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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.orderbook;
import com.wombat.mama.*;
import java.util.Comparator;
import java.util.Iterator;
import java.util.TreeMap;
import java.util.logging.Logger;
import java.io.OutputStream;
import java.io.PrintWriter;
import java.util.NoSuchElementException;
import java.util.Collections;
import java.util.ArrayList;
/**
* MamdaOrderBook is a class that provides order book functionality,
* including iterators over price levels and entries within price
* levels.
*
* An order book may be read only or writeable. Copying into a read only
* book is faster than creating a writeable book. Calling methods that attempt
* to edit the book structure on a read only book will throw a
* MamdaOrderBookException.
*/
public class MamdaOrderBook
{
private static Logger mLogger = Logger.getLogger("com.wombat.mamda.MamdaOrderBook");
private MamdaOrderBookImpl mImpl = null;
/**
* Construct a new order book object. Contains no price levels upon
* construction. This book will be writeable.
*/
public MamdaOrderBook ()
{
mImpl = new MamdaOrderBookFull(this);
}
/**
* Construct a copy of the supplied orderbook.
*
* @param copy The book to copy.
*/
public MamdaOrderBook (MamdaOrderBook copy)
{
mImpl = new MamdaOrderBookFull(this, copy);
}
/**
* Construct a copy of the supplied orderbook.
*
* @param copy The book to copy.
* @param writeable is this copy writable. false creates a read only copy
*/
public MamdaOrderBook (MamdaOrderBook copy, boolean writeable)
{
if (writeable)
{
mImpl = new MamdaOrderBookFull(this, copy);
}
else
{
mImpl = new MamdaOrderBookCopy(copy);
}
}
/**
* If this book is read only.
* @return true if this book is read only.
*/
public boolean isReadOnly()
{
return mImpl.isReadOnly();
}
/**
* Clear all levels from the order book. Clears both the bid and ask
* side levels from the order book.
*/
public void clear ()
{
mImpl.clear();
}
/**
* The order book subscription symbol.
* @param symbol the symbol.
*/
public void setSymbol (String symbol)
{
mImpl.setSymbol(symbol);
}
/**
* The order book subscription symbol.
* @return the symbol.
*/
public String getSymbol ()
{
return mImpl.getSymbol();
}
public void setPartId (String PartId)
{
mImpl.setPartId (PartId);
}
public String getPartId()
{
return mImpl.getPartId();
}
public boolean hasPartId()
{
return mImpl.hasPartId();
}
/**
* Create a price level in the orderbook for the given price/size.
* The price level is initially empty and marked as "not used".
* The "not used" status changes automatically when entries are
* added to the price level.
*
* @param price The price of the price level to find/create.
* @param side The side of the book of the price level to find/create.
* @return The found or newly create price level.
*
* @throws MamdaOrderBookException When an error is encountered during
* book processing.
*/
public MamdaOrderBookPriceLevel findOrCreateLevel (double price,
char side)
{
return mImpl.findOrCreateLevel (price, side);
}
public MamdaOrderBookPriceLevel findLevel (double price,
char side)
{
return mImpl.findLevel (price, side);
}
public MamdaOrderBookPriceLevel getMarketOrdersSide (char side)
{
return mImpl.getMarketOrdersSide (side);
}
public MamdaOrderBookPriceLevel getOrCreateMarketOrdersSide (char side)
{
return mImpl.getOrCreateMarketOrdersSide (side);
}
/**
* Apply a delta to this (presumably) full book.
*
* @param deltaBook The delta to apply to the order book.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void apply (MamdaOrderBook deltaBook)
{
mImpl.apply(deltaBook);
}
/**
* Apply a MamdaOrderBookBasicDelta to this book.
*
* @param delta The delta to apply.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void apply (MamdaOrderBookBasicDelta delta)
{
mImpl.apply(delta);
}
public void apply (MamdaBookAtomicLevel level)
{
mImpl.apply(level);
}
public void apply (MamdaBookAtomicLevelEntry levelEntry)
{
mImpl.apply(levelEntry);
}
/**
* Apply a MamdaOrderBookBasicDeltaList to this book.
*
* @param deltaList The deltas to apply.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void apply (MamdaOrderBookBasicDeltaList deltaList)
{
Iterator i = deltaList.iterator ();
while (i.hasNext ())
{
mImpl.apply ((MamdaOrderBookBasicDelta) i.next ());
}
}
/**
* Make a writeable deep copy of a book.
*
* @param book The order book to copy.
*/
public void copy (MamdaOrderBook book)
{
mImpl.copy(book);
}
/**
* Make a read only deep copy of a book. This method is
* faster than the copy (MamdaOrderBook book) method.
*
* @param book The order book to copy.
*/
public void copyReadOnly (MamdaOrderBook book)
{
mImpl = new MamdaOrderBookCopy();
mImpl.copy(book);
}
/**
* Set this order book to be a delta that would, when applied,
* delete all of the fields in the bookToDelete.
*
* @param bookToDelete The book to be deleted.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void setAsDeltaDeleted (MamdaOrderBook bookToDelete)
{
mImpl.setAsDeltaDeleted (bookToDelete);
}
/**
* Set this order book to be a delta that would, when applied, be
* the difference between to other books.
*
* @param lhs An order book.
* @param rhs An order book.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void setAsDeltaDifference (MamdaOrderBook lhs,
MamdaOrderBook rhs)
{
mImpl.clear();
}
/**
* Get the total number of price levels (both sides of order book).
*
* @return The total number of level in the order book.
*/
public long getTotalNumLevels ()
{
return mImpl.getTotalNumLevels();
}
/**
* Get the number of bid levels.
*
* @return the number of bid levels.
*/
public int getNumBidLevels ()
{
return mImpl.getNumBidLevels();
}
/**
* Get the number of ask levels.
* @return the number of ask levels.
*/
public int getNumAskLevels ()
{
return mImpl.getNumAskLevels ();
}
public MamdaOrderBookPriceLevel getBidMarketOrders ()
{
return mImpl.mBidMarketOrders;
}
public MamdaOrderBookPriceLevel getAskMarketOrders ()
{
return mImpl.mAskMarketOrders;
}
/**
* Return the book time.
* @return return the book time.
*/
public MamaDateTime getBookTime()
{
return mImpl.getBookTime();
}
/**
* Set The SourceDerivative for this book.
* @param value The SourceDerivative.
*/
public void setBookTime (MamaDateTime value)
{
mImpl.setBookTime(value);
}
/**
* Set The SourceDerivative for this book.
* @param value The SourceDerivative.
*/
public void setSourceDerivative (MamaSourceDerivative value)
{
mImpl.setSourceDerivative(value);
}
/**
* Return the SourceDerivative for this book.
* @return the SourceDerivative.
*/
public MamaSourceDerivative getSourceDerivative ()
{
return mImpl.getSourceDerivative();
}
/**
* Get the MamaSource for this order book.
*
* @return The source.
*/
public MamaSource getSource ()
{
return mImpl.getSourceDerivative();
}
/**
* Set the mamaQuality for this order book.
*
* @param quality The new quality.
*/
public void setQuality (short quality)
{
mImpl.setQuality(quality);
}
/**
* Get the mamaQuality for this order book.
*
* @return The quality.
*/
public short getQuality ()
{
return mImpl.getQuality();
}
/**
* Set the order book closure handle.
*
* @param closure The closure.
*/
public void setClosure (Object closure)
{
mImpl.setClosure(closure);
}
/**
* Get the order book closure handle.
*
* @return The orderbook closure.
*/
public Object getClosure ()
{
return mImpl.getClosure();
}
public int hashCode ()
{
/* From Effective Java */
return mImpl.hashCode();
}
public boolean equals (Object obj)
{
return obj instanceof MamdaOrderBook && mImpl.equals (obj);
}
/**
* Add an entry to the order book and (if "delta" is not NULL)
* record information about the delta related to this action.
*
* @param entry the entry
* @param price the price
* @param side the side (bid or ask)
* @param eventTime the event time.
* @param delta the delta.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void addEntry (
MamdaOrderBookEntry entry,
double price,
char side,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta)
{
mImpl.addEntry( entry, price, side, eventTime, delta);
}
/**
* Add an entry to the order book and (if "delta" is not NULL)
* record information about the delta related to this action. The
* new entry is returned.
* @param price the price
* @param side the side (bid or ask)
* @param eventTime the event time.
* @param delta the delta.
* @param entryId The id.
* @param entrySize the size
* @param source the MamaSourceDerivative.
* @return the new entry.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public MamdaOrderBookEntry addEntry (
String entryId,
long entrySize,
double price,
char side,
MamaDateTime eventTime,
MamaSourceDerivative source,
MamdaOrderBookBasicDelta delta)
{
MamdaOrderBookEntry entry =
new MamdaOrderBookEntry (entryId, entrySize,
MamdaOrderBookEntry.ACTION_ADD,
eventTime,
source);
addEntry (entry, price, side, eventTime, delta);
return entry;
}
/**
* Add a price level to the orderbook.
* @param level The price level to add to the orderbook.
*
*/
public void addLevel(MamdaOrderBookPriceLevel level)
{
mImpl.addLevel (level);
}
/**
* Update an existing level in the orderbook.
*
* @param level The details of the price level to update.
*
* @throws MamdaOrderBookException When an error is encountered during
* book processing.
*/
public void updateLevel (MamdaOrderBookPriceLevel level)
{
mImpl.updateLevel (level);
}
/**
* Populate a MamaMsg of the changes to this order book.
* This will include the changes from the last time this function was called
* or all changes from the initial state.
* @param msg A MamaMsg ref containing all changes to the current book.
*/
public boolean populateDelta(MamaMsg msg)
{
return mImpl.populateDelta(msg);
}
/**
* Populate a MamaMsg with the current state of this order book.
* @param msg A MamaMsg containing all book, price and entry
* (if applicable) details of the current book.
*/
public void populateRecap(MamaMsg msg)
{
mImpl.populateRecap(msg, this);
}
/**
* Delete a price level from the orderbook.
*
* @param level The price level to delete from the orderbook.
*
* @throws MamdaOrderBookException When an error is encountered during
* book processing.
*/
public void deleteLevel(MamdaOrderBookPriceLevel level)
{
mImpl.deleteLevel (level);
}
/**
* Re-evaluate the order book. 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.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public boolean reevaluate()
{
return mImpl.reevaluate();
}
/**
* Set whether this book needs a re-evaluation.
* @param need true if books requires re-evaluation.
*/
public void setNeedsReevaluation (boolean need)
{
mImpl.setNeedsReevaluation(need);
}
/**
* Get whether this book needs a re-evaluation.
* @return true if the book needs re-evaluation.
*/
public boolean getNeedsReevaluation ()
{
return mImpl.getNeedsReevaluation();
}
/**
* Set whether to check the MamaSourceState when
* adding/deleting/re-evaluating entries in the book.
*
* @param check true to check the MamaSourceState.
*/
public void setCheckSourceState (boolean check)
{
mImpl.setCheckSourceState(check);
}
/**
* Get whether to check the MamaSourceState when
* adding/deleting/re-evaluating entries in the book.
* @return true if checking the MamaSourceState
*/
public boolean getCheckSourceState ()
{
return mImpl.getCheckSourceState();
}
/**
* Return the order book price level at "price" on "side" of the
* order book.
*
* @param price The price of the order book price level.
* @param side The side of the order book to search.
* @return The order book price level or NULL if not found.
*
*/
public MamdaOrderBookPriceLevel getLevelAtPrice (double price, char side)
{
return mImpl.getLevelAtPrice (price, side);
}
/**
* Return the order book price level at position "pos" in the
* order book.
*
* @param pos The position of the order book price level.
* @param side The side of the order book to search.
* @return The order book price level or NULL if not found.
*
*/
public MamdaOrderBookPriceLevel getLevelAtPosition (long pos, char side)
{
return mImpl.getLevelAtPosition (pos,side);
}
/**
* Return the order book entry at position "pos" in the order book.
*
* @param pos The position of the order book entry.
* @param side The side of the order book to search.
* @return The order book entry or NULL if not found.
*/
public MamdaOrderBookEntry getEntryAtPosition (long pos, char side)
{
// Remember: pos may be zero, which would mean we want the first
// entry in a non-empty price level.
return mImpl.getEntryAtPosition (pos, side);
}
/**
* Order book equality verification. A MamdaOrderBookException is
* thrown if the books are not equal, along with the reason for
* the inequality.
*
* @param rhs The order book to compare to the current book.
*
* @throws MamdaOrderBookException The two books are not equal.
