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/**
* 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.db;
import com.ddfplus.messages.DdfMarketDepth;
import com.ddfplus.util.ParserHelper;
import com.ddfplus.util.XMLNode;
/**
* The BookQuote encapsulates the market depth for a given symbol. The market
* depth (or "book") is the currently available set of bids, bid sizes, asks,
* and ask sizes at prices above and below the market. Note that the bid and ask
* in quote object is known as the "top of the book." Another term for the top
* of the book is "Level One", whereas the entire market depth (this object) is
* commonly referred to as "Level Two".
*/
public class BookQuote implements java.io.Serializable {
static final long serialVersionUID = 8023594349583363700L;
protected final String symbol;
protected volatile int askcount = 0;
protected volatile int bidcount = 0;
protected volatile float[] askprices = new float[10];
protected volatile int[] asksizes = new int[10];
protected volatile float[] bidprices = new float[10];
protected volatile int[] bidsizes = new int[10];
protected volatile char basecode = '\0';
protected volatile long timestamp = 0L;
public BookQuote(String symbol) {
this.symbol = symbol;
}
/**
* Returns the number of ask prices / sizes available in the book.
*
* @return Number of Ask Sizes
*/
public int getAskCount() {
return askcount;
}
/**
* Returns a two indexed Object array, where the first entry is an array of
* floating point values representing the ask prices, and the second entry
* is an array of integer values representing the sizes of the asking
* prices.
*
* @return array of prices and sizes
*/
public Object[] getAskData() {
Object[] o = new Object[2];
o[0] = askprices;
o[1] = asksizes;
return o;
}
/**
* Returns the number of bid prices / sizes available in the book.
*
* @return Number of bid prices/sizes
*/
public int getBidCount() {
return bidcount;
}
/**
* Returns a two indexed Object array, where the first entry is an array of
* floating point values representing the bid prices, and the second entry
* is an array of integer values representing the sizes of the bid prices.
*
* @return array of prices and sizes
*/
public Object[] getBidData() {
Object[] o = new Object[2];
o[0] = bidprices;
o[1] = bidsizes;
return o;
}
/**
* Returns the symbol of the BookQuote.
*
* @return symbol
*/
public String getSymbol() {
return symbol;
}
/**
* Returns the Base Code of the underlying quote object.
*
* @return base code
*/
public char getBaseCode() {
return basecode;
}
/**
* Sets the Base Code od the underlying data. Note that this method is
* rarely called by end-user applications, and is a public method for the
* ddf api purposes only.
*
*
* @param c
* Base Code
*/
public void setBaseCode(char c) {
if (c != '?')
basecode = c;
}
/**
* Timestamp in ms of when message is received.
*
* @return long The timestamp of the message in milliseconds.
*/
public long getTimeInMillis() {
return timestamp;
}
/**
* Converts this BookQuote into an XMLNode for text serialization purposes.
*
* @return XMLNode
*/
public XMLNode toXMLNode() {
XMLNode node = new XMLNode("BOOK");
node.setAttribute("symbol", symbol);
node.setAttribute("basecode", "" + basecode);
node.setAttribute("askcount", "" + askcount);
node.setAttribute("bidcount", "" + bidcount);
int uc = SymbolInfo.ddfuc2bb(basecode);
StringBuilder sb1 = new StringBuilder();
StringBuilder sb2 = new StringBuilder();
for (int i = 0; i < askcount; i++) {
sb1.append("," + Integer.toString(ParserHelper.float2int(uc, askprices[i])));
sb2.append("," + "" + asksizes[i]);
}
if (sb1.length() > 0)
node.setAttribute("askprices", sb1.substring(1));
if (sb2.length() > 0)
node.setAttribute("asksizes", sb2.substring(1));
sb1 = new StringBuilder();
sb2 = new StringBuilder();
for (int i = 0; i < bidcount; i++) {
sb1.append("," + Integer.toString(ParserHelper.float2int(uc, bidprices[i])));
sb2.append("," + "" + bidsizes[i]);
}
if (sb1.length() > 0)
node.setAttribute("bidprices", sb1.substring(1));
if (sb2.length() > 0)
node.setAttribute("bidsizes", sb2.substring(1));
return node;
}
/**
* Takes in a Message3B object and creates a new BookQuote object from it.
*
* @param message
* Message3B the ddf message
*
* @return BookQuote
*/
public static final BookQuote FromDDFMessage(final DdfMarketDepth message) {
final BookQuote bq = new BookQuote(message.getSymbol());
bq.basecode = message.getBaseCode();
bq.askcount = message.getAskCount();
bq.bidcount = message.getBidCount();
System.arraycopy(message.getAskPrices(), 0, bq.askprices, 0, bq.askcount);
System.arraycopy(message.getAskSizes(), 0, bq.asksizes, 0, bq.askcount);
System.arraycopy(message.getBidPrices(), 0, bq.bidprices, 0, bq.bidcount);
System.arraycopy(message.getBidSizes(), 0, bq.bidsizes, 0, bq.bidcount);
return bq;
}
/**
* Takes in an XMLNode object, and parses this into a BookQuote object.
*
* @param node
* XMLNode an XMLNode of type "Book"
*
* @return BookQuote
*/
public static BookQuote fromXMLNode(final XMLNode node) {
final BookQuote bq = new BookQuote(node.getAttribute("symbol"));
bq.basecode = node.getAttribute("basecode").charAt(0);
bq.askcount = Integer.parseInt(node.getAttribute("askcount"));
bq.bidcount = Integer.parseInt(node.getAttribute("bidcount"));
String s = node.getAttribute("askprices");
if (s != null) {
String[] sa = s.split(",");
for (int i = 0; i < sa.length; i++) {
if (sa[i].length() > 0) {
bq.askprices[i] = ParserHelper.string2float(sa[i], bq.basecode);
}
}
}
s = node.getAttribute("asksizes");
if (s != null) {
String[] sa = s.split(",");
for (int i = 0; i < sa.length; i++) {
if (sa[i].length() > 0) {
bq.asksizes[i] = Integer.parseInt(sa[i]);
}
}
}
s = node.getAttribute("bidprices");
if (s != null) {
String[] sa = s.split(",");
for (int i = 0; i < sa.length; i++) {
if (sa[i].length() > 0) {
bq.bidprices[i] = ParserHelper.string2float(sa[i], bq.basecode);
}
}
}
s = node.getAttribute("bidsizes");
if (s != null) {
String[] sa = s.split(",");
for (int i = 0; i < sa.length; i++) {
if (sa[i].length() > 0) {
bq.bidsizes[i] = Integer.parseInt(sa[i]);
}
}
}
return bq;
}
}
