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OpenMAMDA is a high performance Market Data API written on top of OpenMAMA.
/* $Id$
*
* OpenMAMA: The open middleware agnostic messaging API
* Copyright (C) 2012 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
*/
package com.wombat.mamda.examples;
import java.util.logging.Level;
import java.util.logging.Logger;
import java.util.Date;
import java.util.Iterator;
import java.util.GregorianCalendar;
import com.wombat.mamda.*;
import com.wombat.mamda.options.*;
import com.wombat.mama.*;
/**
* An example of MAMDA option chain processing.
*
* This example suffers from a minor lack of configurability: while
* it does support subscriptions to multiple underlying symbols (with
* multiple -s options), it does not allow a different source to be
* specified for each option.
*/
public class MamdaOptionChainExample
{
private static Logger theLogger = Logger.getLogger( "com.wombat.mamda.examples" );
private static MamaSource mMamaSource;
private static MamaBridge mBridge = null;
private static String mDictTransportName = null;
private static Date nullDate = new GregorianCalendar(1900, 0, 0, 0, 0).getTime();
private static MamaDictionary buildDataDictionary (MamaTransport transport,
String dictSource)
throws InterruptedException
{
final boolean gotDict[] = {false};
MamaDictionaryCallback dictionaryCallback =
new MamaDictionaryCallback ()
{
public void onTimeout ()
{
System.err.println
("Timed out waiting for dictionary");
System.exit (1);
}
public void onError (final String s)
{
System.err.println ("Error getting dictionary: " + s);
System.exit(1);
}
public synchronized void onComplete ()
{
gotDict[0] = true;
Mama.stop (mBridge);
notifyAll ();
}
};
synchronized (dictionaryCallback)
{
MamaSubscription subscription = new MamaSubscription ();
mMamaSource.setTransport(transport);
mMamaSource.setSymbolNamespace (dictSource);
MamaDictionary dictionary = subscription.
createDictionarySubscription (
dictionaryCallback,
Mama.getDefaultQueue (mBridge),
mMamaSource);
Mama.start (mBridge);
if (!gotDict[0]) dictionaryCallback.wait (30000);
if (!gotDict[0])
{
System.err.println ("Timed out waiting for dictionary.");
System.exit (0);
}
return dictionary;
}
}
public static void main (final String[] args)
{
MamaTransport baseTransport = null;
MamaTransport optionTransport = null;
MamaTransport dictTransport = null;
MamaDictionary dictionary = null;
CommandLineProcessor options = new CommandLineProcessor (args);
Level level = options.getLogLevel ();
if (level != null)
{
theLogger.setLevel (level);
Mama.enableLogging (level);
}
theLogger.info ("Source: " + options.getSource ());
try
{
// Initialize MAMA
mBridge = options.getBridge();
Mama.open ();
// Initialize transports. We're assuming that options and
// underlyings might be on different transports. Note:
// some companies might use multiple transports for
// underlyings (e.g., CTA and NASDAQ), which case it woud
// be necessary to create three transports here and be
// sure to pass the correct transport later.
baseTransport = new MamaTransport ();
baseTransport.create (options.getTransport (), mBridge);
optionTransport = baseTransport;
mMamaSource = new MamaSource ();
mDictTransportName = options.getDictTransport();
if (mDictTransportName != null)
{
dictTransport = new MamaTransport ();
dictTransport.create (mDictTransportName, mBridge);
}
else
{
dictTransport = baseTransport;
}
// Fetch and initialize the data dictionary
dictionary = buildDataDictionary (dictTransport, options.getDictSource());
MamdaQuoteFields.setDictionary (dictionary, null);
MamdaTradeFields.setDictionary (dictionary, null);
MamdaFundamentalFields.setDictionary (dictionary, null);
MamdaOptionFields.setDictionary (dictionary, null);
MamdaCommonFields.setDictionary (dictionary, null);
// Create listeners for each chain. Two subscriptions are
// necessary.
for (Iterator iterator = options.getSymbolList ().iterator ();
iterator.hasNext ();
)
{
final String symbol = (String)iterator.next ();
// Create chain and listener objects.
MamdaTradeListener aBaseTradeListener = new MamdaTradeListener ();
MamdaQuoteListener aBaseQuoteListener = new MamdaQuoteListener ();
MamdaOptionChain anOptionChain = new MamdaOptionChain (symbol);
anOptionChain.setUnderlyingQuoteListener (aBaseQuoteListener);
anOptionChain.setUnderlyingTradeListener (aBaseTradeListener);
MamdaOptionChainListener anOptionListener =
new MamdaOptionChainListener (anOptionChain);
// Create our handlers (the UnderlyingTicker and
// OptionChainDisplay could be a single class).