*/
public void assertEqual (MamdaOrderBook rhs)
{
mImpl.assertEqual(rhs);
}
/**
* Order book level equality verification. A MamdaOrderBookException is
* thrown if the books are not equal, along with the reason for
* the inequality.
*
* @param lhsLevel Left hand side price level to compare.
* @param rhsLevel Right hand side price level to compare.
*
* @throws MamdaOrderBookException The two books are not equal.
*/
public void assertEqual (MamdaOrderBookPriceLevel lhsLevel,
MamdaOrderBookPriceLevel rhsLevel)
{
mImpl.assertEqual(lhsLevel, rhsLevel);
}
/**
* Set whether the order book is in a consistent or an an
* inconsistent state.
*
* @param isConsistent Whether the book is consistent.
*/
public void setIsConsistent (boolean isConsistent)
{
mImpl.setIsConsistent(isConsistent);
}
/**
* Get whether the order book is in a consistent or an an
* inconsistent state. The orderbook will be marked as inconsistent if a
* gap is detected by the Listener. The book will be marked consistent
* again once a full recap for the book has been obtained from the feed.
*
* @return boolean Whether the book is in a consistent state.
*/
public boolean getIsConsistent ()
{
return mImpl.getIsConsistent();
}
/**
* Dump the order book to standard out.
*/
public void dump()
{
dump (System.out);
}
/**
* Dump the order book to an OutputStream.
* @param outputStream the OutputStream
*/
public void dump (OutputStream outputStream)
{
mImpl.dump( outputStream );
}
/**
* Update an entry in the order book and (if "delta" is not NULL)
* record information about the delta related to this action. If
* the entry is not internally "wired" to the order book, a
* MamdaOrderBookInvalidEntry exception is thrown.
* @param entry the entry
* @param size the size
* @param eventTime the event time
* @param delta the delta.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void updateEntry (
MamdaOrderBookEntry entry,
double size,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta)
{
mImpl.updateEntry (entry, size, eventTime, delta);
}
/**
* Delete an entry in the order book and (if "delta" is not NULL)
* record information about the delta related to this action. If
* the entry is not internally "wired" to the order book, a
* MamdaOrderBookInvalidEntry exception is thrown.
* @param entry the entry to detete.
* @param eventTime the event time.
* @param delta the delta
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void deleteEntry (
MamdaOrderBookEntry entry,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta)
{
mImpl.deleteEntry (entry, eventTime, delta);
}
/**
* Add all entries from another book into this book.
*
* @param book The source book to add.
* @param filter If not NULL, a filter to apply to each entry.
* @param delta An optional delta to collect the added entries.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void addEntriesFromBook (
MamdaOrderBook book,
MamdaOrderBookEntryFilter filter,
MamdaOrderBookBasicDeltaList delta)
{
mImpl.addEntriesFromBook( book, filter, delta);
}
/**
* Add all price levels from another book as entries (one per
* price level) into this book using "source" as the entryId for
* each entry.
*
* @param book The source book to add.
* @param source The name to use as the entry ID.
* @param delta An optional delta to collect the added entries.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void addPriceLevelsFromBookAsEntries (
MamdaOrderBook book,
String source,
MamdaOrderBookBasicDeltaList delta)
{
mImpl.addPriceLevelsFromBookAsEntries( book, source, delta );
}
/**
* Delete all entries in this book that have "source" as its MamaSource.
*
* @param source The source to match.
* @param delta An optional delta to collect the deleted entries.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void deleteEntriesFromSource (
MamaSource source,
MamdaOrderBookBasicDeltaList delta)
{
mImpl.deleteEntriesFromSource( source, delta );
}
/**
* Enable the generation of book deltas for this book. When delta generation is enabled
* changes to the book are saved and can be popultaed to MamaMsgs.
* @param publish Whether book delta generation is enabled.
*/
public void generateDeltaMsgs(boolean publish)
{
mImpl.generateDeltaMsgs(publish);
}
/**
* Get whether book delta generation is enabled
* @return Whether book delta generation is enabled.
*/
public boolean getGenerateDeltaMsgs()
{
return mImpl.mGenerateDeltas;
}
/**
* clear the delta list using for storing generated deltas
*/
public void clearDeltaList()
{
mImpl.mPublishComplexDelta.clear();
mImpl.mPublishSimpleDelta.clear();
mImpl.mCurrentDeltaCount = 0;
}
/**
* For book delta generation.
* Add a delta to the order book delta list for the publishing of
* order book data
* @param entry MamdaOrderBookEntry where change occurred.
* @param level MamdaOrderBookPriceLevel where change occurred.
* @param plDeltaSize Pricelevel size change.
* @param plAction Pricelevel action.
* @param entryAction Entry action.
*/
public void addDelta(
MamdaOrderBookEntry entry,
MamdaOrderBookPriceLevel level,
double plDeltaSize,
char plAction,
char entryAction)
{
mImpl.addDelta(entry, level, plDeltaSize, plAction, entryAction);
}
/**
* NOOP FOR JAVA
* Adds the entry to the list of entries to be detached.
* @param entry the entry to detach.
*/
public void detach (MamdaOrderBookEntry entry)
{
// NOOP for java as it is reference counted.
}
/**
* Detach a price level.
* @param level the level to detach.
*
* @throws MamdaOrderBookException if called on a read only order book
*/
public void detach (MamdaOrderBookPriceLevel level)
{
// Remove the level from the relevant side
mImpl.detach(level);
}
/**
* Iterator for all the bid side entries in the book.
* @return the iterator.
*/
public Iterator bidEntryIterator ()
{
return new EntryIterator (bidIterator());
}
/**
* Allows an application to iterate over all the bid side price
* levels in the order book.
*
* @return Iterator java.util.Iterator for the bid
* side price levels in the order book.
*/
public Iterator bidIterator()
{
return mImpl.bidIterator();
}
/**
* Allows an application to iterate over all ask side price levels
* in the order book.
*
* @return Iterator java.util.Iterator for the ask
* side price levels in the order book.
*/
public Iterator askIterator()
{
return mImpl.askIterator();
}
/**
* Iterator for all the ask side entries in the book.
* @return the iterator.
*/
public Iterator askEntryIterator ()
{
return new EntryIterator (askIterator());
}
/**
* Enforce strict checking of order book modifications (at the
* expense of some performance). This setting is passed on to the
* MamdaOrderBookPriceLevel and MamdaOrderBookEntry classes.
* @param strict the value for strict checking.
*/
public static void setStrictChecking (boolean strict)
{
MamdaOrderBookPriceLevel.setStrictChecking (strict);
MamdaOrderBookEntry.setStrictChecking (strict);
}
public void cleanupDetached ()
{
// NOOP for Java for now.
}
private class EntryIterator implements Iterator
{
private Iterator mLevelIterator = null;
private Iterator mEntryIterator = null;
public EntryIterator (Iterator levels)
{
mLevelIterator = levels;
}
public void remove ()
{
if (mEntryIterator != null)
{
mEntryIterator.remove ();
}
}
public boolean hasNext ()
{
// No more entires and no more levels.
if ((mEntryIterator == null || !mEntryIterator.hasNext ()) &&
!mLevelIterator.hasNext ())
{
return false;
}
if (mEntryIterator != null && mEntryIterator.hasNext ())
return true;
// Look for a level with entries.
while (mLevelIterator.hasNext ())
{
MamdaOrderBookPriceLevel level =
(MamdaOrderBookPriceLevel) mLevelIterator.next ();
mEntryIterator = level.entryIterator ();
if (mEntryIterator.hasNext ())
return true;
}
return false;
}
public Object next ()
{
// This check also makes shure that we have the correct iterators.
if (hasNext ())
{
return mEntryIterator.next ();
}
else
{
// See JavaDoc for Iterator.
throw new NoSuchElementException ();
}
}
}
private abstract class MamdaOrderBookImpl
{
protected String mSymbol = "";
protected String mPartId = "";
protected MamdaOrderBook parent;
protected boolean mIsConsistent = true;
protected MamaDateTime mBookTime = null;
protected MamaSourceDerivative mSourceDeriv;
protected short mQuality = MamaQuality.QUALITY_UNKNOWN;
protected Object mClosure = null;
protected boolean mCheckVisibility = false;
protected boolean mNeedsReevaluation = false;
protected boolean mHasPartId = false;
protected boolean mGenerateDeltas = false;
protected MamdaOrderBookPriceLevel mBidMarketOrders = null;
protected MamdaOrderBookPriceLevel mAskMarketOrders = null;
protected int mCurrentDeltaCount = 0;
protected MamdaOrderBookConcreteSimpleDelta mPublishSimpleDelta = null;
protected MamdaOrderbookConcreteComplexDelta mPublishComplexDelta = null;
protected MamdaOrderBookWriter mWriter = null;
public abstract boolean isReadOnly();
public MamaPrice mPrice = new MamaPrice ();
protected MamaPrice tmpPrice = new MamaPrice();
public void setSymbol (String symbol)
{
mSymbol = symbol;
}
public String getSymbol ()
{
return mSymbol;
}
public void setPartId (String PartId)
{
if (PartId.equals(""))
{
mHasPartId = false;
}
else
{
mHasPartId = true;
mPartId = PartId;
}
}
public String getPartId()
{
return mPartId;
}
public boolean hasPartId()
{
return mHasPartId;
}
public MamaDateTime getBookTime()
{
return mBookTime;
}
public void setBookTime (MamaDateTime value)
{
mBookTime = value;
}
public void setSourceDerivative (MamaSourceDerivative value)
{
mSourceDeriv = value;
}
public MamaSourceDerivative getSourceDerivative ()
{
return mSourceDeriv;
}
public MamaSource getSource ()
{
return mSourceDeriv != null ? mSourceDeriv.getBaseSource () : null;
}
public void setQuality (short quality)
{
mQuality = quality;
}
public short getQuality ()
{
return mQuality;
}
public void setClosure (Object closure)
{
mClosure = closure;
}
public Object getClosure ()
{
return mClosure;
}
public void setIsConsistent (boolean isConsistent)
{
mIsConsistent = isConsistent;
}
public boolean getIsConsistent ()
{
return mIsConsistent;
}
public abstract void clear ();
public abstract MamdaOrderBookPriceLevel findOrCreateLevel (double price,
char side);
public abstract MamdaOrderBookPriceLevel findLevel (double price,
char side);
public abstract MamdaOrderBookPriceLevel getMarketOrdersSide (char side);
public abstract MamdaOrderBookPriceLevel getOrCreateMarketOrdersSide (char side);
public abstract void apply (MamdaOrderBook deltaBook);
public abstract void apply (MamdaOrderBookBasicDelta delta);
public abstract void apply (MamdaBookAtomicLevel level);
public abstract void apply (MamdaBookAtomicLevelEntry levelEntry);
public abstract void copy (MamdaOrderBook book);
public abstract long getTotalNumLevels ();
public abstract int getNumBidLevels ();
public abstract int getNumAskLevels ();
public abstract MamdaOrderBookPriceLevel getLevelAtPrice (double price, char side);
public abstract MamdaOrderBookPriceLevel getLevelAtPosition (long pos, char side);
public abstract MamdaOrderBookEntry getEntryAtPosition (long pos, char side);
public abstract void addEntry (
MamdaOrderBookEntry entry,
double price,
char side,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta);
public abstract void addLevel(MamdaOrderBookPriceLevel level);
public abstract void updateLevel(MamdaOrderBookPriceLevel level);
public abstract void deleteLevel(MamdaOrderBookPriceLevel level);
public abstract void updateEntry (
MamdaOrderBookEntry entry,
double size,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta);
public abstract void deleteEntry (
MamdaOrderBookEntry entry,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta);
public abstract void addEntry (MamdaBookAtomicLevelEntry levelEntry);
public abstract void updateEntry (MamdaBookAtomicLevelEntry levelEntry);
public abstract void deleteEntry (MamdaBookAtomicLevelEntry levelEntry);
public abstract void addEntriesFromBook (
MamdaOrderBook book,
MamdaOrderBookEntryFilter filter,
MamdaOrderBookBasicDeltaList delta);
public abstract void addPriceLevelsFromBookAsEntries (
MamdaOrderBook book,
String source,
MamdaOrderBookBasicDeltaList delta);
public abstract void deleteEntriesFromSource (
MamaSource source,
MamdaOrderBookBasicDeltaList delta);
public abstract void generateDeltaMsgs (boolean publish);
public abstract void addDelta (
MamdaOrderBookEntry entry,
MamdaOrderBookPriceLevel level,
double plDeltaSize,
char plAction,
char entryAction);
public abstract void detach (MamdaOrderBookPriceLevel level);
public abstract Iterator bidIterator();
public abstract Iterator askIterator();
public void assertEqual (MamdaOrderBook rhs)
{
if (!mSymbol.equals (rhs.getSymbol()))
{
throw new MamdaOrderBookException(
"different symbols: " + mSymbol + "/" + rhs.getSymbol());
}
if (!mPartId.equals (rhs.getPartId()))
{
throw new MamdaOrderBookException(
"different participants: " + mPartId + "/" + rhs.getPartId());
}
if (getNumBidLevels() != rhs.getNumBidLevels() || getNumAskLevels() != rhs.getNumAskLevels())
{
System.out.println(getNumBidLevels()+" "+ rhs.getNumBidLevels()+" "+getNumAskLevels()+" "+ rhs.getNumAskLevels());
throw new MamdaOrderBookException(
"number of price levels do not add up");
}
assertEqual (bidIterator(), rhs.bidIterator());
assertEqual (askIterator(), rhs.askIterator());
assertEqual (mBidMarketOrders, rhs.getBidMarketOrders());
assertEqual (mAskMarketOrders, rhs.getAskMarketOrders());
}
private void assertEqual (MamdaOrderBookPriceLevel lhsLevel,
MamdaOrderBookPriceLevel rhsLevel)
{
if (null == lhsLevel)
{
if (null == rhsLevel) return;
StringBuffer errMsg = new StringBuffer (1000);
errMsg.append (" assertEqual():").
