MamdaOrderBookComplexDelta is a class that saves information about a complex order book delta. More...
#include <MamdaOrderBookComplexDelta.h>
Public Member Functions | |
virtual | ~MamdaOrderBookComplexDelta () |
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MamdaOrderBookBasicDeltaList () | |
~MamdaOrderBookBasicDeltaList () | |
void | clear () |
Clear the delta. More... | |
void | setKeepBasicDeltas (bool keep) |
Set whether to actually keep the basic deltas. More... | |
ModifiedSides | getModifiedSides () const |
Get which side(s) of the book have been modified by this complex update. More... | |
void | add (MamdaOrderBookEntry *entry, MamdaOrderBookPriceLevel *level, mama_quantity_t plDeltaSize, MamdaOrderBookPriceLevel::Action plAction, MamdaOrderBookEntry::Action entryAction) |
Add a basic delta. More... | |
void | add (const MamdaOrderBookBasicDelta &delta) |
Add a basic delta. More... | |
void | setOrderBook (MamdaOrderBook *book) |
Set the MamdaOrderBook object to which this delta belongs. More... | |
MamdaOrderBook * | getOrderBook () const |
Get the MamdaOrderBook object to which this delta belongs. More... | |
mama_size_t | getSize () const |
Return the number of simple deltas in this complex delta. More... | |
void | fixPriceLevelActions () |
Fix up price level actions (temporary workaround for problem). More... | |
void | setConflateDeltas (bool conflate) |
Whether to conflate the order book deltas. More... | |
bool | getSendImmediately () |
Get sendImmediately. More... | |
void | setProcessEntries (bool processEntries) |
Set whether we are interested in "entry level" information at all. More... | |
void | dump (ostream &output) const |
Dump the complex update to the output stream. More... | |
iterator | begin () |
const_iterator | begin () const |
iterator | end () |
const_iterator | end () const |
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virtual const char * | getSymbol () const =0 |
Get the instruments string symbol. More... | |
virtual MamdaFieldState | getSymbolFieldState () const =0 |
Get the string symbol field state. More... | |
virtual const char * | getPartId () const =0 |
Get the participant identifier. More... | |
virtual MamdaFieldState | getPartIdFieldState () const =0 |
Get the participant identifier field state. More... | |
virtual mama_seqnum_t | getEventSeqNum () const =0 |
Get the event sequence number. More... | |
virtual MamdaFieldState | getEventSeqNumFieldState () const =0 |
Get the event sequence number field state. More... | |
virtual const MamaDateTime & | getEventTime () const =0 |
Get the event time. More... | |
virtual MamdaFieldState | getEventTimeFieldState () const =0 |
Get the event time field state. More... | |
virtual const MamaDateTime & | getSrcTime () const =0 |
Get the source time. More... | |
virtual MamdaFieldState | getSrcTimeFieldState () const =0 |
Get the source time field state. More... | |
virtual const MamaDateTime & | getActivityTime () const =0 |
Get the activity time. More... | |
virtual MamdaFieldState | getActivityTimeFieldState () const =0 |
Get the activity time field state. More... | |
virtual const MamaDateTime & | getLineTime () const =0 |
Get the line time. More... | |
virtual MamdaFieldState | getLineTimeFieldState () const =0 |
Get the line time of the update. More... | |
virtual const MamaDateTime & | getSendTime () const =0 |
Get the send time. More... | |
virtual MamdaFieldState | getSendTimeFieldState () const =0 |
Get the send time field state. More... | |
virtual const MamaMsgQual & | getMsgQual () const =0 |
Get the message qualifier. More... | |
virtual MamdaFieldState | getMsgQualFieldState () const =0 |
Get the message qualifier field state. More... | |
virtual | ~MamdaBasicEvent () |
Destructor. More... | |
Additional Inherited Members | |
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enum | ModifiedSides { MOD_SIDES_NONE = 0, MOD_SIDES_BID = 1, MOD_SIDES_ASK = 2, MOD_SIDES_BID_AND_ASK = 3 } |
typedef const iterator | const_iterator |
MamdaOrderBookComplexDelta is a class that saves information about a complex order book delta.
A complex delta 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 complex delta is made up of several simple deltas, which can be iterated over by methods provided in the class.