Marketdata management
Sample subscription events
com.apama.marketdata.SubscribeDepth("CITI-FIX",
"CITI-COLO-QUOTE","USDJPY",{"Quote":"Y","537":"2",
"303":"2","Currency":"USD"})
Sample unsubscription events
com.apama.marketdata.UnsubscribeDepth("CITI-FIX",
"CITI-COLO-QUOTE","USDJPY",{"Quote":"Y","537":"2","303":"2",
"Currency":"USD"}
Depth update (Quote)
com.apama.marketdata.Depth("USDJPY",[.6128],[.6129],
[.61285],[0],[0],{"15":"USD","167":"FOR","35":"S",
"52":"20091027-09:33:13","537":"0","60":"20091027-09:33:13.394",
"64":"20091029","762":"SPOT","Currency":"USD",
"Market":"CITI-QUOTE","OrdType":"D","OrderQty":"2",
"Quote":"Y","QuoteID":"1##643USDJPY0S--27ktwyqzm.7ob9hR",
"QuoteReqID":"1","QuoteRequestType":"2","QuoteType":"2",
"SERVICE_NAME":"CITI-FIX"})
Market data session for MDA mode
FixChannel = FIX
SERVICEID = CITI-COLO
QuoteRequestType = Must be "2" (Manual)
QuoteType = Must be "2" for ESP ("0" : Indicative, "1" : Tradable)
For example, for most Citi Colo client installations the following session configuration could be used:
string symbol := "USDJPY"
com.apama.session.CtrlParams controlParams := new com.apama.session.CtrlParams;
controlParams.addParam("QuoteRequestType","2");
controlParams.addParam("QuoteType","2");
controlParams.addParam("Currency","USD");
quotebSubscriber := (new QuotebookSubscriberFactory).create(sessionHandler);
quotebSubscriber.setParams(controlParams);
quotebSubscriber.subscribeCb(symbol , onQuotebook);
action onQuotebook(com.apama.md.client.CurrentQuotebookInterface cqbIFace) {
sequence<com.apama.md.client.QuoteEntry> bidEntries := cqbIFace.getRawBids();
sequence<com.apama.md.client.QuoteEntry> askEntries := cqbIFace.getRawAsks();
com.apama.md.EP ep:=cqbIFace.getEPValuesInterface().getRaw();
log bidEntries.toString() at INFO;
log askEntries.toString() at INFO;
log ep.toString() at INFO;
}