append("market order levels not equal ([Empty] ").append (rhsLevel.getSize());
throw new MamdaOrderBookException (errMsg.toString ());
}
if (null == rhsLevel)
{
StringBuffer errMsg = new StringBuffer (1000);
errMsg.append (" assertEqual():").
append("market order levels not equal ([Empty] ").append (lhsLevel.getSize());
throw new MamdaOrderBookException (errMsg.toString ());
}
lhsLevel.assertEqual (rhsLevel);
}
public boolean populateDelta(MamaMsg msg)
{
if (mGenerateDeltas)
{
if (0 == mCurrentDeltaCount)
{
mLogger.finest("MamdaOrderBook::populateDelta() Trying to create publisher msg from empty state");
return false;
}
if (1 == mCurrentDeltaCount)
{
mWriter.populateMsg(msg, mPublishSimpleDelta);
mPublishSimpleDelta.clear();
mCurrentDeltaCount = 0;
return true;
}
else
{
mWriter.populateMsg(msg, mPublishComplexDelta);
mPublishComplexDelta.clear();
mPublishSimpleDelta.clear();
mCurrentDeltaCount = 0;
return true;
}
}
else
{
mLogger.warning("MamdaOrderBook::populateDelta() Order Book publishing not enabled");
return false;
}
}
public void populateRecap (MamaMsg msg, MamdaOrderBook mBook)
{
if (mGenerateDeltas)
{
mWriter.populateMsg(msg, mBook);
}
else
{
mLogger.warning( "MamdaOrderBook::populateRecap() Order Book publishing not enabled");
}
}
private void assertEqual (Iterator lhsIter,
Iterator rhsIter)
{
while (lhsIter.hasNext() && rhsIter.hasNext())
{
MamdaOrderBookPriceLevel lhsLevel =
(MamdaOrderBookPriceLevel)lhsIter.next();
MamdaOrderBookPriceLevel rhsLevel =
(MamdaOrderBookPriceLevel)rhsIter.next();
lhsLevel.assertEqual (rhsLevel);
}
}
public void dump ()
{
dump (System.out);
}
public void dump (OutputStream outputStream)
{
PrintWriter out = new PrintWriter (outputStream, true);
out.println ("Dump book: " + mSymbol);
int i = 0;
Iterator bidIter = bidIterator();
Iterator askIter = askIterator();
while (bidIter.hasNext() || askIter.hasNext())
{
if (bidIter.hasNext())
{
MamdaOrderBookPriceLevel bidLevel =
(MamdaOrderBookPriceLevel)bidIter.next();
out.print ("Bid " + i + " | ");
out.print ("price=" + bidLevel.getPrice()
+ " size=" + bidLevel.getSize()
+ " action=" + bidLevel.getAction()
+ " entries=" + bidLevel.getNumEntries()
+ " time=");
out.println ((bidLevel.getTime() != null) ? (bidLevel.getTime()).toString() : "null");
Iterator bidEntryIterator = bidLevel.entryIterator ();
while (bidEntryIterator.hasNext ())
{
MamdaOrderBookEntry bidEntry = (MamdaOrderBookEntry) bidEntryIterator.next ();
out.print (" | id=" + bidEntry.getId()
+ " size=" + bidEntry.getSize()
+ " action=" + bidEntry.getAction()
+ " time=");
out.println ((bidEntry.getTime() != null) ? (bidEntry.getTime()).toString() : "null");
}
}
else
{
out.print (" ");
}
if (askIter.hasNext())
{
MamdaOrderBookPriceLevel askLevel =
(MamdaOrderBookPriceLevel)askIter.next();
System.out.print ("Ask " + i + " | ");
out.print ("price=" + askLevel.getPrice()
+ " size=" + askLevel.getSize()
+ " action=" + askLevel.getAction()
+ " entries=" + askLevel.getNumEntries()
+ " time=");
out.println ((askLevel.getTime() != null) ? (askLevel.getTime()).toString() : "null");
Iterator askEntryIterator = askLevel.entryIterator ();
while (askEntryIterator.hasNext ())
{
MamdaOrderBookEntry askEntry = (MamdaOrderBookEntry) askEntryIterator.next ();
out.print (" | id=" + askEntry.getId()
+ " size=" + askEntry.getSize()
+ " action=" + askEntry.getAction()
+ " time=");
out.println ((askEntry.getTime() != null) ? (askEntry.getTime()).toString() : "null");
}
}
out.println();
++i;
}
if (mAskMarketOrders != null)
{
System.out.print ("Ask Market Orders");
out.print ( " size=" + mAskMarketOrders.getSize()
+ " action=" + mAskMarketOrders.getAction()
+ " entries=" + mAskMarketOrders.getNumEntries()
+ " time=" + mAskMarketOrders.getTime().getTimeAsString());
if (((mAskMarketOrders.getTime()).hasDate()) == true)
System.out.println (" date=" + (mAskMarketOrders.getTime()).getDateAsString());
Iterator iter = mAskMarketOrders.entryIterator ();
while (iter.hasNext ())
{
MamdaOrderBookEntry entry =
new MamdaOrderBookEntry((MamdaOrderBookEntry) iter.next ());
System.out.print ( " | id=" + entry.getId()
+ " size=" + entry.getSize()
+ " action=" + entry.getAction()
+ " time=" + (entry.getTime()).getTimeAsString());
if ((entry.getTime()).hasDate())
System.out.println (" date=" + (entry.getTime()).getDateAsString());
}
}
if (mBidMarketOrders != null)
{
System.out.print ("Bid Market Orders");
out.print ( " size=" + mBidMarketOrders.getSize()
+ " action=" + mBidMarketOrders.getAction()
+ " entries=" + mBidMarketOrders.getNumEntries()
+ " time=" + mBidMarketOrders.getTime().getTimeAsString());
if ((mBidMarketOrders.getTime()).hasDate())
System.out.println (" date=" + (mBidMarketOrders.getTime()).getDateAsString());
Iterator iter = mAskMarketOrders.entryIterator ();
while (iter.hasNext ())
{
MamdaOrderBookEntry entry =
new MamdaOrderBookEntry((MamdaOrderBookEntry) iter.next ());
System.out.print (" | id=" + entry.getId()
+ " size=" + entry.getSize()
+ " action=" + entry.getAction()
+ " time=" + (entry.getTime()).getTimeAsString());
if ((entry.getTime()).hasDate())
System.out.println ( " date=" + (entry.getTime()).getDateAsString());
}
}
}
public boolean equals (MamdaOrderBook obj)
{
return (mSymbol.equals (obj.getSymbol()) &&
mPartId.equals(obj.getPartId()) &&
equals (bidIterator(), obj.bidIterator()) &&
equals (askIterator(), obj.askIterator()));
}
private boolean equals (Iterator lhsIter,
Iterator rhsIter)
{
try
{
while (lhsIter.hasNext() && rhsIter.hasNext())
{
MamdaOrderBookPriceLevel lhsLevel =
(MamdaOrderBookPriceLevel)lhsIter.next();
MamdaOrderBookPriceLevel rhsLevel =
(MamdaOrderBookPriceLevel)rhsIter.next();
lhsLevel.assertEqual (rhsLevel);
}
}
catch (MamdaOrderBookException ex)
{
return false;
}
return true;
}
public abstract void setAsDeltaDifference (MamdaOrderBook lhs,
MamdaOrderBook rhs);
public abstract void setAsDeltaDeleted (MamdaOrderBook bookToDelete);
public abstract boolean reevaluate ();
public void setNeedsReevaluation (boolean need)
{
mNeedsReevaluation = need;
}
public boolean getNeedsReevaluation ()
{
return mNeedsReevaluation;
}
public void setCheckSourceState (boolean check)
{
mCheckVisibility = check;
}
public boolean getCheckSourceState ()
{
return mCheckVisibility;
}
public Iterator bidEntryIterator ()
{
return new EntryIterator (bidIterator(), !isReadOnly());
}
public Iterator askEntryIterator ()
{
return new EntryIterator (askIterator(), !isReadOnly());
}
private class EntryIterator implements Iterator
{
private Iterator mLevelIterator = null;
private Iterator mEntryIterator = null;
private boolean editable = true;
public EntryIterator (Iterator levels, boolean editable)
{
mLevelIterator = levels;
}
public void remove ()
{
if (!editable)
{
throw new MamdaOrderBookException (
"MamdaOrderBookImpl::remove cannot be applied to read only book");
}
if (mEntryIterator != null)
{
mEntryIterator.remove ();
}
}
public boolean hasNext ()
{
// No more entires and no more levels.
if ((mEntryIterator == null || !mEntryIterator.hasNext ()) &&
!mLevelIterator.hasNext ())
{
return false;
}
if (mEntryIterator != null && mEntryIterator.hasNext ())
return true;
// Look for a level with entries.
while (mLevelIterator.hasNext ())
{
MamdaOrderBookPriceLevel level =
(MamdaOrderBookPriceLevel) mLevelIterator.next ();
mEntryIterator = level.entryIterator ();
if (mEntryIterator.hasNext ())
return true;
}
return false;
}
public Object next ()
{
// This check also makes shure that we have the correct iterators.
if (hasNext ())
{
return mEntryIterator.next ();
}
else
{
// See JavaDoc for Iterator.
throw new NoSuchElementException ();
}
}
}
}
private class MamdaOrderBookFull extends MamdaOrderBookImpl
{
private TreeMap mBidLevels = null;
private TreeMap mAskLevels = null;
MamdaOrderBookFull (MamdaOrderBook parent)
{
this.parent = parent;
mBidLevels = new TreeMap (new BidCompare());
mAskLevels = new TreeMap (new AskCompare());
}
MamdaOrderBookFull (MamdaOrderBook parent, MamdaOrderBook copy)
{
this.parent = parent;
copy (copy);
}
public boolean isReadOnly()
{
return false;
}
public void clear ()
{
mIsConsistent = true;
mNeedsReevaluation = false;
mBidLevels.clear();
mAskLevels.clear();
if (mBidMarketOrders != null)
{
mBidMarketOrders.clear();
mBidMarketOrders = null;
}
if (mAskMarketOrders != null)
{
mAskMarketOrders.clear();
mAskMarketOrders = null;
}
}
public MamdaOrderBookPriceLevel findOrCreateLevel (
double price,
char side)
{
MamaChar ignored = new MamaChar ();
if (side == MamdaOrderBookPriceLevel.SIDE_BID)
return findOrCreateLevel (mBidLevels, price, side, ignored);
else if (side == MamdaOrderBookPriceLevel.SIDE_ASK)
return findOrCreateLevel (mAskLevels, price, side, ignored);
else
{
StringBuffer msg = new StringBuffer (255);
msg.append ("MamdaOrderBookCopy::findOrCreateLevel(): ").
append ("invalid side provided: ").
append ("side");
throw new MamdaOrderBookException(msg.toString ());
}
}
public MamdaOrderBookPriceLevel findLevel (double price,
char side)
{
if (side == MamdaOrderBookPriceLevel.SIDE_BID)
return findLevel (mBidLevels, price, side);
else if (side == MamdaOrderBookPriceLevel.SIDE_ASK)
return findLevel (mAskLevels, price, side);
else
{
StringBuffer msg = new StringBuffer (255);
msg.append ("MamdaOrderBookCopy::findLevel(): ").