UnderlyingTicker aBaseTicker = new UnderlyingTicker (anOptionChain);
OptionChainDisplay aDisplay = new OptionChainDisplay (anOptionChain);
// Create subscriptions for underlying and option chain:
MamdaSubscription aBaseSubscription = new MamdaSubscription ();
MamdaSubscription anOptionSubscription = new MamdaSubscription ();
// Register for underlying quote and trade events.
aBaseTradeListener.addHandler (aBaseTicker);
aBaseQuoteListener.addHandler (aBaseTicker);
aBaseSubscription.addMsgListener (aBaseTradeListener);
aBaseSubscription.addMsgListener (aBaseQuoteListener);
aBaseSubscription.create (baseTransport,
Mama.getDefaultQueue (mBridge),
options.getSource (),
symbol,
null);
// Register for underlying option events.
anOptionListener.addHandler (aDisplay);
// We set the timeout to 1 for this example because we
// currently use the timeout feature to determine when
// to say that we have received all of the initials.
anOptionSubscription.setTimeout (1);
anOptionSubscription.addMsgListener (anOptionListener);
anOptionSubscription.addStaleListener (aDisplay);
anOptionSubscription.addErrorListener (aDisplay);
anOptionSubscription.setType (MamaSubscriptionType.GROUP);
anOptionSubscription.create (optionTransport,
Mama.getDefaultQueue (mBridge),
options.getSource(),
symbol,
null);
theLogger.fine ("Subscribed to: " + symbol);
}
//Start dispatching on the default event queue
Mama.start (mBridge);
synchronized (MamdaOptionChainListener.class)
{
MamdaOptionChainListener.class.wait ();
}
}
catch (Exception e)
{
e.printStackTrace ();
System.exit (1);
}
}
private static class OptionChainDisplay implements MamdaOptionChainHandler,
MamdaStaleListener,
MamdaErrorListener
{
MamdaOptionChain mChain = null;
boolean mGotRecap = false; // Updated when we get the first recap.
public OptionChainDisplay (MamdaOptionChain chain)
{
mChain = chain;
}
public void onOptionChainRecap (
final MamdaSubscription subscription,
final MamdaOptionChainListener listener,
final MamaMsg msg,
final MamdaOptionChain chain)
{
mGotRecap = true;
printChain (chain);
}
public void onOptionSeriesUpdate (
final MamdaSubscription subscription,
final MamdaOptionChainListener listener,
final MamaMsg msg,
final MamdaOptionSeriesUpdate event,
final MamdaOptionChain chain)
{
printChain (chain);
}
public void onOptionChainGap (
final MamdaSubscription subscription,
final MamdaOptionChainListener listener,
final MamaMsg msg,
final MamdaOptionChain chain)
{
printChain (chain);
}
public void onOptionContractCreate (
final MamdaSubscription subscription,
final MamdaOptionChainListener listener,
final MamaMsg msg,
final MamdaOptionContract contract,
final MamdaOptionChain chain)
{
// (Optional: create a trade/quote handler for the
// individual option contract.)
OptionContractTicker aTicker =
new OptionContractTicker (contract, chain, this);
contract.addQuoteHandler (aTicker);
contract.addTradeHandler (aTicker);
}
public void onStale (
MamdaSubscription subscription,
short quality)
{
System.out.println ("Stale (" + subscription.getSymbol () + ")");
}
public void onError (
MamdaSubscription subscription,
short severity,
short errorCode,
String errorStr)
{
System.out.println ("Error (" + subscription.getSymbol() + ")");
}
public void printChain (MamdaOptionChain chain)
{
if (!mGotRecap)
return;
int i = 0;
Iterator callIter = chain.callIterator ();
Iterator putIter = chain.putIterator ();
System.out.println ("Chain: " + chain.getSymbol ());
while (callIter.hasNext () || putIter.hasNext ())
{
System.out.print ("" + i + " | ");
if (callIter.hasNext ())
{
MamdaOptionContract callContract =
(MamdaOptionContract)callIter.next ();
printContract (callContract);
}
else
{
System.out.print (" ");
}
System.out.print (" | ");
if (putIter.hasNext ())
{
MamdaOptionContract putContract =
(MamdaOptionContract)putIter.next ();
printContract (putContract);
}
else
{
}
System.out.println ();
++i;
}
System.out.flush();
}
public void printContract (MamdaOptionContract contract)
{
if (!mGotRecap)
return;
MamdaTradeRecap tradeRecap = contract.getTradeInfo ();
MamdaQuoteRecap quoteRecap = contract.getQuoteInfo ();
String symbol = contract.getSymbol ();
String exchange = contract.getExchange ();
Date expireDate = contract.getExpireDate ();
double strikePrice = contract.getStrikePrice ();
double lastPrice = tradeRecap.getLastPrice ().getValue();
double accVolume = tradeRecap.getAccVolume ();
double bidPrice = quoteRecap.getBidPrice ().getValue();
double askPrice = quoteRecap.getAskPrice ().getValue();
// The new java.util.Formatter class (JS2E 5.0) would be handy here!
if (!expireDate.equals(nullDate))
{
System.out.print (expireDate + " " + strikePrice + " (" +
symbol + " " + exchange + ") | " +
lastPrice + " | " + bidPrice + " | " +
askPrice + " | " + accVolume);
}
else
{
System.out.print ("expireDate(NULL) " + strikePrice + " (" +
symbol + " " + exchange + ") | " +
lastPrice + " | " + bidPrice + " | " +
askPrice + " | " + accVolume);
}
System.out.flush();
}
public void printlnContract (MamdaOptionContract contract)
{
if (!mGotRecap)
return;
printContract (contract);
System.out.println ();
}
}
/**
* OptionContractTicker is a class that we can use to handle
* updates to individual option contracts. This example just
* prints individual trades and quotes. Instances of this class
* are associated with actual option contracts in the
* OptionChainDisplay.onOptionSeriesUpdate method, above. The
* trade and quote information of the underlying is accessible via
* the chain argument.
