OpenMAMA
Wombat::MamdaOrderImbalanceListener Class Reference

A MamdaOrderImbalanceListener is class that specializes in handling an imbalance order updates. More...

#include <MamdaOrderImbalanceListener.h>

Inheritance diagram for Wombat::MamdaOrderImbalanceListener:
Wombat::MamdaOrderImbalanceUpdate Wombat::MamdaMsgListener Wombat::MamdaOrderImbalanceRecap Wombat::MamdaBasicEvent Wombat::MamdaBasicRecap

Public Member Functions

 MamdaOrderImbalanceListener ()
 
virtual ~MamdaOrderImbalanceListener ()
 
void addHandler (MamdaOrderImbalanceHandler *handler)
 Add a specialized order imbalance handler. More...
 
MamaPrice & getHighIndicationPrice () const
 
MamdaFieldState getHighIndicationPriceFieldState () const
 Get the myHighIndicationPrice field state. More...
 
MamaPrice & getLowIndicationPrice () const
 
MamdaFieldState getLowIndicationPriceFieldState () const
 Get the myLowIndicationPrice field state. More...
 
MamaPrice & getImbalancePrice () const
 
MamdaFieldState getImbalancePriceFieldState () const
 Get the myIndicationPrice field state. More...
 
int64_t getBuyVolume () const
 
MamdaFieldState getBuyVolumeFieldState () const
 Get the myBuyVolume field state. More...
 
int64_t getSellVolume () const
 
MamdaFieldState getSellVolumeFieldState () const
 Get the mySellVolume field state. More...
 
int64_t getMatchVolume () const
 
MamdaFieldState getMatchVolumeFieldState () const
 Get the myMatchVolume field state. More...
 
const char * getImbalanceState () const
 
MamdaFieldState getImbalanceStateFieldState () const
 Get the mySecurityStatusQual field state. More...
 
MamaPrice & getMatchPrice () const
 
MamdaFieldState getMatchPriceFieldState () const
 Get the myInsideMatchPrice field state. More...
 
MamaPrice & getFarClearingPrice () const
 
MamdaFieldState getFarClearingPriceFieldState () const
 Get the myFarClearingPrice field state. More...
 
MamaPrice & getNearClearingPrice () const
 
MamdaFieldState getNearClearingPriceFieldState () const
 Get the myNearClearingPrice field state. More...
 
char getNoClearingPrice () const
 
MamdaFieldState getNoClearingPriceFieldState () const
 Get the myNoClearingPrice field state. More...
 
char getPriceVarInd () const
 
MamdaFieldState getPriceVarIndFieldState () const
 Get the myPriceVarInd field state. More...
 
char getCrossType () const
 
MamdaFieldState getCrossTypeFieldState () const
 Get the myCrossType field state. More...
 
MamaDateTime & getEventTime () const
 
MamdaFieldState getEventTimeFieldState () const
 Get the myEventTime field state. More...
 
mama_seqnum_t getEventSeqNum () const
 
MamdaFieldState getEventSeqNumFieldState () const
 Get the myEventSeqNum field state. More...
 
MamaDateTime & getSrcTime () const
 Get the source time. More...
 
MamdaFieldState getSrcTimeFieldState () const
 Get the source time field state. More...
 
MamaDateTime & getActivityTime () const
 Get the activity time. More...
 
MamdaFieldState getActivityTimeFieldState () const
 Get the activity time field state. More...
 
mama_i32_t getMsgType () const
 
MamdaFieldState getMsgTypeFieldState () const
 Get the myMsgType field state. More...
 
const char * getIssueSymbol () const
 
MamdaFieldState getIssueSymbolFieldState () const
 Get the myIssueSymbol field state. More...
 
const char * getPartId () const
 
MamdaFieldState getPartIdFieldState () const
 Get the myPartId field state. More...
 
mama_seqnum_t getSeqNum () const
 
MamdaFieldState getSeqNumFieldState () const
 Get the mySeqNum field state. More...
 
const char * getSecurityStatusOrig () const
 
MamdaFieldState getSecurityStatusOrigFieldState () const
 Get the mySecurityStatusOrig field state. More...
 
MamaDateTime & getSecurityStatusTime () const
 
MamdaFieldState getSecurityStatusTimeFieldState () const
 Get the mySecurityStatusTime field state. More...
 