append ("invalid side provided: ").
append ("side");
throw new MamdaOrderBookException(msg.toString ());
}
}
public MamdaOrderBookPriceLevel getMarketOrdersSide (char side)
{
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
return mBidMarketOrders;
else if (MamdaOrderBookPriceLevel.SIDE_ASK== side)
return mAskMarketOrders;
else
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("getMarketOrdersSide(").append (mSymbol).
append ("): side=").append (side).
append (" invalid side provided");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
public MamdaOrderBookPriceLevel getOrCreateMarketOrdersSide (char side)
{
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
{
if (null == mBidMarketOrders)
{
mBidMarketOrders = new MamdaOrderBookPriceLevel (
0.0,
MamdaOrderBookPriceLevel.SIDE_BID);
mBidMarketOrders.setOrderBook (parent);
mBidMarketOrders.setOrderType (
MamdaOrderBookPriceLevel.LEVEL_MARKET);
}
return mBidMarketOrders;
}
else if (MamdaOrderBookPriceLevel.SIDE_ASK == side)
{
if (null == mAskMarketOrders)
{
mAskMarketOrders = new MamdaOrderBookPriceLevel (
0.0,
MamdaOrderBookPriceLevel.SIDE_ASK);
mAskMarketOrders.setOrderBook (parent);
mAskMarketOrders.setOrderType (
MamdaOrderBookPriceLevel.LEVEL_MARKET);
}
return mAskMarketOrders;
}
else
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("MamdaOrderBook::getOrCreateMarketOrdersSide()(").append (mSymbol).
append ("): side=").append (side).
append (" invalid side provided");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
public void apply (MamdaOrderBook deltaBook)
{
applySide (mBidLevels, deltaBook.bidIterator());
applySide (mAskLevels, deltaBook.askIterator());
if (deltaBook.getBidMarketOrders() != null)
{
applyMarketOrderSide (MamdaOrderBookPriceLevel.SIDE_BID,
deltaBook.getBidMarketOrders());
}
if (deltaBook.getAskMarketOrders() != null)
{
applyMarketOrderSide (MamdaOrderBookPriceLevel.SIDE_ASK,
deltaBook.getAskMarketOrders());
}
}
public void apply (MamdaOrderBookBasicDelta delta)
{
MamdaOrderBookPriceLevel level = delta.getPriceLevel();
if (MamdaOrderBookPriceLevel.LEVEL_MARKET ==
level.getOrderType())
{
applyMarketOrderSide (level.getSide(), level, delta);
return;
}
switch (level.getSide())
{
case MamdaOrderBookPriceLevel.SIDE_BID:
applySide (mBidLevels, delta);
break;
case MamdaOrderBookPriceLevel.SIDE_ASK:
applySide (mAskLevels, delta);
break;
default:
throw new MamdaOrderBookException (
"MamdaOrderBookFull::apply (simple delta): bad side");
}
}
public void apply (MamdaBookAtomicLevel level)
{
switch (level.getPriceLevelSide())
{
case MamdaOrderBookTypes.MAMDA_BOOK_SIDE_BID:
applySide (mBidLevels, level);
break;
case MamdaOrderBookTypes.MAMDA_BOOK_SIDE_ASK:
applySide (mAskLevels, level);
break;
default:
throw new MamdaOrderBookException (
"MamdaOrderBookFull::apply (Atomic level): bad side");
}
}
public void apply (MamdaBookAtomicLevelEntry levelEntry)
{
try
{
switch (levelEntry.getPriceLevelEntryAction())
{
case MamdaOrderBookTypes.MAMDA_BOOK_ACTION_ADD:
addEntry (levelEntry);
break;
case MamdaOrderBookTypes.MAMDA_BOOK_ACTION_UPDATE:
updateEntry (levelEntry);
break;
case MamdaOrderBookTypes.MAMDA_BOOK_ACTION_DELETE:
deleteEntry (levelEntry);
break;
case MamdaOrderBookTypes.MAMDA_BOOK_ACTION_UNKNOWN:
updateEntry (levelEntry); //treated same as update
break;
}
}
catch (MamdaOrderBookException e)
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append (e.getMessage ()).append (" (price=").
append (levelEntry.getPriceLevelMamaPrice ());
throw new MamdaOrderBookException (errMsg.toString ());
}
}
public MamdaOrderBookPriceLevel atomicUpdateToOrderBookPriceLevel (MamdaBookAtomicLevel level)
{
MamdaOrderBookPriceLevel priceLevel = new MamdaOrderBookPriceLevel();
priceLevel.setAction (level.getPriceLevelAction());
priceLevel.setSide (level.getPriceLevelSide());
priceLevel.setPrice (new MamaPrice (level.getPriceLevelPrice()) );
priceLevel.setSize (level.getPriceLevelSize());
priceLevel.setNumEntries (level.getPriceLevelNumEntries());
priceLevel.setSizeChange (level.getPriceLevelSizeChange());
priceLevel.setTime (level.getPriceLevelTime());
return priceLevel;
}
public MamdaOrderBookEntry atomiclevelEntryToOrderBookEntry (MamdaBookAtomicLevelEntry levelEntry)
{
MamdaOrderBookEntry entry = new MamdaOrderBookEntry ();
entry.setId (levelEntry.getPriceLevelEntryId());
entry.setSize ((double)levelEntry.getPriceLevelEntrySize());
entry.setAction (levelEntry.getPriceLevelEntryAction());
entry.setTime (levelEntry.getPriceLevelEntryTime());
entry.setReason (levelEntry.getPriceLevelEntryReason());
return entry;
}
public void copy (MamdaOrderBook book)
{
clear();
mIsConsistent = book.getIsConsistent();
mCheckVisibility = book.getCheckSourceState();
mNeedsReevaluation = book.getNeedsReevaluation();
mSymbol = book.getSymbol();
apply(book);
}
public long getTotalNumLevels ()
{
return mBidLevels.size() + mAskLevels.size();
}
public int getNumBidLevels ()
{
return mBidLevels.size ();
}
public int getNumAskLevels ()
{
return mAskLevels.size ();
}
MamdaOrderBookPriceLevel getBidMarketOrders ()
{
return mBidMarketOrders;
}
MamdaOrderBookPriceLevel getAskMarketOrders ()
{
return mAskMarketOrders;
}
public MamdaOrderBookPriceLevel getLevelAtPrice (double price, char side)
{
MamdaOrderBookPriceLevel found = null;
tmpPrice.setValue (price);
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
{
found = (MamdaOrderBookPriceLevel)mBidLevels.get(tmpPrice);
}
else if (MamdaOrderBookPriceLevel.SIDE_ASK == side)
{
found = (MamdaOrderBookPriceLevel)mAskLevels.get(tmpPrice);
}
return found;
}
public MamdaOrderBookPriceLevel getLevelAtPosition (long pos, char side)
{
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
{
long i = 0;
Iterator iter = bidIterator ();
while (iter.hasNext ())
{
if (i++ == pos)
return (MamdaOrderBookPriceLevel) iter.next ();
else
iter.next ();
}
}
else
{
long i = 0;
Iterator iter = askIterator ();
while (iter.hasNext ())
{
if (i++ == pos)
return (MamdaOrderBookPriceLevel) iter.next ();
else
iter.next ();
}
}
return null;
}
public MamdaOrderBookEntry getEntryAtPosition (long pos, char side)
{
// Remember: pos may be zero, which would mean we want the first
// entry in a non-empty price level.
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
{
Iterator iter = bidIterator ();
while (iter.hasNext ())
{
MamdaOrderBookPriceLevel level =
(MamdaOrderBookPriceLevel) iter.next ();
double numEntries = level.getNumEntries();
if (pos >= numEntries)
{
pos -= numEntries;
// ... and continue to next level.
}
else
{
return level.getEntryAtPosition (pos);
}
}
}
else
{
Iterator iter = askIterator ();
while (iter.hasNext ())
{
MamdaOrderBookPriceLevel level =
(MamdaOrderBookPriceLevel) iter.next ();
double numEntries = level.getNumEntries();
if (pos >= numEntries)
{
pos -= numEntries;
// ... and continue to next level.
}
else
{
return level.getEntryAtPosition (pos);
}
}
}
return null;
}
private void applySide (TreeMap bookSide, Iterator i)
{
while (i.hasNext ())
{
MamdaOrderBookPriceLevel level =
(MamdaOrderBookPriceLevel) i.next ();
try
{
switch (level.getAction())
{
case MamdaOrderBookPriceLevel.ACTION_ADD:
addLevelSide (bookSide, level);
break;
case MamdaOrderBookPriceLevel.ACTION_UPDATE:
applyLevelSide (bookSide, level);
break;
case MamdaOrderBookPriceLevel.ACTION_DELETE:
deleteLevelSide (bookSide, level);
break;
case MamdaOrderBookPriceLevel.ACTION_UNKNOWN:
// explicitly not handled
break;
}
}
catch (MamdaOrderBookException e)
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append (e.getMessage ()).append (" (price=").
append (level.getPrice ()).append (")");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
}
private void applyMarketOrderSide (char side, MamdaOrderBookPriceLevel level)
{
try
{
switch (level.getAction())
{
case MamdaOrderBookPriceLevel.ACTION_ADD:
addMarketOrderLevelSide (side, level);
break;
case MamdaOrderBookPriceLevel.ACTION_UPDATE:
applyMarketOrderLevelSide (side, level);
break;
case MamdaOrderBookPriceLevel.ACTION_DELETE:
deleteMarketOrderLevelSide (side, level);
break;
case MamdaOrderBookPriceLevel.ACTION_UNKNOWN:
// explicitly not handled
break;
}
}
catch (MamdaOrderBookException e)
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append (e.getMessage ()).append (" Market Order (price=").
append (level.getPrice ()).append (")");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void applyMarketOrderSide (char side,
MamdaOrderBookPriceLevel level,
MamdaOrderBookBasicDelta delta)
{
try
{
switch (delta.getPlDeltaAction())
{
case MamdaOrderBookPriceLevel.ACTION_ADD:
addMarketOrderLevelSide (side, level);
break;
case MamdaOrderBookPriceLevel.ACTION_UPDATE:
applyMarketOrderLevelSide (side, level, delta);
break;
case MamdaOrderBookPriceLevel.ACTION_DELETE:
deleteMarketOrderLevelSide (side, level);
break;
case MamdaOrderBookPriceLevel.ACTION_UNKNOWN:
// explicitly not handled
break;
}
}
catch (MamdaOrderBookException e)
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append (e.getMessage ()).append (" Market Order (price=").
append (level.getPrice ()).append (")");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void addLevelSide (TreeMap bookSide, MamdaBookAtomicLevel level)
{
mPrice.setValue(level.getPriceLevelPrice());
if (!bookSide.containsKey(mPrice))
{
MamdaOrderBookPriceLevel levelcopy;
levelcopy = atomicUpdateToOrderBookPriceLevel(level);
levelcopy.setOrderBook(parent);
bookSide.put (levelcopy.getPrice(), levelcopy);
}
else
{
updateLevelSide (bookSide, level);
mLogger.info ("addLevelSide: Atomic Level :warning: " + level.getPriceLevelPrice() +
" already exists in book\n");
throw new MamdaOrderBookException ("addLevelSide: Atomic Level :warning: " +
level.getPriceLevelPrice() +
" already exists in book\n");
}
}
private void addLevelSide (TreeMap bookSide, MamdaOrderBookPriceLevel level)
{
MamaPrice price = level.getPrice();
if (!bookSide.containsKey(price))
{
MamdaOrderBookPriceLevel levelCopy;
// Only copy if alread associated with a book.
if (level.getOrderBook () != null)
levelCopy = new MamdaOrderBookPriceLevel (level);
else
levelCopy = level;
levelCopy.setOrderBook (parent);
bookSide.put (price, levelCopy);
if (mGenerateDeltas)
{
addDelta (null, levelCopy, levelCopy.getSizeChange(),
MamdaOrderBookPriceLevel.ACTION_ADD,
MamdaOrderBookEntry.ACTION_UNKNOWN);
}
}
else
{
updateLevelSide (bookSide, level);
mLogger.info ("addLevelSide: warning: " + price +
" already exists in book\n");
throw new MamdaOrderBookException ("addLevelSide: warning: " +
price +
" already exists in book\n");
}
}
private void addMarketOrderLevelSide (char side, MamdaOrderBookPriceLevel level)
{
MamdaOrderBookPriceLevel bookLevel = getMarketOrdersSide(side);
if (bookLevel == null)
{
bookLevel = new MamdaOrderBookPriceLevel (level);
bookLevel.setOrderBook(parent);
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
mBidMarketOrders = bookLevel;
else if (MamdaOrderBookPriceLevel.SIDE_ASK == side)
mAskMarketOrders = bookLevel;
else
{
StringBuffer errMsg = new StringBuffer (1000);
errMsg.append (" MamdaOrderBook::addMarketOrderSide():").
append("invalid side provided: ").append (side);
throw new MamdaOrderBookException (errMsg.toString ());
}
}
else
{
updateMarketOrderLevelSide (side, level);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("addMarketOrderLevelSide(").append (mSymbol).append ("): side=").
append (side).append ("already exists in book (size=").
append (level.getSize ());
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void addLevelSide (TreeMap bookSide, MamdaOrderBookBasicDelta delta)
{
MamdaOrderBookPriceLevel level = delta.getPriceLevel();
MamaPrice price = level.getPrice();
MamdaOrderBookPriceLevel found =
(MamdaOrderBookPriceLevel) bookSide.get(price);
if (found == null)
{
// Only copy if associated with book.
