com.apama.md.client
Event AggregatedBookListInterface


Represents a bid or ask list for one symbol.
Member Summary
 action<float > returns sequence<com.apama.md.client.AggEntryInterface >getEntryByPrice

Return a sequence of entries at the given price.
 action<integer > returns com.apama.md.client.AggEntryInterfacegetEntryByIndex

Return a specific book entry.
 action<integer > returns sequence<com.apama.md.client.AggEntryInterface >getEntryByLevel

Return a specific book level.
 action< > returns integergetMaxKnownEntryLevel

Return the total number of entries stored in this list.
 action<integer > returns integergetNumEntriesAtLevel

Return the number of entries stored in this list at the specified level.
 action< > returns integergetNumLevels

Return the total number of levels stored in this list.
 action<integer > returns com.apama.md.client.AggEntryInterfacegetAggregatedEntryByLevel

Return an aggregated entry for the given level.
 action< > returns decimalgetVWAP

Calculate the Volume Weighted Average Price for the entire book.
 action<sequence<integer > > returns dictionary<integer, decimal >getVWAPForQuantities

Given a sequence of quantities, calculate the VWAP from the current book to fill them. If there is not enough liquidity in the book, the maximum quantity is calculated.
 action<sequence<com.apama.md.client.AggEntry > > returns sequence<com.apama.md.XI >getDelta

Given a sequence of older aggregated-book entries, compares them to the current ones and returns delta.
 action< > returns sequence<com.apama.md.client.AggEntry >getEntryList

Return the list of entries in the book, sorted by competitiveness (price descending for bids, price ascending for asks).
 action< > returns sequence<float >getPrices

Return a sequence of book entry prices (in order of competitiveness).
 action< >doPrint

Print this list in a human readable form - for debugging purposes only.
 action< > returns dictionary<float, sequence<com.apama.md.client.AggEntry > >getRaw
 
Member Detail

doPrint

action< > doPrint
Print this list in a human readable form - for debugging purposes only.

getAggregatedEntryByLevel

action<integer > returns com.apama.md.client.AggEntryInterface getAggregatedEntryByLevel
Return an aggregated entry for the given level.

getDelta

action<sequence<com.apama.md.client.AggEntry > > returns sequence<com.apama.md.XI > getDelta
Given a sequence of older aggregated-book entries, compares them to the current ones and returns delta.

getEntryByIndex

action<integer > returns com.apama.md.client.AggEntryInterface getEntryByIndex
Return a specific book entry.

getEntryByLevel

action<integer > returns sequence<com.apama.md.client.AggEntryInterface > getEntryByLevel
Return a specific book level.

getEntryByPrice

action<float > returns sequence<com.apama.md.client.AggEntryInterface > getEntryByPrice
Return a sequence of entries at the given price.

getEntryList

action< > returns sequence<com.apama.md.client.AggEntry > getEntryList
Return the list of entries in the book, sorted by competitiveness (price descending for bids, price ascending for asks).

getMaxKnownEntryLevel

action< > returns integer getMaxKnownEntryLevel
Return the total number of entries stored in this list.

getNumEntriesAtLevel

action<integer > returns integer getNumEntriesAtLevel
Return the number of entries stored in this list at the specified level.

getNumLevels

action< > returns integer getNumLevels
Return the total number of levels stored in this list.

getPrices

action< > returns sequence<float > getPrices
Return a sequence of book entry prices (in order of competitiveness).

getRaw

action< > returns dictionary<float, sequence<com.apama.md.client.AggEntry > > getRaw

getVWAP

action< > returns decimal getVWAP
Calculate the Volume Weighted Average Price for the entire book.

getVWAPForQuantities

action<sequence<integer > > returns dictionary<integer, decimal > getVWAPForQuantities
Given a sequence of quantities, calculate the VWAP from the current book to fill them. If there is not enough liquidity in the book, the maximum quantity is calculated.