OpenMAMA
Wombat::MamdaBookAtomicLevel Class Reference

MamdaBookAtomicLevel is an interface that provides access to trade related fields. More...

#include <MamdaBookAtomicLevel.h>

Inheritance diagram for Wombat::MamdaBookAtomicLevel:
Wombat::MamdaBasicRecap Wombat::MamdaBookAtomicListener

Public Member Functions

virtual mama_u32_t getPriceLevelNumLevels () const =0
 Return the number of price levels in the order book update.
virtual mama_u32_t getPriceLevelNum () const =0
 Return at which position this level is within an update containing a number of levels.
virtual double getPriceLevelPrice () const =0
 Return the price for this price level.
virtual MamaPrice & getPriceLevelMamaPrice () const =0
 Return the MamaPrice for this price level.
virtual mama_f64_t getPriceLevelSize () const =0
 Return the number of order entries comprising this price level.
virtual mama_i64_t getPriceLevelSizeChange () const =0
 Aggregate size at current price level.
virtual char getPriceLevelAction () const =0
 The action to apply to the orderbook for this price level.
virtual char getPriceLevelSide () const =0
 Side of book at current price level.
virtual const MamaDateTime & getPriceLevelTime () const =0
 Time of order book price level.
virtual mama_f32_t getPriceLevelNumEntries () const =0
 Number of order book entries at current price level.
virtual
MamdaOrderBookTypes::OrderType 
getOrderType () const =0
 Get the Order Type.
virtual void setOrderType (MamdaOrderBookTypes::OrderType orderType) const =0
 Set the Order Type.
virtual ~MamdaBookAtomicLevel ()
- Public Member Functions inherited from Wombat::MamdaBasicRecap
virtual const char * getSymbol () const =0
 Get the string symbol for the instrument.
virtual MamdaFieldState getSymbolFieldState () const =0
 Get the string symbol field state for the instrument.
virtual const char * getPartId () const =0
 Get the participant identifier.
virtual MamdaFieldState getPartIdFieldState () const =0
 Get the participant identifier field state.
virtual const MamaDateTime & getSrcTime () const =0
 Get the source time of the update.
virtual MamdaFieldState getSrcTimeFieldState () const =0
 Get the source time field state.
virtual const MamaDateTime & getActivityTime () const =0
 Get the activity time of the update.
virtual MamdaFieldState getActivityTimeFieldState () const =0
 Get the activity time field state.
virtual const MamaDateTime & getLineTime () const =0
 Get the line time of the update.
virtual MamdaFieldState getLineTimeFieldState () const =0
 Get the line time field state.
virtual const MamaDateTime & getSendTime () const =0
 Get the send time of the update.
virtual MamdaFieldState getSendTimeFieldState () const =0
 Get the send time field state.
virtual ~MamdaBasicRecap ()
 Destructor.

Detailed Description

MamdaBookAtomicLevel is an interface that provides access to trade related fields.

Constructor & Destructor Documentation

virtual Wombat::MamdaBookAtomicLevel::~MamdaBookAtomicLevel ( )
virtual
{};

Member Function Documentation

virtual mama_u32_t Wombat::MamdaBookAtomicLevel::getPriceLevelNumLevels ( ) const
pure virtual

Return the number of price levels in the order book update.

Returns
The number of price levels.

Implemented in Wombat::MamdaBookAtomicListener.

virtual mama_u32_t Wombat::MamdaBookAtomicLevel::getPriceLevelNum ( ) const
pure virtual

Return at which position this level is within an update containing a number of levels.

(i.e. level m of n levels in the update)

Returns
The position of this level in the update received.

Implemented in Wombat::MamdaBookAtomicListener.

virtual double Wombat::MamdaBookAtomicLevel::getPriceLevelPrice ( ) const
pure virtual

Return the price for this price level.

Returns
The price level price.

Implemented in Wombat::MamdaBookAtomicListener.

virtual MamaPrice& Wombat::MamdaBookAtomicLevel::getPriceLevelMamaPrice ( ) const
pure virtual

Return the MamaPrice for this price level.

Returns
The price level price.

Implemented in Wombat::MamdaBookAtomicListener.

virtual mama_f64_t Wombat::MamdaBookAtomicLevel::getPriceLevelSize ( ) const
pure virtual

Return the number of order entries comprising this price level.

Warning
Not supported for V5 entry book updates.
Returns
The number of entries in this price level.

Implemented in Wombat::MamdaBookAtomicListener.

virtual mama_i64_t Wombat::MamdaBookAtomicLevel::getPriceLevelSizeChange ( ) const
pure virtual

Aggregate size at current price level.

Warning
Not supported for V5 entry book updates.
Returns
The aggregate size at the current price level.

Implemented in Wombat::MamdaBookAtomicListener.

virtual char Wombat::MamdaBookAtomicLevel::getPriceLevelAction ( ) const
pure virtual

The action to apply to the orderbook for this price level.

Can have a value of:

  • A : Add a new price level
  • U : Update an existing price level
  • D : Delete an existing price level
  • C : Closing information for price level (often treat the same as Update).
Warning
Not supported for V5 entry book updates.
Returns
The price level action.

Implemented in Wombat::MamdaBookAtomicListener.

virtual char Wombat::MamdaBookAtomicLevel::getPriceLevelSide ( ) const
pure virtual

Side of book at current price level.

  • B : Bid side. Same as 'buy' side.
  • A : Ask side. Same as 'sell' side.
Returns
The price level side.

Implemented in Wombat::MamdaBookAtomicListener.

virtual const MamaDateTime& Wombat::MamdaBookAtomicLevel::getPriceLevelTime ( ) const
pure virtual

Time of order book price level.

Returns
The time of the orderbook price level.

Implemented in Wombat::MamdaBookAtomicListener.

virtual mama_f32_t Wombat::MamdaBookAtomicLevel::getPriceLevelNumEntries ( ) const
pure virtual

Number of order book entries at current price level.

Warning
Not supported for V5 entry book updates.
Returns
The number of entries at the current price level.

Implemented in Wombat::MamdaBookAtomicListener.

virtual MamdaOrderBookTypes::OrderType Wombat::MamdaBookAtomicLevel::getOrderType ( ) const
pure virtual

Get the Order Type.

Returns
The order Type.

Implemented in Wombat::MamdaBookAtomicListener.

virtual void Wombat::MamdaBookAtomicLevel::setOrderType ( MamdaOrderBookTypes::OrderType  orderType) const
pure virtual

Set the Order Type.

Implemented in Wombat::MamdaBookAtomicListener.


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


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