MamdaOrderBookPriceLevel levelCopy;
if (level.getOrderBook () != null)
levelCopy = new MamdaOrderBookPriceLevel (level);
else
levelCopy = level;
bookSide.put (price, levelCopy);
levelCopy.setOrderBook(parent);
if (mGenerateDeltas)
{
addDelta (delta.getEntry(), levelCopy, levelCopy.getSizeChange(),
MamdaOrderBookPriceLevel.ACTION_ADD,
MamdaOrderBookEntry.ACTION_UNKNOWN);
}
}
else
{
updateLevelSide (bookSide, delta);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("addLevel(").append (mSymbol).append ("): price=").
append (price).append ("already exists in book (size=").
append (found.getSize ());
throw new MamdaOrderBookException (errMsg.toString ());
}
}
public void addLevelSideNoCopy (TreeMap bookSide,
MamdaOrderBookPriceLevel level)
{
MamaPrice price = level.getPrice();
if (!bookSide.containsKey(price))
{
bookSide.put (level.getPrice(),level);
if (mGenerateDeltas)
{
addDelta (null, level, level.getSizeChange(),
MamdaOrderBookPriceLevel.ACTION_ADD,
MamdaOrderBookEntry.ACTION_UNKNOWN);
}
}
else
{
updateLevelSide (bookSide, level);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("addLevel(").append (mSymbol).
append ("): price=").append (price).
append (" already exists in book");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void updateLevelSide (TreeMap bookSide,
MamdaBookAtomicLevel level)
{
mPrice.setValue (level.getPriceLevelPrice());
MamdaOrderBookPriceLevel found =
(MamdaOrderBookPriceLevel) bookSide.get(mPrice);
if (found != null)
{
found.copy (level);
}
else
{
addLevelSide (bookSide, level);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("Atomic updateLevel(").append (mSymbol).
append ("): price=").append (level.getPriceLevelPrice()).
append (" does not exist in book");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void updateLevelSide (TreeMap bookSide,
MamdaOrderBookPriceLevel level)
{
MamaPrice price = level.getPrice();
MamdaOrderBookPriceLevel found =
(MamdaOrderBookPriceLevel) bookSide.get(price);
if (found != null)
{
/* Note: If the update does not contain all of the entries,
* then we should have used applyLevelSide instead! */
found.copy (level);
if (mGenerateDeltas)
{
addDelta (null, level, level.getSizeChange(),
MamdaOrderBookPriceLevel.ACTION_UPDATE,
MamdaOrderBookEntry.ACTION_UNKNOWN);
}
}
else
{
addLevelSide (bookSide, level);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("updateLevel(").append (mSymbol).
append ("): price=").append (price).
append (" does not exist in book");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void updateLevelSide (TreeMap bookSide,
MamdaOrderBookBasicDelta delta)
{
MamdaOrderBookPriceLevel level = delta.getPriceLevel();
MamaPrice price = level.getPrice();
MamdaOrderBookPriceLevel found =
(MamdaOrderBookPriceLevel) bookSide.get(price);
if (found != null)
{
/* Note: If the update does not contain all of the entries,
* then we should have used applyLevelSide instead! */
found.copy (level);
found.setOrderBook (parent);
if (mGenerateDeltas)
{
addDelta (delta.getEntry(),delta.getPriceLevel(), level.getSizeChange(),
MamdaOrderBookPriceLevel.ACTION_UPDATE,
MamdaOrderBookEntry.ACTION_UNKNOWN);
}
}
else
{
addLevelSide (bookSide, delta);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("updateLevel(").append(mSymbol).append("): price=").
append (price);
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void updateMarketOrderLevelSide(char side, MamdaOrderBookPriceLevel level)
{
MamdaOrderBookPriceLevel existingLevel = getMarketOrdersSide (side);
if (existingLevel != null)
{
/* Note: If the update does not contain all of the entries,
* then we should have used applyLevelSide instead! */
existingLevel.copy (level);
existingLevel.setOrderBook (parent);
}
else
{
addMarketOrderLevelSide (side, level);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("updateMarketOrderLevelSidel()").append (mSymbol).
append ("): side=").append (side).
append (" does not exist in book");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void applyLevelSide (TreeMap bookSide,
MamdaBookAtomicLevel level)
{
MamaPrice price = level.getPriceLevelMamaPrice();
MamdaOrderBookPriceLevel found =
(MamdaOrderBookPriceLevel)bookSide.get(price);
if (found != null)
{
Iterator i = level.entryIterator ();
while (i.hasNext ())
{
MamdaOrderBookEntry entry =
new MamdaOrderBookEntry((MamdaOrderBookEntry) i.next ());
switch (entry.getAction())
{
case MamdaOrderBookEntry.ACTION_ADD:
found.addEntry (entry);
break;
case MamdaOrderBookEntry.ACTION_UPDATE:
found.updateEntry (entry);
break;
case MamdaOrderBookEntry.ACTION_DELETE:
found.removeEntryById (entry);
break;
case MamdaOrderBookEntry.ACTION_UNKNOWN:
// explicitly not handled
break;
}
}
found.setDetails (level);
}
else
{
addLevelSide (bookSide, level);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("Atomic applyLevel()").append (mSymbol).
append ("): price=").append (price).
append (" does not exist in book");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void applyLevelSide (TreeMap bookSide,
MamdaOrderBookPriceLevel level)
{
MamaPrice price = level.getPrice();
MamdaOrderBookPriceLevel found =
(MamdaOrderBookPriceLevel) bookSide.get(price);
if (found != null)
{
Iterator i = level.entryIterator ();
while (i.hasNext ())
{
MamdaOrderBookEntry entry =
new MamdaOrderBookEntry ((MamdaOrderBookEntry) i.next ());
switch (entry.getAction())
{
case MamdaOrderBookEntry.ACTION_ADD:
found.addEntry (entry);
break;
case MamdaOrderBookEntry.ACTION_UPDATE:
found.updateEntry (entry);
break;
case MamdaOrderBookEntry.ACTION_DELETE:
found.removeEntryById (entry);
break;
case MamdaOrderBookEntry.ACTION_UNKNOWN:
// explicitly not handled
break;
}
}
found.setDetails (level);
}
else
{
addLevelSide (bookSide, level);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("applyLevel(").append (mSymbol).
append ("): price=").append (price).
append (" does not exist in book");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void applyLevelSide (TreeMap bookSide,
MamdaOrderBookBasicDelta delta)
{
MamdaOrderBookPriceLevel level = delta.getPriceLevel();
MamaPrice price = level.getPrice();
MamdaOrderBookPriceLevel found =
(MamdaOrderBookPriceLevel) bookSide.get(price);
if (found != null)
{
MamdaOrderBookEntry entry = delta.getEntry();
if (entry != null)
{
switch (delta.getEntryDeltaAction())
{
case MamdaOrderBookEntry.ACTION_ADD:
found.addEntry (new MamdaOrderBookEntry(entry));
break;
case MamdaOrderBookEntry.ACTION_UPDATE:
found.updateEntry (entry);
break;
case MamdaOrderBookEntry.ACTION_DELETE:
found.removeEntryById (entry);
break;
case MamdaOrderBookEntry.ACTION_UNKNOWN:
// explicitly not handled
break;
}
}
found.setDetails (level);
}
else
{
addLevelSide (bookSide, delta);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("applyLevel(").append (mSymbol).append ("): price=").
append (price).append (" does not exist in book");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void applyMarketOrderLevelSide (char side, MamdaOrderBookPriceLevel level)
{
MamdaOrderBookPriceLevel existingLevel = getMarketOrdersSide (side);
if (null != existingLevel)
{
Iterator i = level.entryIterator ();
while (i.hasNext ())
{
MamdaOrderBookEntry entry =
new MamdaOrderBookEntry((MamdaOrderBookEntry) i.next ());
switch (entry.getAction())
{
case MamdaOrderBookEntry.ACTION_ADD:
existingLevel.addEntry (entry);
break;
case MamdaOrderBookEntry.ACTION_UPDATE:
existingLevel.updateEntry (entry);
break;
case MamdaOrderBookEntry.ACTION_DELETE:
existingLevel.removeEntryById (entry);
break;
case MamdaOrderBookEntry.ACTION_UNKNOWN:
// explicitly not handled
break;
}
}
existingLevel.setDetails (level);
}
else
{
addMarketOrderLevelSide (side, level);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("applyMarketOrderLevelSide(").append (mSymbol).
append ("): side=").append (side).
append (" does not exist in book");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void applyMarketOrderLevelSide (char side,
MamdaOrderBookPriceLevel level,
MamdaOrderBookBasicDelta delta)
{
MamdaOrderBookPriceLevel existingLevel = getMarketOrdersSide (side);
if (null != existingLevel)
{
MamdaOrderBookEntry entry = delta.getEntry();
switch (delta.getEntryDeltaAction())
{
case MamdaOrderBookEntry.ACTION_ADD:
existingLevel.addEntry (new MamdaOrderBookEntry(entry));
break;
case MamdaOrderBookEntry.ACTION_UPDATE:
existingLevel.updateEntry (entry);
break;
case MamdaOrderBookEntry.ACTION_DELETE:
existingLevel.removeEntryById (entry);
break;
case MamdaOrderBookEntry.ACTION_UNKNOWN:
// explicitly not handled
break;
}
existingLevel.setDetails (level);
}
else
{
addMarketOrderLevelSide (side, level);
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("applyMarketOrderLevelSide(").append (mSymbol).
append ("): side=").append (side).
append (" does not exist in book");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
public void addEntry (MamdaBookAtomicLevelEntry levelEntry)
{
MamdaOrderBookEntry entry = atomiclevelEntryToOrderBookEntry(levelEntry);
long entrySize = levelEntry.getPriceLevelEntrySize();
double price = levelEntry.getPriceLevelPrice();
char side = levelEntry.getPriceLevelSide();
MamaDateTime eventTime = levelEntry.getPriceLevelEntryTime();
MamdaOrderBookBasicDelta delta = null;
addEntry (entry, price, side, eventTime, delta);
}
public void addEntry (MamdaOrderBookEntry entry,
double price,
char side,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta)
{
if (side == MamdaOrderBookPriceLevel.SIDE_BID)
addEntry (mBidLevels, entry, price, side, eventTime, delta);
else if (side == MamdaOrderBookPriceLevel.SIDE_ASK)
addEntry (mAskLevels, entry, price, side, eventTime, delta);
}
private void deleteLevelSide (TreeMap bookSide,
MamdaBookAtomicLevel level)
{
if (bookSide.containsKey(level.getPriceLevelMamaPrice()))
{
bookSide.remove (level.getPriceLevelMamaPrice());
}
else
{
mLogger.info ("Atomic deleteLevelSide: warning: " + level.getPriceLevelMamaPrice() +
" does not exist in book\n");
}
}
private void deleteLevelSide (TreeMap bookSide,
MamdaOrderBookPriceLevel level)
{
MamaPrice price = level.getPrice();
if (bookSide.containsKey(price))
{
/* We actually need to process this properly because the
* update may not contain all entries, just updated
* ones. */
bookSide.remove (price);
if (mGenerateDeltas)
{
addDelta (null, level, level.getSizeChange(),
MamdaOrderBookPriceLevel.ACTION_DELETE,
MamdaOrderBookEntry.ACTION_UNKNOWN);
}
}
else
{
mLogger.info ("deleteLevelSide: warning: " + price +
" does not exist in book\n");
}
}
private void deleteLevelSide (TreeMap bookSide,
MamdaOrderBookBasicDelta delta)
{
MamdaOrderBookPriceLevel level = delta.getPriceLevel();
MamaPrice price = level.getPrice();
MamdaOrderBookPriceLevel found =
(MamdaOrderBookPriceLevel) bookSide.get(price);
if (found != null)
{
bookSide.remove(price);
if (mGenerateDeltas)
{
addDelta (delta.getEntry(), delta.getPriceLevel(), level.getSizeChange(),
MamdaOrderBookPriceLevel.ACTION_DELETE,
delta.getEntry().getAction());
}
}
else
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("deleteLevel(").append (mSymbol).
