
* @return the indexed array of ask sizes
*/
public int[] getAskSizes() {
return _askSizes;
}
/**
* Returns the float[] array of bid prices. Note that this
* array always has a fixed length. Use the #getBidCount() method to
* determine which entries are valid.
*
* @return the indexed array of bid prices
*/
public float[] getBidPrices() {
return _bidPrices;
}
/**
* Returns the int[] array of bid sizes. Note that this array
* always has a fixed length. Use the #getBidCount() method to determine
* which entries are valid.
*
* @return the indexed array of ask prices
*/
public int[] getBidSizes() {
return _bidSizes;
}
/**
* Parses the.
*
* @param ba
* the ba
* @return the data3 b order book
*/
public static Data3BOrderBook Parse(byte[] ba) {
// 3CLZ6,BAZ33,9517K1,9514L1,9530M1,9615J1,9618I1,9609H1
Data3BOrderBook msg = new Data3BOrderBook(ba);
int pos = Codec.getIndexOf(ba, ',', 0);
msg._symbol = Codec.parseStringValue(ba, 2, pos - 2);
msg.setBaseCode((char) ba[pos + 3]);
msg._exchange = (char) ba[pos + 4];
msg._record = (char) ba[1];
msg._subrecord = (char) ba[pos + 1];
if ((char) ba[pos + 5] == 'A')
msg._bidCount = 10;
else
msg._bidCount = ((int) ba[pos + 5]) - 48;
if ((char) ba[pos + 6] == 'A')
msg._askCount = 10;
else
msg._askCount = ((int) ba[pos + 6]) - 48;
if (ba.length < pos + 9)
return msg;
pos = pos + 8;
boolean more = true;
while (more) {
int pos2 = Codec.getIndexOf(ba, ',', pos);
if (pos2 == -1) {
pos2 = ba.length - 1;
more = false;
}
int xx = 0;
for (xx = pos; xx < pos2; xx++) {
if ((ba[xx] >= 75) && (ba[xx] <= 90)) {
// Bids are denoted positionally K .. T
int i = ba[xx] - 75;
msg._bidPrices[i] = Codec.parseDDFPriceValue(ba, pos, xx - pos, msg._basecode);
msg._bidSizes[i] = Codec.parseIntValue(ba, xx + 1, pos2 - xx - 1);
} else if ((ba[xx] >= 65) && (ba[xx] <= 74)) {
int i = 9 - (ba[xx] - 65);
msg._askPrices[i] = Codec.parseDDFPriceValue(ba, pos, xx - pos, msg._basecode);
msg._askSizes[i] = Codec.parseIntValue(ba, xx + 1, pos2 - xx - 1);
}
}
pos = pos2 + 1;
}
return msg;
}
public QuoteType getQuoteType() {
return QuoteType.BOOK;
}
}