MamaDateTime & getAuctionTime () const
 
MamdaFieldState getAuctionTimeFieldState () const
 Get the myAuctionTime field state. More...
 
MamaDateTime & getLineTime () const
 Get the line time. More...
 
MamdaFieldState getLineTimeFieldState () const
 Get the line time of the update. More...
 
MamaDateTime & getSendTime () const
 Get the send time. More...
 
MamdaFieldState getSendTimeFieldState () const
 Get the send time field state. More...
 
const char * getSymbol () const
 Get the instruments string symbol. More...
 
MamdaFieldState getSymbolFieldState () const
 Get the string symbol field state. More...
 
const MamaMsgQual & getMsgQual () const
 Get the message qualifier. More...
 
MamdaFieldState getMsgQualFieldState () const
 Get the message qualifier field state. More...
 
void updateFieldStates ()
 
virtual void onMsg (MamdaSubscription *subscription, const MamaMsg &msg, short msgType)
 Implementation of MamdaListener interface. More...
 
- Public Member Functions inherited from Wombat::MamdaOrderImbalanceUpdate
virtual ~MamdaOrderImbalanceUpdate ()
 
- Public Member Functions inherited from Wombat::MamdaMsgListener
virtual ~MamdaMsgListener ()
 
- Public Member Functions inherited from Wombat::MamdaOrderImbalanceRecap
virtual ~MamdaOrderImbalanceRecap ()
 

Detailed Description

A MamdaOrderImbalanceListener is class that specializes in handling an imbalance order updates.

An imbalance order occurs when too many orders of a particular type - either buy, sell or limit - for listed securities and not enough of the other, matching orders are received by an exchange. Developers provide their own implementation of the MamdaOrderImbalanceHandler interface and will be delivered notifications for imbalance updates. An obvious application for this MAMDA class is any kind of tick capture application.

MamdaOrderImbalanceListener should initialize the MamdaOrderImbalanceFields class prior to receiving the first message by calling MamdaOrderImbalanceFields::setDictionary() with a valid dictionary object which contains OrderImbalance related fields.

Constructor & Destructor Documentation

◆ MamdaOrderImbalanceListener()

Wombat::MamdaOrderImbalanceListener::MamdaOrderImbalanceListener ( )

◆ ~MamdaOrderImbalanceListener()

virtual Wombat::MamdaOrderImbalanceListener::~MamdaOrderImbalanceListener ( )
virtual

Member Function Documentation

◆ addHandler()

void Wombat::MamdaOrderImbalanceListener::addHandler ( MamdaOrderImbalanceHandler handler)

Add a specialized order imbalance handler.

◆ getHighIndicationPrice()

MamaPrice& Wombat::MamdaOrderImbalanceListener::getHighIndicationPrice ( ) const
virtual
Returns
Returns the myHighIndicationPrice.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getHighIndicationPriceFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getHighIndicationPriceFieldState ( ) const
virtual

Get the myHighIndicationPrice field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getLowIndicationPrice()

MamaPrice& Wombat::MamdaOrderImbalanceListener::getLowIndicationPrice ( ) const
virtual
Returns
Returns the myLowIndicationPrice.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getLowIndicationPriceFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getLowIndicationPriceFieldState ( ) const
virtual

Get the myLowIndicationPrice field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getImbalancePrice()

MamaPrice& Wombat::MamdaOrderImbalanceListener::getImbalancePrice ( ) const
virtual
Returns
Returns the myIndicationPrice.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getImbalancePriceFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getImbalancePriceFieldState ( ) const
virtual

Get the myIndicationPrice field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getBuyVolume()

int64_t Wombat::MamdaOrderImbalanceListener::getBuyVolume ( ) const
virtual
Returns
Returns the myBuyVolume.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getBuyVolumeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getBuyVolumeFieldState ( ) const
virtual

Get the myBuyVolume field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getSellVolume()

int64_t Wombat::MamdaOrderImbalanceListener::getSellVolume ( ) const
virtual
Returns
Returns the mySellVolume.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getSellVolumeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getSellVolumeFieldState ( ) const
virtual