append ("): price=").append (price).
append (" does not exist in book");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void deleteMarketOrderLevelSide (char side, MamdaOrderBookPriceLevel level)
{
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
{
detach(level);
return;
}
if (MamdaOrderBookPriceLevel.SIDE_ASK == side)
{
detach(level);
return;
}
else
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("deleteMarketOrderLevelSide: warning:").append (mSymbol).
append ("): side=").append (side).
append (" does not exist in book");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void markAllDeleted (TreeMap bookSide)
{
Iterator iter = bookSide.values().iterator();
while (iter.hasNext())
{
MamdaOrderBookPriceLevel level =
(MamdaOrderBookPriceLevel)iter.next();
level.markAllDeleted();
}
}
private TreeMap determineDiffs (TreeMap resultSide,
TreeMap lhs,
TreeMap rhs)
{
Iterator lhsIter = lhs.values().iterator();
Iterator rhsIter = rhs.values().iterator();
while (lhsIter.hasNext() || rhsIter.hasNext())
{
MamdaOrderBookPriceLevel lhsLevel = null;
MamdaOrderBookPriceLevel rhsLevel = null;
double lhsPrice = Double.MIN_VALUE;
double rhsPrice = Double.MIN_VALUE;
double lhsSize = 0;
double rhsSize = 0;
if (lhsIter.hasNext())
{
lhsLevel = (MamdaOrderBookPriceLevel)lhsIter.next();
lhsPrice = lhsLevel.getPrice().getValue();
lhsSize = lhsLevel.getSize();
}
if (rhsIter.hasNext())
{
rhsLevel = (MamdaOrderBookPriceLevel)rhsIter.next();
rhsPrice = rhsLevel.getPrice().getValue();
rhsSize = rhsLevel.getSize();
}
if ((lhsPrice == rhsPrice) && (lhsSize == rhsSize))
{
// Usual scenario: both levels are the same
continue;
}
if (lhsPrice == rhsPrice)
{
// Same price, different size. Need to determine the
// different entries.
assert lhsLevel != null;
assert rhsLevel != null;
MamdaOrderBookPriceLevel diffLevel =
new MamdaOrderBookPriceLevel();
diffLevel.setAsDifference (lhsLevel, rhsLevel);
resultSide.put (lhsLevel.getPrice(), diffLevel);
continue;
}
if (((lhsPrice > rhsPrice) && (rhsPrice != Double.MIN_VALUE)) ||
(lhsPrice == Double.MIN_VALUE))
{
// RHS has an additional price level
MamdaOrderBookPriceLevel diffLevel =
new MamdaOrderBookPriceLevel(rhsLevel);
diffLevel.setOrderBook (parent);
resultSide.put (rhsLevel.getPrice(), diffLevel);
}
else
{
// RHS does not have a price level that is on the LHS.
// Copy the LHS level and mark all as deleted.
MamdaOrderBookPriceLevel diffLevel =
new MamdaOrderBookPriceLevel(lhsLevel);
diffLevel.setOrderBook (parent);
resultSide.put (lhsLevel.getPrice(), diffLevel);
}
}
return resultSide;
}
private MamdaOrderBookPriceLevel findOrCreateLevel (TreeMap bookSide,
double price,
char side,
MamaChar plAction)
{
tmpPrice.setValue (price);
MamdaOrderBookPriceLevel found =
(MamdaOrderBookPriceLevel) bookSide.get (tmpPrice);
if (found == null)
{
MamdaOrderBookPriceLevel level =
new MamdaOrderBookPriceLevel (price, side);
bookSide.put (level.getPrice(),level);
level.setOrderBook (parent);
plAction.setValue (MamdaOrderBookPriceLevel.ACTION_ADD);
if (mGenerateDeltas)
{
addDelta (null, level, 0.0,
MamdaOrderBookPriceLevel.ACTION_ADD,
MamdaOrderBookEntry.ACTION_UNKNOWN);
}
return level;
}
else
{
/* The level may exist but could be empty, so the plAction may
* be ADD or UPDATE. */
plAction.setValue ((found.getNumEntries() == 0) ?
MamdaOrderBookPriceLevel.ACTION_ADD :
MamdaOrderBookPriceLevel.ACTION_UPDATE);
return found;
}
}
private MamdaOrderBookPriceLevel findLevel (TreeMap bookSide,
double price,
char side)
{
tmpPrice.setValue (price);
MamdaOrderBookPriceLevel found = null;
found = (MamdaOrderBookPriceLevel) bookSide.get (tmpPrice);
return found;
}
private void addEntry (TreeMap bookSide,
MamdaOrderBookEntry entry,
double price,
char side,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta)
{
MamaChar plAction = new MamaChar ();
MamdaOrderBookPriceLevel level =
findOrCreateLevel (bookSide, price, side, plAction);
double plSizeDelta = 0.0;
if (!mCheckVisibility || entry.isVisible())
{
plSizeDelta = entry.getSize();
level.setTime (eventTime);
}
level.setOrderBook(parent);
level.addEntry (entry);
if (delta != null)
{
delta.set (entry, level, plSizeDelta, plAction.getValue (),
MamdaOrderBookEntry.ACTION_ADD);
}
}
public void updateEntry (MamdaBookAtomicLevelEntry levelEntry)
{
double price = levelEntry.getPriceLevelPrice();
char side = levelEntry.getPriceLevelSide();
MamdaOrderBookPriceLevel level = getLevelAtPrice(price, side);
if (level == null)
{
throw new MamdaOrderBookInvalidEntryException (levelEntry,
"MamdaOrderBook::updateEntry()");
}
if (level.getTime() != levelEntry.getPriceLevelEntryTime())
{
// For some reason, we can get updates that do not change the
// size and so we also don't want to change the time.
if (!mCheckVisibility || levelEntry.isVisible())
{
level.setTime (levelEntry.getPriceLevelEntryTime());
}
}
level.updateEntry(levelEntry);
}
public void updateEntry (MamdaOrderBookEntry entry,
double size,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta)
{
MamdaOrderBookPriceLevel level = entry.getPriceLevel();
if (level == null)
{
throw new MamdaOrderBookInvalidEntryException (entry,
"MamdaOrderBook::updateEntry()");
}
double plSizeDelta = 0.0;
if (size != entry.getSize())
{
// For some reason, we can get updates that do not change the
// size and so we also don't want to change the time.
if (!mCheckVisibility || entry.isVisible())
{
plSizeDelta = size - entry.getSize();
level.setSize ((long) (level.getSize() + plSizeDelta));
level.setTime (eventTime);
}
entry.setSize ((long) size);
entry.setTime (eventTime);
}
if (delta != null)
{
delta.set (entry, level, plSizeDelta,
MamdaOrderBookPriceLevel.ACTION_UPDATE,
MamdaOrderBookEntry.ACTION_UPDATE);
}
if (mGenerateDeltas)
{
addDelta (entry, level, plSizeDelta,
MamdaOrderBookPriceLevel.ACTION_UPDATE,
MamdaOrderBookEntry.ACTION_UPDATE);
}
}
public void deleteEntry (MamdaBookAtomicLevelEntry levelEntry)
{
double price = levelEntry.getPriceLevelPrice();
char side = levelEntry.getPriceLevelSide();
MamdaOrderBookPriceLevel level = getLevelAtPrice(price, side);
if (level == null) /*this may occur when a previous Level update with action delete removes the level
and the levelEntry */
{
return;
}
else
{
if (level.getTime() != levelEntry.getPriceLevelEntryTime())
{
if (!mCheckVisibility || levelEntry.isVisible())
{
level.setTime (levelEntry.getPriceLevelEntryTime());
}
}
level.removeEntry (levelEntry);
if (level.empty())
{
detach (level);
}
}
}
public void deleteEntry (MamdaOrderBookEntry entry,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta)
{
MamdaOrderBookPriceLevel level = entry.getPriceLevel();
if (level == null)
throw new MamdaOrderBookInvalidEntryException (entry,
"MamdaOrderBook::deleteEntry()");
double plSizeDelta = 0.0;
if (!mCheckVisibility || entry.isVisible())
{
plSizeDelta = -entry.getSize();
level.setTime (eventTime);
}
level.removeEntry (entry);
if (level.empty())
{
detach (level);
}
char plAction = MamdaOrderBookPriceLevel.ACTION_UPDATE;
if (delta != null)
{
if (level.getSize() == 0)
{
plAction = MamdaOrderBookPriceLevel.ACTION_DELETE;
}
delta.set (entry, level, plSizeDelta, plAction,
MamdaOrderBookEntry.ACTION_DELETE);
}
if ((!level.empty()) && (mGenerateDeltas))
{
addDelta (entry, level, plSizeDelta, plAction,
MamdaOrderBookEntry.ACTION_DELETE);
}
}
public void addEntriesFromBook (MamdaOrderBook book,
MamdaOrderBookEntryFilter filter,
MamdaOrderBookBasicDeltaList delta)
{
MamaChar ignored = new MamaChar ();
Iterator bidIter = mBidLevels.values ().iterator ();
while (bidIter.hasNext ())
{
MamdaOrderBookPriceLevel bookLevel =
(MamdaOrderBookPriceLevel) bidIter.next ();
MamdaOrderBookPriceLevel level = findOrCreateLevel (
mBidLevels, bookLevel.getPrice().getValue (),
bookLevel.getSide(), ignored);
level.addEntriesFromLevel (bookLevel, filter, delta);
}
Iterator askIter = mAskLevels.values ().iterator ();
while (askIter.hasNext ())
{
MamdaOrderBookPriceLevel bookLevel =
(MamdaOrderBookPriceLevel) askIter.next ();
MamdaOrderBookPriceLevel level = findOrCreateLevel (
mAskLevels, bookLevel.getPrice().getValue (),
bookLevel.getSide(), ignored);
level.addEntriesFromLevel (bookLevel, filter, delta);
}
}
public void addPriceLevelsFromBookAsEntries (MamdaOrderBook book,
String source,
MamdaOrderBookBasicDeltaList delta)
{
Iterator bidIter = mBidLevels.values ().iterator ();
while (bidIter.hasNext ())
{
MamdaOrderBookPriceLevel bookLevel =
(MamdaOrderBookPriceLevel) bidIter.next ();
MamdaOrderBookEntry entry =
new MamdaOrderBookEntry (source, bookLevel.getSize(),
MamdaOrderBookEntry.ACTION_ADD,
bookLevel.getTime(),
book.getSourceDerivative());
if (delta != null)
{
MamdaOrderBookBasicDelta basicDelta =
new MamdaOrderBookBasicDelta ();
addEntry (mBidLevels, entry, bookLevel.getPrice().getValue (),
bookLevel.getSide(), bookLevel.getTime(),
basicDelta);
delta.add (basicDelta);
}
else
{
addEntry (mBidLevels, entry, bookLevel.getPrice().getValue (),
bookLevel.getSide(), bookLevel.getTime(), null);
}
}
Iterator askIter = mAskLevels.values ().iterator ();
while (askIter.hasNext ())
{
MamdaOrderBookPriceLevel bookLevel =
(MamdaOrderBookPriceLevel) askIter.next ();
MamdaOrderBookEntry entry =
new MamdaOrderBookEntry (source, bookLevel.getSize(),
MamdaOrderBookEntry.ACTION_ADD,
bookLevel.getTime(),
book.getSourceDerivative());
if (delta != null)
{
MamdaOrderBookBasicDelta basicDelta =
new MamdaOrderBookBasicDelta ();
addEntry (mAskLevels, entry, bookLevel.getPrice().getValue (),
bookLevel.getSide(), bookLevel.getTime(),
basicDelta);
delta.add (basicDelta);
}
else
{
addEntry (mAskLevels, entry, bookLevel.getPrice().getValue (),
bookLevel.getSide(), bookLevel.getTime(), null);
}
}
}
public void deleteEntriesFromSource (
MamaSource source,
MamdaOrderBookBasicDeltaList delta)
{
Iterator bidIter = mBidLevels.values ().iterator ();
while (bidIter.hasNext ())
{
((MamdaOrderBookPriceLevel)
bidIter.next()).deleteEntriesFromSource (source, delta);
}
Iterator askIter = mAskLevels.values ().iterator ();
while (askIter.hasNext ())
{
((MamdaOrderBookPriceLevel)
askIter.next ()).deleteEntriesFromSource (source, delta);
}
}
public void detach (MamdaOrderBookPriceLevel level)
{
// Remove the level from the relevant side
if (level.getOrderType() == MamdaOrderBookPriceLevel.LEVEL_MARKET)
{
switch (level.getSide())
{
case MamdaOrderBookPriceLevel.SIDE_BID:
{
level = null;
if (mBidMarketOrders != null)
{
mBidMarketOrders.clear();
mBidMarketOrders = null;
}
return;
}
case MamdaOrderBookPriceLevel.SIDE_ASK:
{
level = null;
if (mAskMarketOrders != null)
{
mAskMarketOrders.clear();
mAskMarketOrders = null;
}
return;
}
case MamdaOrderBookPriceLevel.SIDE_UNKNOWN:
{
StringBuffer msg = new StringBuffer (1000);
String sourceId = "none";
if (mSourceDeriv != null)
sourceId = mSourceDeriv.getBaseSource().getDisplayId();
msg.append ("MamdaOrderBook.detach(").append (sourceId).