*/
private static class OptionContractTicker implements MamdaTradeHandler,
MamdaQuoteHandler
{
MamdaOptionContract mContract = null;
MamdaOptionChain mChain = null;
OptionChainDisplay mDisplay = null;
public OptionContractTicker (MamdaOptionContract contract,
MamdaOptionChain chain,
OptionChainDisplay display)
{
mContract = contract;
mChain = chain;
mDisplay = display;
}
public void onTradeRecap (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeRecap recap)
{
// Refresh the "display" of this contract.
mDisplay.printlnContract (mContract);
}
public void onTradeReport (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeReport trade,
final MamdaTradeRecap recap)
{
// Do something with a specific trade report.
mDisplay.printlnContract (mContract);
}
public void onTradeGap (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeGap event,
final MamdaTradeRecap recap)
{
}
public void onTradeCancelOrError (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeCancelOrError event,
final MamdaTradeRecap recap)
{
}
public void onTradeCorrection (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeCorrection event,
final MamdaTradeRecap recap)
{
}
public void onTradeClosing (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeClosing event,
final MamdaTradeRecap recap)
{
}
public void onQuoteRecap (
final MamdaSubscription sub,
final MamdaQuoteListener listener,
final MamaMsg msg,
final MamdaQuoteRecap recap)
{
// Refresh the "display" of this contract.
mDisplay.printlnContract (mContract);
}
public void onQuoteUpdate (
final MamdaSubscription sub,
final MamdaQuoteListener listener,
final MamaMsg msg,
final MamdaQuoteUpdate event,
final MamdaQuoteRecap recap)
{
// Do something with a specific quote.
mDisplay.printlnContract (mContract);
}
public void onQuoteGap (
final MamdaSubscription sub,
final MamdaQuoteListener listener,
final MamaMsg msg,
final MamdaQuoteGap event,
final MamdaQuoteRecap recap)
{
}
public void onQuoteClosing (
final MamdaSubscription sub,
final MamdaQuoteListener listener,
final MamaMsg msg,
final MamdaQuoteClosing event,
final MamdaQuoteRecap recap)
{
}
}
/**
* UnderlyingTicker is a class that we can use to handle updates
* to the underlying security. This example just prints
* individual trades and quotes.
*/
private static class UnderlyingTicker implements MamdaTradeHandler,
MamdaQuoteHandler
{
private MamdaOptionChain mChain = null;
UnderlyingTicker (MamdaOptionChain chain)
{
mChain = chain;
}
public void onTradeRecap (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeRecap recap)
{
}
public void onTradeReport (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeReport trade,
final MamdaTradeRecap recap)
{
System.out.println ("Underlying trade: " + trade.getTradeVolume () +
" @ " + trade.getTradePrice ());
}
public void onTradeGap (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeGap event,
final MamdaTradeRecap recap)
{
}
public void onTradeCancelOrError (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeCancelOrError event,
final MamdaTradeRecap recap)
{
}
public void onTradeCorrection (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeCorrection event,
final MamdaTradeRecap recap)
{
}
public void onTradeClosing (
final MamdaSubscription sub,
final MamdaTradeListener listener,
final MamaMsg msg,
final MamdaTradeClosing event,
final MamdaTradeRecap recap)
{
}
public void onQuoteRecap (
final MamdaSubscription sub,
final MamdaQuoteListener listener,
final MamaMsg msg,
final MamdaQuoteRecap recap)
{
}
public void onQuoteUpdate (
final MamdaSubscription sub,
final MamdaQuoteListener listener,
final MamaMsg msg,
final MamdaQuoteUpdate quote,
final MamdaQuoteRecap recap)
{
System.out.println (
"Underlying quote: " +
quote.getBidSize () + "x" + quote.getBidPrice () + " " +
quote.getAskPrice () + "x" + quote.getAskSize () + " " +
"mid=" + recap.getQuoteMidPrice ());
double lowStrike = -1.0;
double highStrike = -1.0;
System.out.println (
" strikes within 15%: " + lowStrike + " " + highStrike);
}
public void onQuoteGap (
final MamdaSubscription sub,
final MamdaQuoteListener listener,
final MamaMsg msg,
final MamdaQuoteGap event,
final MamdaQuoteRecap recap)
{
}
public void onQuoteClosing (
final MamdaSubscription sub,
final MamdaQuoteListener listener,
final MamaMsg msg,
final MamdaQuoteClosing event,
final MamdaQuoteRecap recap)
{
}
}
}
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