Get the mySellVolume field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getMatchVolume()

int64_t Wombat::MamdaOrderImbalanceListener::getMatchVolume ( ) const
virtual
Returns
Returns the myMatchVolume.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getMatchVolumeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getMatchVolumeFieldState ( ) const
virtual

Get the myMatchVolume field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getImbalanceState()

const char* Wombat::MamdaOrderImbalanceListener::getImbalanceState ( ) const
virtual
Returns
Returns the mySecurityStatusQual.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getImbalanceStateFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getImbalanceStateFieldState ( ) const
virtual

Get the mySecurityStatusQual field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getMatchPrice()

MamaPrice& Wombat::MamdaOrderImbalanceListener::getMatchPrice ( ) const
virtual
Returns
Returns the myInsideMatchPrice.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getMatchPriceFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getMatchPriceFieldState ( ) const
virtual

Get the myInsideMatchPrice field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getFarClearingPrice()

MamaPrice& Wombat::MamdaOrderImbalanceListener::getFarClearingPrice ( ) const
virtual
Returns
Returns the myFarClearingPrice.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getFarClearingPriceFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getFarClearingPriceFieldState ( ) const
virtual

Get the myFarClearingPrice field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getNearClearingPrice()

MamaPrice& Wombat::MamdaOrderImbalanceListener::getNearClearingPrice ( ) const
virtual
Returns
Returns the myNearClearingPrice.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getNearClearingPriceFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getNearClearingPriceFieldState ( ) const
virtual

Get the myNearClearingPrice field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getNoClearingPrice()

char Wombat::MamdaOrderImbalanceListener::getNoClearingPrice ( ) const
virtual
Returns
Returns the myNoClearingPrice.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getNoClearingPriceFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getNoClearingPriceFieldState ( ) const
virtual

Get the myNoClearingPrice field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getPriceVarInd()

char Wombat::MamdaOrderImbalanceListener::getPriceVarInd ( ) const
virtual
Returns
Returns the myPriceVarInd.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getPriceVarIndFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getPriceVarIndFieldState ( ) const
virtual

Get the myPriceVarInd field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getCrossType()

char Wombat::MamdaOrderImbalanceListener::getCrossType ( ) const
virtual
Returns
Returns the myCrossType.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getCrossTypeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getCrossTypeFieldState ( ) const
virtual

Get the myCrossType field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getEventTime()

MamaDateTime& Wombat::MamdaOrderImbalanceListener::getEventTime ( ) const
virtual
Returns
Returns the myEventTime.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getEventTimeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getEventTimeFieldState ( ) const
virtual

Get the myEventTime field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getEventSeqNum()

mama_seqnum_t Wombat::MamdaOrderImbalanceListener::getEventSeqNum ( ) const
virtual
Returns
Returns the myEventSeqNum.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getEventSeqNumFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getEventSeqNumFieldState ( ) const
virtual

Get the myEventSeqNum field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getSrcTime()

MamaDateTime& Wombat::MamdaOrderImbalanceListener::getSrcTime ( ) const
virtual

Get the source time.

Returns
Source time. Typically, the exchange generated feed time stamp. This is often the same as the "event time", because many feeds do not distinguish between the actual event time and when the exchange sent the message.

Implements Wombat::MamdaBasicEvent.

◆ getSrcTimeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getSrcTimeFieldState ( ) const
virtual

Get the source time field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

◆ getActivityTime()

MamaDateTime& Wombat::MamdaOrderImbalanceListener::getActivityTime ( ) const
virtual

Get the activity time.

Returns
Activity time. A feed handler generated time stamp representing when the data item was last updated.

Implements Wombat::MamdaBasicEvent.

◆ getActivityTimeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getActivityTimeFieldState ( ) const
virtual

Get the activity time field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

◆ getMsgType()

mama_i32_t Wombat::MamdaOrderImbalanceListener::getMsgType ( ) const
virtual
Returns
Returns the myMsgType.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getMsgTypeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getMsgTypeFieldState ( ) const
virtual

Get the myMsgType field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getIssueSymbol()

const char* Wombat::MamdaOrderImbalanceListener::getIssueSymbol ( ) const
virtual
Returns
Returns the myIssueSymbol.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getIssueSymbolFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getIssueSymbolFieldState ( ) const
virtual

