MamdaOrderBookHandler is an interface for applications that want to have an easy way to handle order book updates. More...
#include <MamdaOrderBookHandler.h>
Public Member Functions | |
virtual void | onBookRecap (MamdaSubscription *subscription, MamdaOrderBookListener &listener, const MamaMsg *msg, const MamdaOrderBookComplexDelta *delta, const MamdaOrderBookRecap &event, const MamdaOrderBook &book)=0 |
Method invoked when a full refresh of the order book for the security is available. | |
virtual void | onBookDelta (MamdaSubscription *subscription, MamdaOrderBookListener &listener, const MamaMsg *msg, const MamdaOrderBookSimpleDelta &event, const MamdaOrderBook &book)=0 |
Method invoked when a basic order book delta is reported. | |
virtual void | onBookComplexDelta (MamdaSubscription *subscription, MamdaOrderBookListener &listener, const MamaMsg *msg, const MamdaOrderBookComplexDelta &event, const MamdaOrderBook &book)=0 |
Method invoked when an order book delta is reported. | |
virtual void | onMarketOrderDelta (MamdaSubscription *subscription, MamdaOrderBookListener &listener, const MamaMsg *msg, const MamdaOrderBookSimpleDelta &event, const MamdaOrderBook &book) |
Deprecated. | |
virtual void | onMarketOrderComplexDelta (MamdaSubscription *subscription, MamdaOrderBookListener &listener, const MamaMsg *msg, const MamdaOrderBookComplexDelta &event, const MamdaOrderBook &book) |
Deprecated. | |
virtual void | onBookClear (MamdaSubscription *subscription, MamdaOrderBookListener &listener, const MamaMsg *msg, const MamdaOrderBookClear &event, const MamdaOrderBook &book)=0 |
Method invoked when an order book is cleared. | |
virtual void | onBookGap (MamdaSubscription *subscription, MamdaOrderBookListener &listener, const MamaMsg *msg, const MamdaOrderBookGap &event, const MamdaOrderBook &book)=0 |
Method invoked when a gap in order book updates is discovered. | |
virtual | ~MamdaOrderBookHandler () |
MamdaOrderBookHandler is an interface for applications that want to have an easy way to handle order book updates.
The interface defines callback methods for different types of orderBook-related events: order book recaps and updates.
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pure virtual |
Method invoked when a full refresh of the order book for the security is available.
The reason for the invocation may be any of the following:
subscription | The subscription which received the update. |
listener | The order book listener that invoked this callback. |
msg | The MamaMsg that triggered this invocation. |
delta | Always NULL. Reserved for future use. |
event | The order book recap event. |
book | The current full book. |
Implemented in MamdaOrderBookDepthFilter.
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pure virtual |
Method invoked when a basic order book delta is reported.
A basic delta consists of one price levels (add/update/delete), which contains zero or one entries (add/update/delete). Some feeds do not provide order book entry information.
subscription | The MamdaSubscription handle. |
listener | The order book listener that received the update. |
msg | The MamaMsg that triggered this invocation. |
event | Details of the delta event. |
book | The current full book (after applying the delta). |
Implemented in MamdaOrderBookDepthFilter.
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pure virtual |
Method invoked when an order book delta is reported.
A delta consists of one or more price levels (add/update/delete), each of which contains zero or more entries (add/update/delete). Some feeds do not provide order book entry information.
subscription | The MamdaSubscription handle. |
listener | The order book listener that received the update. |
msg | The MamaMsg that triggered this invocation. |
event | Details of the the delta. |
book | The current full book (after applying the delta). |
Implemented in MamdaOrderBookDepthFilter.
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virtual |
Deprecated.
Market Order updates now available in the onBookDelta callback Obtaining the price level from the Delta and calling getOrderType() can be used to determine if it is a LIMIT or MARKET level
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virtual |
Deprecated.
Market Order updates now available in the onBookDelta callback Obtaining the price level from the Delta and calling getOrderType() can be used to determine if it is a LIMIT or MARKET level
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pure virtual |
Method invoked when an order book is cleared.
subscription | The MamdaSubscription handle. |
listener | The order book listener that caused the clear. |
msg | The MamaMsg that triggered this invocation. |
event | The clear event. |
book | The current state of the book (empty). |
Implemented in MamdaOrderBookDepthFilter.
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pure virtual |
Method invoked when a gap in order book updates is discovered.
It is usual for a recap to follow shortly after an order book gap is detected.
subscription | The MamdaSubscription handle. |
listener | The order book listener that detected the gap. |
msg | The MamaMsg that triggered this invocation. |
event | Provides the sequence number gap range. |
book | The current state of the book. |
Implemented in MamdaOrderBookDepthFilter.