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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 java.io.OutputStream;
import java.io.PrintWriter;
import java.util.*;
/**
* MamdaOrderBookBasicDeltaList is a class that saves information
* about an order book delta that involves multiple entries and/or
* price levels. For example, a modified order may involve a price
* change that means moving an entry from one price level to another.
* A delta list is made up of several basic deltas, which can be
* iterated over by methods provided in the class.
*/
public class MamdaOrderBookBasicDeltaList
{
public static final int MOD_SIDES_NONE = 0;
public static final int MOD_SIDES_BID = 1;
public static final int MOD_SIDES_ASK = 2;
public static final int MOD_SIDES_BID_AND_ASK = 3;
volatile LinkedList mDeltas;
MamdaOrderBook mBook;
int mModSides;
boolean mKeepDeltas;
public MamdaOrderBookBasicDeltaList ()
{
mDeltas = new LinkedList ();
mBook = null;
mModSides = MOD_SIDES_NONE;
mKeepDeltas = true;
}
/**
* Clear the delta.
*/
public void clear ()
{
mDeltas.clear ();
mBook = null;
mModSides = MOD_SIDES_NONE;
}
/**
* Set whether to actually keep the basic deltas. Many
* applications don't need the basic deltas and will iterate over
* part or all of the full book (with the deltas already applied).
* If this is set to true and an attempt is made to iterate over
* the basic deltas (by calling begin() or end()) then a
* MamdaOrderBookException will be thrown.
* @param keep true if to keep the basic deltas.
*/
public void setKeepBasicDeltas (boolean keep)
{
mKeepDeltas = keep;
}
/**
* Get which side(s) of the book have been modified by this
* complex update. This information may prevent the need for
* receivers of complex updates to iterate over one or other side
* of the book.
*
* @return The modified side(s).
*/
public int getModifiedSides ()
{
return mModSides;
}
/**
* Add a basic delta. This method adds a MamdaOrderBookBasicDelta
* to the list.
* @param entry the entry.
* @param level the level.
* @param plDeltaSize the delta size.
* @param plAction the price level action.
* @param entryAction the entry action.
*/
public void add (MamdaOrderBookEntry entry,
MamdaOrderBookPriceLevel level,
double plDeltaSize,
char plAction,
char entryAction)
{
if (mKeepDeltas)
{
MamdaOrderBookBasicDelta basicDelta =
new MamdaOrderBookBasicDelta ();
basicDelta.set (entry, level, plDeltaSize, plAction, entryAction);
mDeltas.add (basicDelta);
}
checkSide (level);
}
/**
* Add a basic delta. This method adds a copy of the
* MamdaOrderBookBasicDelta to the list.
* @param delta the delta.
*/
void add (MamdaOrderBookBasicDelta delta)
{
if (mKeepDeltas)
{
MamdaOrderBookBasicDelta basicDelta =
new MamdaOrderBookBasicDelta (delta);
mDeltas.add (basicDelta);
}
checkSide (delta.getPriceLevel());
}
/**
* Set the MamdaOrderBook object to which this delta belongs.
*
* @param book The order book related to this delta.
*/
void setOrderBook (MamdaOrderBook book)
{
mBook = book;
}
/**
* Get the MamdaOrderBook object to which this delta belongs.
*
* @return The order book related to this delta.
*/
public MamdaOrderBook getOrderBook ()
{
return mBook;
}
/**
* Return the number of simple deltas in this complex delta.
* @return the number of deltas.
*/
public long getSize ()
{
return mDeltas.size ();
}
/**
* Fix up price level actions (temporary workaround for problem).
* This method ensures that all basic deltas for the same price
* level end up with the same price level action.
*/
void fixPriceLevelActions ()
{
if (mDeltas.size () > 0)
{
// First change all actions where first is an add.
MamdaOrderBookBasicDelta firstSamePlDelta = null;
ListIterator i = mDeltas.listIterator (0);
while (i.hasNext ())
{
MamdaOrderBookBasicDelta delta =
(MamdaOrderBookBasicDelta) i.next ();
MamdaOrderBookPriceLevel pl = delta.getPriceLevel ();
if (firstSamePlDelta != null &&
(pl == firstSamePlDelta.getPriceLevel ()))
{
if (firstSamePlDelta.getPlDeltaAction () ==
MamdaOrderBookPriceLevel.ACTION_ADD)
{
delta.setPlDeltaAction (
MamdaOrderBookPriceLevel.ACTION_ADD);
}
}
else
{
firstSamePlDelta = delta;
}
}
// Next change all actions where last is aa delete.
firstSamePlDelta = null;
i = mDeltas.listIterator (mDeltas.size ());
while (i.hasPrevious ())
{
MamdaOrderBookBasicDelta delta =
(MamdaOrderBookBasicDelta) i.previous ();
MamdaOrderBookPriceLevel pl = delta.getPriceLevel ();
if (firstSamePlDelta != null &&
(pl == firstSamePlDelta.getPriceLevel ()))
{
if (firstSamePlDelta.getPlDeltaAction () ==
MamdaOrderBookPriceLevel.ACTION_DELETE)
{
delta.setPlDeltaAction (
MamdaOrderBookPriceLevel.ACTION_DELETE);
}
}
else
{
firstSamePlDelta = delta;
}
}
}
}
/**
* Dump the complex update to the output stream.
*
* @param output The OutputStream to write the update to.
*/
public void dump (OutputStream output)
{
PrintWriter out = new PrintWriter (output, true);
out.println("ComplexUpdate:\n");
if (mDeltas.size () > 0)
{
Iterator i = mDeltas.iterator ();
while (i.hasNext ())
{
MamdaOrderBookBasicDelta delta =
(MamdaOrderBookBasicDelta) i.next ();
out.print ( " ");
delta.dump(output);
}
}
}
/**
* Dump the complex update to the output stream.
*
*/
public void dump ()
{
dump (System.out);
}
public Iterator iterator ()
{
return mDeltas.iterator ();
}
private void checkSide (MamdaOrderBookPriceLevel level)
{
if (level == null)
return;
if (level.getSide() == MamdaOrderBookPriceLevel.SIDE_BID)
{
switch (mModSides)
{
case MOD_SIDES_NONE:
mModSides = MOD_SIDES_BID;
break;
case MOD_SIDES_ASK:
mModSides = MOD_SIDES_BID_AND_ASK;
break;
default:
break;
}
}
else
{
switch (mModSides)
{
case MOD_SIDES_NONE:
mModSides = MOD_SIDES_ASK;
break;
case MOD_SIDES_BID:
mModSides = MOD_SIDES_BID_AND_ASK;
break;
default:
break;
}
}
}
}
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