Get the myIssueSymbol field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getPartId()

const char* Wombat::MamdaOrderImbalanceListener::getPartId ( ) const
virtual
Returns
Returns the myPartId.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getPartIdFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getPartIdFieldState ( ) const
virtual

Get the myPartId field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getSeqNum()

mama_seqnum_t Wombat::MamdaOrderImbalanceListener::getSeqNum ( ) const
virtual
Returns
Returns the mySeqNum.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getSeqNumFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getSeqNumFieldState ( ) const
virtual

Get the mySeqNum field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getSecurityStatusOrig()

const char* Wombat::MamdaOrderImbalanceListener::getSecurityStatusOrig ( ) const
virtual
Returns
Returns the mySecurityStatusOrig.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getSecurityStatusOrigFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getSecurityStatusOrigFieldState ( ) const
virtual

Get the mySecurityStatusOrig field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getSecurityStatusTime()

MamaDateTime& Wombat::MamdaOrderImbalanceListener::getSecurityStatusTime ( ) const
virtual
Returns
Returns the mySecurityStatusTime.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getSecurityStatusTimeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getSecurityStatusTimeFieldState ( ) const
virtual

Get the mySecurityStatusTime field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getAuctionTime()

MamaDateTime& Wombat::MamdaOrderImbalanceListener::getAuctionTime ( ) const
virtual
Returns
Returns the Auction Time.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getAuctionTimeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getAuctionTimeFieldState ( ) const
virtual

Get the myAuctionTime field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaOrderImbalanceRecap.

◆ getLineTime()

MamaDateTime& Wombat::MamdaOrderImbalanceListener::getLineTime ( ) const
virtual

Get the line time.

Returns
Line time. A feed handler (or similar publisher) time stamp representing the time that such publisher received the update message pertaining to the event. If clocks are properly synchronized and the source time (see above) is accurate enough, then the difference between the source time and line time is the latency between the data source and the feed handler.

Implements Wombat::MamdaBasicEvent.

◆ getLineTimeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getLineTimeFieldState ( ) const
virtual

Get the line time of the update.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

◆ getSendTime()

MamaDateTime& Wombat::MamdaOrderImbalanceListener::getSendTime ( ) const
virtual

Get the send time.

Returns
Send time. A feed handler (or similar publisher) time stamp representing the time that such publisher sent the current message. The difference between the line time and send time is the latency within the feed handler itself. Also, if clocks are properly synchronized then the difference between the send time and current time is the latency within the market data distribution framework (i.e. MAMA and the underlying middleware). See MAMA API: MamaDateTime::currentTime()).

Implements Wombat::MamdaBasicEvent.

◆ getSendTimeFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getSendTimeFieldState ( ) const
virtual

Get the send time field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

◆ getSymbol()

const char* Wombat::MamdaOrderImbalanceListener::getSymbol ( ) const
virtual

Get the instruments string symbol.

Returns
Symbol. This is the "well-known" symbol for the security, including any symbology mapping performed by the publisher.

Implements Wombat::MamdaBasicEvent.

◆ getSymbolFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getSymbolFieldState ( ) const
virtual

Get the string symbol field state.

Returns
MamdaFieldState. An enumeration representing field state.

Implements Wombat::MamdaBasicEvent.

◆ getMsgQual()

const MamaMsgQual& Wombat::MamdaOrderImbalanceListener::getMsgQual ( ) const
virtual

Get the message qualifier.

Returns
Message Qualifier. The message qualifier provides information in relation to messages duplicate, delayed or out-of-sequence status.

Implements Wombat::MamdaBasicEvent.

◆ getMsgQualFieldState()

MamdaFieldState Wombat::MamdaOrderImbalanceListener::getMsgQualFieldState ( ) const
virtual

Get the message qualifier field state.

Returns
Message Qualifier. The message qualifier provides information in relation to messages duplicate, delayed or out-of-sequence status.

Implements Wombat::MamdaBasicEvent.

◆ updateFieldStates()

void Wombat::MamdaOrderImbalanceListener::updateFieldStates ( )

◆ onMsg()

virtual void Wombat::MamdaOrderImbalanceListener::onMsg ( MamdaSubscription subscription,
const MamaMsg &  msg,
short  msgType 
)
virtual

Implementation of MamdaListener interface.

Implements Wombat::MamdaMsgListener.


The documentation for this class was generated from the following file:


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