append (":").append (mSymbol).append (") attempted to ").
append ("detach MARKET level with unknown side!");
//throw MamdaOrderBookException(msg);
System.out.println (msg.toString ());
}
}
}
MamaPrice price = level.getPrice();
switch (level.getSide())
{
case MamdaOrderBookPriceLevel.SIDE_BID:
{
Object found = mBidLevels.remove (price);
if (found == null)
{
StringBuffer msg = new StringBuffer (1000);
String sourceId = "none";
if (mSourceDeriv != null)
sourceId = mSourceDeriv.getBaseSource().getDisplayId();
msg.append ("MamdaOrderBook.detach(").append (sourceId).
append (":").append (mSymbol).append (") attempted to ").
append ("detach price level ").append (price).
append (" (bid) which does not exist in the book!");
System.out.println (msg.toString ());
return;
}
break;
}
case MamdaOrderBookPriceLevel.SIDE_ASK:
{
Object found = mAskLevels.remove (price);
if (found == null)
{
StringBuffer msg = new StringBuffer (1000);
String sourceId = "none";
if (mSourceDeriv != null)
sourceId = mSourceDeriv.getBaseSource().getDisplayId();
msg.append ("MamdaOrderBook.detach(").append (sourceId).
append (":").append (mSymbol).append (") attempted to ").
append ("detach price level ").append (price).
append (" (ask) which does not exist in the book!");
//throw MamdaOrderBookException(msg);
System.out.println (msg.toString ());
return;
}
break;
}
case MamdaOrderBookPriceLevel.SIDE_UNKNOWN:
{
StringBuffer msg = new StringBuffer (1000);
String sourceId = "none";
if (mSourceDeriv != null)
sourceId = mSourceDeriv.getBaseSource().getDisplayId();
msg.append ("MamdaOrderBook.detach(").append (sourceId).
append (":").append (mSymbol).append (") attempted to ").
append ("detach price level ").append (price).
append ("with unknown side!");
//throw MamdaOrderBookException(msg);
System.out.println (msg.toString ());
}
}
}
public void addLevel (
MamdaOrderBookPriceLevel level)
{
try
{
switch (level.getSide())
{
case MamdaOrderBookPriceLevel.SIDE_BID:
addLevelSideNoCopy(mBidLevels, level);
break;
case MamdaOrderBookPriceLevel.SIDE_ASK:
addLevelSideNoCopy(mAskLevels, level);
break;
case MamdaOrderBookPriceLevel.SIDE_UNKNOWN:
// explicitly not handled
break;
}
}
catch (MamdaOrderBookException e)
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append (e.getMessage ()).append (" (price=").
append (level.getPrice ());
throw new MamdaOrderBookException (errMsg.toString ());
}
}
public void updateLevel (
MamdaOrderBookPriceLevel level)
{
try
{
switch (level.getSide())
{
case MamdaOrderBookPriceLevel.SIDE_BID:
updateLevelSide (mBidLevels, level);
break;
case MamdaOrderBookPriceLevel.SIDE_ASK:
updateLevelSide (mAskLevels, level);
break;
case MamdaOrderBookPriceLevel.SIDE_UNKNOWN:
// explicitly not handled
break;
}
}
catch (MamdaOrderBookException e)
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append (e.getMessage ()).append (" (price=").
append (level.getPrice ());
throw new MamdaOrderBookException (errMsg.toString ());
}
}
public void deleteLevel (MamdaOrderBookPriceLevel level)
{
/* needs a try catch*/
try
{
switch (level.getSide())
{
case MamdaOrderBookPriceLevel.SIDE_BID:
deleteLevelSide (mBidLevels, level);
break;
case MamdaOrderBookPriceLevel.SIDE_ASK:
deleteLevelSide (mAskLevels, level);
break;
case MamdaOrderBookPriceLevel.SIDE_UNKNOWN:
// explicitly not handled
break;
}
}
catch( MamdaOrderBookException e)
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append (e.getMessage ()).append (" (price=").
append (level.getPrice ());
throw new MamdaOrderBookException (errMsg.toString ());
}
}
public void generateDeltaMsgs(boolean publish)
{
mGenerateDeltas = publish;
if (publish)
{
mPublishSimpleDelta = new MamdaOrderBookConcreteSimpleDelta();
mPublishComplexDelta = new MamdaOrderbookConcreteComplexDelta();
mWriter = new MamdaOrderBookWriter();
}
}
public void addDelta (MamdaOrderBookEntry entry,
MamdaOrderBookPriceLevel level,
double plDeltaSize,
char plAction,
char entryAction)
{
++mCurrentDeltaCount;
if (1 == mCurrentDeltaCount)
{
/* This is number one, so save the "simple" delta. */
mPublishSimpleDelta.set (
entry, level, plDeltaSize, plAction, entryAction);
}
else if (2 == mCurrentDeltaCount)
{
/* This is number two, so copy the saved "simple" delta to the
* "complex" delta and add the current one. */
mPublishComplexDelta.clear();
mPublishComplexDelta.add (mPublishSimpleDelta);
mPublishComplexDelta.add (
entry, level, plDeltaSize, plAction, entryAction);
}
else
{
/* This is number greater than two, so add the current delta. */
mPublishComplexDelta.add (
entry, level, plDeltaSize, plAction, entryAction);
}
}
private void applySide (TreeMap bookSide, MamdaOrderBookBasicDelta delta)
{
MamdaOrderBookPriceLevel level = delta.getPriceLevel();
try
{
switch (delta.getPlDeltaAction())
{
case MamdaOrderBookPriceLevel.ACTION_ADD:
addLevelSide (bookSide, delta);
break;
case MamdaOrderBookPriceLevel.ACTION_UPDATE:
applyLevelSide (bookSide, delta);
break;
case MamdaOrderBookPriceLevel.ACTION_DELETE:
deleteLevelSide (bookSide, delta);
break;
case MamdaOrderBookPriceLevel.ACTION_UNKNOWN:
// explicitly not handled
break;
}
}
catch (MamdaOrderBookException e)
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append (e.getMessage ()).append (" (price=").
append (level.getPrice ());
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private void applySide (TreeMap bookSide, MamdaBookAtomicLevel level)
{
try
{
switch (level.getPriceLevelAction())
{
case MamdaOrderBookTypes.MAMDA_BOOK_ACTION_ADD:
addLevelSide (bookSide, level);
break;
case MamdaOrderBookTypes.MAMDA_BOOK_ACTION_UPDATE:
applyLevelSide (bookSide, level);
break;
case MamdaOrderBookTypes.MAMDA_BOOK_ACTION_DELETE:
deleteLevelSide (bookSide, level);
break;
case MamdaOrderBookTypes.MAMDA_BOOK_ACTION_UNKNOWN:
applyLevelSide (bookSide, level); //treated same as update
break;
}
}
catch (MamdaOrderBookException e)
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append (e.getMessage ()).append (" (price=").
append (level.getPriceLevelMamaPrice ());
throw new MamdaOrderBookException (errMsg.toString ());
}
}
public Iterator bidIterator()
{
return mBidLevels.values().iterator();
}
public Iterator askIterator()
{
return mAskLevels.values().iterator();
}
public void setAsDeltaDifference (MamdaOrderBook lhs,
MamdaOrderBook rhs)
{
clear();
determineDiffs (mBidLevels, lhs.bidIterator(), rhs.bidIterator());
determineDiffs (mAskLevels, lhs.askIterator(), rhs.askIterator());
}
private TreeMap determineDiffs (TreeMap resultSide,
Iterator lhsIter,
Iterator rhsIter)
{
while (lhsIter.hasNext() || rhsIter.hasNext())
{
MamdaOrderBookPriceLevel lhsLevel = null;
MamdaOrderBookPriceLevel rhsLevel = null;
double lhsPrice = 0.0;
double rhsPrice = 0.0;
double lhsSize = 0;
double rhsSize = 0;
if (lhsIter.hasNext())
{
lhsLevel = (MamdaOrderBookPriceLevel)lhsIter.next();
lhsPrice = lhsLevel.getPrice().getValue();
lhsSize = lhsLevel.getSize();
}
if (rhsIter.hasNext())
{
rhsLevel = (MamdaOrderBookPriceLevel)rhsIter.next();
rhsPrice = rhsLevel.getPrice().getValue();
rhsSize = rhsLevel.getSize();
}
if ((lhsPrice == rhsPrice) && (lhsSize == rhsSize))
{
// Usual scenario: both levels are the same
continue;
}
if (lhsPrice == rhsPrice)
{
// Same price, different size. Need to determine the
// different entries.
assert lhsLevel != null;
assert rhsLevel != null;
MamdaOrderBookPriceLevel diffLevel =
new MamdaOrderBookPriceLevel();
diffLevel.setAsDifference (lhsLevel, rhsLevel);
resultSide.put (lhsLevel.getPrice(), diffLevel);
continue;
}
if (((lhsPrice > rhsPrice) && (rhsPrice != 0.0)) ||
(lhsPrice == 0.0))
{
// RHS has an additional price level
MamdaOrderBookPriceLevel diffLevel =
new MamdaOrderBookPriceLevel(rhsLevel);
diffLevel.setOrderBook (parent);
resultSide.put (rhsLevel.getPrice(), diffLevel);
}
else
{
// RHS does not have a price level that is on the LHS.
// Copy the LHS level and mark all as deleted.
