OpenMAMA
MamdaOrderBookHandler.h
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1 /* $Id$
2  *
3  * OpenMAMA: The open middleware agnostic messaging API
4  * Copyright (C) 2011 NYSE Technologies, Inc.
5  *
6  * This library is free software; you can redistribute it and/or
7  * modify it under the terms of the GNU Lesser General Public
8  * License as published by the Free Software Foundation; either
9  * version 2.1 of the License, or (at your option) any later version.
10  *
11  * This library is distributed in the hope that it will be useful,
12  * but WITHOUT ANY WARRANTY; without even the implied warranty of
13  * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
14  * Lesser General Public License for more details.
15  *
16  * You should have received a copy of the GNU Lesser General Public
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19  * 02110-1301 USA
20  */
21 
22 #ifndef MamdaOrderBookHandlerH
23 #define MamdaOrderBookHandlerH
24 
33 
34 namespace Wombat
35 {
36 
37  class MamdaSubscription;
38 
45  class MAMDAOPTExpDLL MamdaOrderBookHandler
46  {
47  public:
66  virtual void onBookRecap (
67  MamdaSubscription* subscription,
68  MamdaOrderBookListener& listener,
69  const MamaMsg* msg,
70  const MamdaOrderBookComplexDelta* delta,
71  const MamdaOrderBookRecap& event,
72  const MamdaOrderBook& book) = 0;
73 
86  virtual void onBookDelta (
87  MamdaSubscription* subscription,
88  MamdaOrderBookListener& listener,
89  const MamaMsg* msg,
90  const MamdaOrderBookSimpleDelta& event,
91  const MamdaOrderBook& book) = 0;
92 
105  virtual void onBookComplexDelta (
106  MamdaSubscription* subscription,
107  MamdaOrderBookListener& listener,
108  const MamaMsg* msg,
109  const MamdaOrderBookComplexDelta& event,
110  const MamdaOrderBook& book) = 0;
111 
117  virtual void onMarketOrderDelta (
118  MamdaSubscription* subscription,
119  MamdaOrderBookListener& listener,
120  const MamaMsg* msg,
121  const MamdaOrderBookSimpleDelta& event,
122  const MamdaOrderBook& book) {};
123 
130  MamdaSubscription* subscription,
131  MamdaOrderBookListener& listener,
132  const MamaMsg* msg,
133  const MamdaOrderBookComplexDelta& event,
134  const MamdaOrderBook& book) {};
135 
136 
146  virtual void onBookClear (
147  MamdaSubscription* subscription,
148  MamdaOrderBookListener& listener,
149  const MamaMsg* msg,
150  const MamdaOrderBookClear& event,
151  const MamdaOrderBook& book) = 0;
152 
164  virtual void onBookGap (
165  MamdaSubscription* subscription,
166  MamdaOrderBookListener& listener,
167  const MamaMsg* msg,
168  const MamdaOrderBookGap& event,
169  const MamdaOrderBook& book) = 0;
170 
171 
173 
174  };
175 
176 } // namespace
177 
178 #endif // MamdaOrderBookHandlerH
MamdaOrderBookGap is an interface that provides access to order book gap related fields.
Definition: MamdaOrderBookGap.h:36
MamdaOrderBookListener is a class that specializes in handling order book updates.
Definition: MamdaOrderBookListener.h:52
virtual void onMarketOrderDelta(MamdaSubscription *subscription, MamdaOrderBookListener &listener, const MamaMsg *msg, const MamdaOrderBookSimpleDelta &event, const MamdaOrderBook &book)
Deprecated.
Definition: MamdaOrderBookHandler.h:117
virtual void onMarketOrderComplexDelta(MamdaSubscription *subscription, MamdaOrderBookListener &listener, const MamaMsg *msg, const MamdaOrderBookComplexDelta &event, const MamdaOrderBook &book)
Deprecated.
Definition: MamdaOrderBookHandler.h:129
MamdaOrderImbalanceUpdate is an interface that provides access to order imbalance related fields...
Definition: MamdaAuctionFields.h:29
MamdaOrderBookClear is an interface that provides access to order book related fields.
Definition: MamdaOrderBookClear.h:38
MamdaOrderBook is a class that provides order book functionality, including iterators over price leve...
Definition: MamdaOrderBook.h:47
MamdaOrderBookSimpleDelta is a class that saves information about a simple order book delta...
Definition: MamdaOrderBookSimpleDelta.h:38
MamdaOrderBookComplexDelta is a class that saves information about a complex order book delta...
Definition: MamdaOrderBookComplexDelta.h:41
MamdaOrderBookHandler is an interface for applications that want to have an easy way to handle order ...
Definition: MamdaOrderBookHandler.h:45
A MamdaSubscription is used to register interest in a particular symbol and source.
Definition: MamdaSubscription.h:54
MamdaOrderBookRecap is an interface that provides access to order book related fields.
Definition: MamdaOrderBookRecap.h:37
virtual ~MamdaOrderBookHandler()
Definition: MamdaOrderBookHandler.h:172


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