MamdaOrderBookPriceLevel diffLevel =
new MamdaOrderBookPriceLevel(lhsLevel);
diffLevel.setOrderBook (parent);
resultSide.put (lhsLevel.getPrice(), diffLevel);
}
}
return resultSide;
}
public void setAsDeltaDeleted (MamdaOrderBook bookToDelete)
{
copy (bookToDelete);
markAllDeleted (mBidLevels);
markAllDeleted (mAskLevels);
}
public boolean reevaluate()
{
if (!mCheckVisibility)
return false;
boolean changed = false;
Iterator bidIter = mBidLevels.values ().iterator ();
while (bidIter.hasNext ())
{
MamdaOrderBookPriceLevel level =
((MamdaOrderBookPriceLevel) bidIter.next ());
changed = level.reevaluate() || changed;
}
Iterator askIter = mAskLevels.values ().iterator ();
while (askIter.hasNext ())
{
MamdaOrderBookPriceLevel level =
((MamdaOrderBookPriceLevel) askIter.next ());
changed = level.reevaluate() || changed;
}
if (mBidMarketOrders != null)
changed = mBidMarketOrders.reevaluate() || changed;
if (mAskMarketOrders != null)
changed = mAskMarketOrders.reevaluate() || changed;
return changed;
}
public int hashCode ()
{
/* From Effective Java */
int result = 17;
result = result*37 + mSymbol.hashCode ();
result = result*37 + mPartId.hashCode();
result = result*37 + mBidLevels.hashCode ();
result = result*37 + mAskLevels.hashCode ();
return result;
}
private class BidCompare implements Comparator
{
/* Descending order prices (MamaPrice) */
public int compare (Object o1, Object o2)
{
return ((MamaPrice)o2).compareTo(o1);
}
public boolean equals (Object o1, Object o2)
{
return o1.equals(o2);
}
}
private class AskCompare implements Comparator
{
/* Ascending order prices (MamaPrice) */
public int compare (Object o1, Object o2)
{
return ((MamaPrice)o1).compareTo(o2);
}
public boolean equals (Object o1, Object o2)
{
return o1.equals(o2);
}
}
}
private class MamdaOrderBookCopy extends MamdaOrderBookImpl
{
private ArrayList mAskLevels;
private ArrayList mBidLevels;
private BidCompare bidCompare = new BidCompare();
private AskCompare askCompare = new AskCompare();
public MamdaOrderBookCopy()
{
mAskLevels = new ArrayList();
mBidLevels = new ArrayList();
}
public MamdaOrderBookCopy (MamdaOrderBook copy)
{
mAskLevels = new ArrayList();
mBidLevels = new ArrayList();
copy(copy);
}
public boolean isReadOnly()
{
return true;
}
public void copy (MamdaOrderBook book)
{
clear();
mIsConsistent = book.getIsConsistent();
mCheckVisibility = book.getCheckSourceState();
mNeedsReevaluation = book.getNeedsReevaluation();
addBidSide(book.bidIterator());
addAskSide(book.askIterator());
}
public void clear ()
{
mIsConsistent = true;
mNeedsReevaluation = false;
mBidLevels.clear();
mAskLevels.clear();
if (mBidMarketOrders != null)
{
mBidMarketOrders.clear();
mBidMarketOrders = null;
}
if (mAskMarketOrders != null)
{
mAskMarketOrders.clear();
mAskMarketOrders = null;
}
}
public MamdaOrderBookPriceLevel findOrCreateLevel (double price,
char side)
{
MamaChar ignored = new MamaChar ();
if (side == MamdaOrderBookPriceLevel.SIDE_BID)
return findOrCreateLevel (mBidLevels, price, side, ignored);
else if (side == MamdaOrderBookPriceLevel.SIDE_ASK)
return findOrCreateLevel (mAskLevels, price, side, ignored);
else
{
StringBuffer msg = new StringBuffer (255);
msg.append ("MamdaOrderBookCopy::findOrCreateLevel(): ").
append ("invalid side provided: ").
append ("side");
throw new MamdaOrderBookException(msg.toString ());
}
}
public MamdaOrderBookPriceLevel findLevel (double price,
char side)
{
if (side == MamdaOrderBookPriceLevel.SIDE_BID)
return findLevel (mBidLevels, price, side);
else if (side == MamdaOrderBookPriceLevel.SIDE_ASK)
return findLevel (mAskLevels, price, side);
else
{
StringBuffer msg = new StringBuffer (255);
msg.append ("MamdaOrderBookCopy::findLevel(): ").
append ("invalid side provided: ").
append ("side");
throw new MamdaOrderBookException(msg.toString ());
}
}
public MamdaOrderBookPriceLevel getMarketOrdersSide (char side)
{
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
return mBidMarketOrders;
else if (MamdaOrderBookPriceLevel.SIDE_ASK== side)
return mAskMarketOrders;
else
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("getMarketOrdersSide(").append (mSymbol).
append ("): side=").append (side).
append (" invalid side provided");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
public MamdaOrderBookPriceLevel getOrCreateMarketOrdersSide (char side)
{
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
{
if (null == mBidMarketOrders)
{
mBidMarketOrders = new MamdaOrderBookPriceLevel (
0.0,
MamdaOrderBookPriceLevel.SIDE_BID);
mBidMarketOrders.setOrderBook (parent);
mBidMarketOrders.setOrderType (
MamdaOrderBookPriceLevel.LEVEL_MARKET);
}
return mBidMarketOrders;
}
else if (MamdaOrderBookPriceLevel.SIDE_ASK == side)
{
if (null == mAskMarketOrders)
{
mAskMarketOrders = new MamdaOrderBookPriceLevel (
0.0,
MamdaOrderBookPriceLevel.SIDE_ASK);
mAskMarketOrders.setOrderBook (parent);
mAskMarketOrders.setOrderType (
MamdaOrderBookPriceLevel.LEVEL_MARKET);
}
return mAskMarketOrders;
}
else
{
StringBuffer errMsg = new StringBuffer (256);
errMsg.append ("MamdaOrderBook::getOrCreateMarketOrdersSide()(").append (mSymbol).
append ("): side=").append (side).
append (" invalid side provided");
throw new MamdaOrderBookException (errMsg.toString ());
}
}
private MamdaOrderBookPriceLevel find (MamaPrice price,
char side)
{
int pos;
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
{
pos = Collections.binarySearch (mBidLevels, price, bidCompare);
if (pos >= 0)
return (MamdaOrderBookPriceLevel)mBidLevels.get(pos);
return null;
}
else
{
pos = Collections.binarySearch (mAskLevels, price, askCompare);
if (pos >= 0)
return (MamdaOrderBookPriceLevel)mAskLevels.get(pos);
return null;
}
}
private MamdaOrderBookPriceLevel findOrCreateLevel (ArrayList bookSide,
double price,
char side,
MamaChar plAction)
{
tmpPrice.setValue (price);
MamdaOrderBookPriceLevel found = find (tmpPrice, side);
if (found == null)
{
return null;
}
else
{
/* The level may exist but could be empty, so the plAction may
* be ADD or UPDATE. */
plAction.setValue ((found.getNumEntries() == 0) ?
MamdaOrderBookPriceLevel.ACTION_ADD :
MamdaOrderBookPriceLevel.ACTION_UPDATE);
return found;
}
}
private MamdaOrderBookPriceLevel findLevel (ArrayList bookSide,
double price,
char side)
{
tmpPrice.setValue (price);
MamdaOrderBookPriceLevel found = null;
found = find (tmpPrice, side);
return found;
}
public void apply (MamdaOrderBook deltaBook)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::apply : cannot be applied to read only book");
}
public void apply (MamdaBookAtomicLevelEntry levelEntry)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::Apply (AtomicLevelEntry) : cannot be applied to book");
}
public void apply (MamdaBookAtomicLevel level)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::Apply (AtomicLevel) : cannot be applied to book");
}
public void apply (MamdaOrderBookBasicDelta delta)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::apply : cannot be applied to read only book");
}
public long getTotalNumLevels ()
{
return mBidLevels.size() + mAskLevels.size();
}
public int getNumBidLevels ()
{
return mBidLevels.size ();
}
public int getNumAskLevels ()
{
return mAskLevels.size ();
}
public MamdaOrderBookPriceLevel getBidMarketOrders ()
{
return mBidMarketOrders;
}
public MamdaOrderBookPriceLevel getAskMarketOrders ()
{
return mAskMarketOrders;
}
public MamdaOrderBookPriceLevel getLevelAtPrice (double price, char side)
{
MamdaOrderBookPriceLevel found = null;
tmpPrice.setValue (price);
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
{
found = find (tmpPrice, side);
}
else if (MamdaOrderBookPriceLevel.SIDE_ASK == side)
{
found = find (tmpPrice, side);
}
return found;
}
public MamdaOrderBookPriceLevel getLevelAtPosition (long pos, char side)
{
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
{
return (MamdaOrderBookPriceLevel) mBidLevels.get((int)pos);
}
else
{
return (MamdaOrderBookPriceLevel) mAskLevels.get((int)pos);
}
}
public MamdaOrderBookEntry getEntryAtPosition (long pos, char side)
{
// Remember: pos may be zero, which would mean we want the first
// entry in a non-empty price level.
if (MamdaOrderBookPriceLevel.SIDE_BID == side)
{
Iterator iter = bidIterator ();
while (iter.hasNext ())
{
MamdaOrderBookPriceLevel level =
(MamdaOrderBookPriceLevel) iter.next ();
double numEntries = level.getNumEntries();
if (pos >= numEntries)
{
pos -= numEntries;
// ... and continue to next level.
}
else
{
return level.getEntryAtPosition (pos);
}
}
}
else
{
Iterator iter = askIterator ();
while (iter.hasNext ())
{
MamdaOrderBookPriceLevel level =
(MamdaOrderBookPriceLevel) iter.next ();
double numEntries = level.getNumEntries();
if (pos >= numEntries)
{
pos -= numEntries;
// ... and continue to next level.
}
else
{
return level.getEntryAtPosition (pos);
}
}
}
return null;
}
public void addEntry (MamdaBookAtomicLevelEntry levelEntry)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::addLevelEntry cannot be applied to book");
}
public void addLevel (MamdaOrderBookPriceLevel level)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::addLevel cannot be applied to book");
}
public void updateLevel (MamdaOrderBookPriceLevel level)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::updateLevel cannot be applied to book");
}
public void deleteLevel (MamdaOrderBookPriceLevel level)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::deleteLevel cannot be applied to book");
}
public void updateEntry (MamdaBookAtomicLevelEntry levelEntry)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::updateLevelEntry cannot be applied to book");
}
public void deleteEntry (MamdaBookAtomicLevelEntry levelEntry)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::deleteLevelEntry cannot be applied to book");
}
public void addEntry (MamdaOrderBookEntry entry,
double price,
char side,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::addEntry : cannot be applied to read only book");
}
public void updateEntry (MamdaOrderBookEntry entry,
double size,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::updateEntry : cannot be applied to read only book");
}
public void deleteEntry (MamdaOrderBookEntry entry,
MamaDateTime eventTime,
MamdaOrderBookBasicDelta delta)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::deleteEntry : cannot be applied to read only book");
}
public void addEntriesFromBook (MamdaOrderBook book,
MamdaOrderBookEntryFilter filter,
MamdaOrderBookBasicDeltaList delta)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::reevaluate : cannot be applied to read only book");
}
public void addPriceLevelsFromBookAsEntries (MamdaOrderBook book,
String source,
MamdaOrderBookBasicDeltaList delta)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::addPriceLevelsFromBookAsEntries : cannot be applied to read only book");
}
public void generateDeltaMsgs (boolean publish)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy.generateDeltaMsgs : cannot be applied to read only book");
}
public void addDelta (MamdaOrderBookEntry entry,
MamdaOrderBookPriceLevel level,
double plDeltaSize,
char plAction,
char entryAction)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy.addDelta : cannot be applied to read only book");
}
public void deleteEntriesFromSource (MamaSource source,
MamdaOrderBookBasicDeltaList delta)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::deleteEntriesFromSource : cannot be applied to read only book");
}
public void detach (MamdaOrderBookPriceLevel level)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::detach : cannot be applied to read only book");
}
public void setAsDeltaDifference (MamdaOrderBook lhs,
MamdaOrderBook rhs)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::setAsDeltaDifference : cannot be applied to read only book");
}
public void setAsDeltaDeleted (MamdaOrderBook bookToDelete)
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::setAsDeltaDeleted : cannot be applied to read only book");
}
public boolean reevaluate ()
{
throw new MamdaOrderBookException (
"MamdaOrderBookCopy::reevaluate : cannot be applied to read only book");
}
public int hashCode ()
{
/* From Effective Java */
int result = 17;
result = result*37 + mSymbol.hashCode ();
result = result*37 + mBidLevels.hashCode ();
result = result*37 + mAskLevels.hashCode ();
return result;
}
private void addBidSide (Iterator iterator)
{
mBidLevels.clear();
while (iterator.hasNext())
{
mBidLevels.add (new MamdaOrderBookPriceLevel ((MamdaOrderBookPriceLevel) iterator.next ()));
}
}
private void addAskSide (Iterator iterator)
{
mAskLevels.clear();
while (iterator.hasNext())
{
mAskLevels.add (new MamdaOrderBookPriceLevel ((MamdaOrderBookPriceLevel) iterator.next ()));
}
}
public Iterator bidIterator()
{
return mBidLevels.iterator();
}
public Iterator askIterator()
{
return mAskLevels.iterator();
}
private class BidCompare implements Comparator
{
/* Descending order prices (MamaPrice) */
public int compare (Object o1, Object o2)
{
return ((MamaPrice)o2).compareTo (((MamdaOrderBookPriceLevel)o1).getPrice());
}
public boolean equals (Object o1, Object o2)
{
return o2.equals (((MamdaOrderBookPriceLevel)o1).getPrice());
}
}
private class AskCompare implements Comparator
{
/* Ascending order prices (MamaPrice) */
public int compare (Object o1, Object o2)
{
return ((MamdaOrderBookPriceLevel)o1).getPrice().compareTo(o2);
}
public boolean equals (Object o1, Object o2)
{
return ((MamdaOrderBookPriceLevel)o1).getPrice().equals(o2);
}
}
}
}
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