Interface functions for the Market Data Manager. More...

#include <CHashMap.h>
#include <EventCodec.h>
#include <SM_SessionInterface.h>
#include <string>
#include <vector>
#include <list>
#include <set>

Go to the source code of this file.

Classes
struct	AP_MDM_AdapterInterface

struct	AP_MDM_Interface

class	SchemaItemValue

class	SchemaItem

Macros
#define	MDM_DEFAULT_STRING "~#"

#define	MDM_DEFAULT_FLOAT 0.000001

#define	MDM_DEFAULT_INT -999999

Typedefs
typedef std::vector< std::string >	StringList

typedef std::set< std::string >	StringSet

typedef SchemaItem	ExtraParam

typedef SchemaItemValue	ExtraParamValue

typedef std::list< ExtraParam >	ExtraParamList

typedef std::list < ExtraParamValue >	ExtraParamValueList

typedef SchemaItem	NewsData

typedef std::list< NewsData >	NewsDataList

typedef SchemaItemValue	StringPair

typedef std::vector< StringPair >	StringDictionary

Enumerations
enum	AP_MDM_StreamType { MDM_UNKNOWN_STREAM = 0, MDM_BBA_STREAM = 1, MDM_TRADE_STREAM = 2, MDM_MBP_STREAM = 8, MDM_MBO_STREAM = 16, MDM_EP_STREAM = 32, MDM_QUOTEBOOK_STREAM = 64, MDM_NEWS_STREAM = 128 }

enum	AP_MDM_TransferMode { MDM_COMPOUND_DELTA = 1, MDM_SNAPSHOT_ONLY }

enum	AP_MDM_ErrorLevel { MDM_FATAL, MDM_ERROR, MDM_WARNING, MDM_INFO }

Functions
AP_MDM_API void	AP_MDM_Init (AP_MDM_AdapterInterface adapterInterface, void transportInternals, AP_SESSION_Interface sessionManagerInterface, AP_MDM_Interface *md)

AP_MDM_API void	AP_MDM_DeInit (AP_MDM_Interface *md)

AP_MDM_API void	AP_MDM_ConnectSuccess (AP_MDM_Interface md, const char subKey, AP_TimestampSet *tss)

AP_MDM_API void	AP_MDM_ConnectFailed (AP_MDM_Interface md, const char subKey, const char description, AP_TimestampSet tss)

AP_MDM_API void	AP_MDM_DisconnectSuccess (AP_MDM_Interface md, const char subKey, AP_TimestampSet *tss)

AP_MDM_API void	AP_MDM_DisconnectFailed (AP_MDM_Interface md, const char subKey, const char description, AP_TimestampSet tss)

AP_MDM_API int	AP_MDM_ProcessEvent (AP_MDM_Interface md, AP_TransportEvent event, AP_TimestampSet tss)

AP_MDM_API void	AP_MDM_SetBBAData (AP_MDM_Interface md, const char subKey, AP_float64 bidPrice, AP_int64 bidQty, AP_float64 askPrice, AP_int64 askQty)

AP_MDM_API void	AP_MDM_SetTradeData (AP_MDM_Interface md, const char subKey, AP_float64 price, AP_int64 quantity, const char taker, const char receiver, const char *currency)

AP_MDM_API void	AP_MDM_SetBidDepthData (AP_MDM_Interface md, const char subKey, const char *depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_SetAskDepthData (AP_MDM_Interface md, const char subKey, const char *depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_InsertBidDepthData (AP_MDM_Interface md, const char subKey, const char *depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_InsertAskDepthData (AP_MDM_Interface md, const char subKey, const char *depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_DeleteBidDepthData (AP_MDM_Interface md, const char subKey, const char *depthId)

AP_MDM_API void	AP_MDM_DeleteAskDepthData (AP_MDM_Interface md, const char subKey, const char *depthId)

AP_MDM_API const char *	AP_MDM_GetBidDepthIdAtLevel (AP_MDM_Interface md, const char subKey, AP_int64 level)

AP_MDM_API const char *	AP_MDM_GetAskDepthIdAtLevel (AP_MDM_Interface md, const char subKey, AP_int64 level)

AP_MDM_API void	AP_MDM_SetBidOrderBookData (AP_MDM_Interface md, const char subKey, const char orderId, AP_float64 price, AP_int64 quantity, const char party, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_SetAskOrderBookData (AP_MDM_Interface md, const char subKey, const char orderId, AP_float64 price, AP_int64 quantity, const char party, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_InsertBidOrderBookData (AP_MDM_Interface md, const char subKey, const char orderId, AP_float64 price, AP_int64 quantity, const char party, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_InsertAskOrderBookData (AP_MDM_Interface md, const char subKey, const char orderId, AP_float64 price, AP_int64 quantity, const char party, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_DeleteBidOrderBookData (AP_MDM_Interface md, const char subKey, const char *orderId)

AP_MDM_API void	AP_MDM_DeleteAskOrderBookData (AP_MDM_Interface md, const char subKey, const char *orderId)

AP_MDM_API const char *	AP_MDM_GetBidOrderIdAtLevel (AP_MDM_Interface md, const char subKey, AP_int64 level)

AP_MDM_API const char *	AP_MDM_GetAskOrderIdAtLevel (AP_MDM_Interface md, const char subKey, AP_int64 level)

AP_MDM_API void	AP_MDM_SetBidQuotebookData (AP_MDM_Interface md, const char subKey, const char quoteId, AP_int64 quantity, AP_float64 price, const char party, const char *requestId, const bool tradable, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_SetAskQuotebookData (AP_MDM_Interface md, const char subKey, const char quoteId, AP_int64 quantity, AP_float64 price, const char party, const char *requestId, const bool tradable, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_InsertBidQuotebookData (AP_MDM_Interface md, const char subKey, const char quoteId, AP_int64 quantity, AP_float64 price, const char party, const char *requestId, const bool tradable, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_InsertAskQuotebookData (AP_MDM_Interface md, const char subKey, const char quoteId, AP_int64 quantity, AP_float64 price, const char party, const char *requestId, const bool tradable, const StringDictionary &epValues)

AP_MDM_API void	AP_MDM_DeleteBidQuotebookData (AP_MDM_Interface md, const char subKey, const char *quoteId, AP_int64 quantity)

AP_MDM_API void	AP_MDM_DeleteAskQuotebookData (AP_MDM_Interface md, const char subKey, const char *quoteId, AP_int64 quantity)

AP_MDM_API void	AP_MDM_DeleteMultipleBidQuotebookData (AP_MDM_Interface md, const char subKey, const char *quoteId)

AP_MDM_API void	AP_MDM_DeleteMultipleAskQuotebookData (AP_MDM_Interface md, const char subKey, const char *quoteId)

AP_MDM_API const char *	AP_MDM_GetBidQuotebookIdAtLevel (AP_MDM_Interface md, const char subKey, AP_int64 level)

AP_MDM_API const char *	AP_MDM_GetAskQuotebookIdAtLevel (AP_MDM_Interface md, const char subKey, AP_int64 level)

AP_MDM_API void	AP_MDM_SetNewsData (AP_MDM_Interface md, const char subKey, const char newsId, const StringSet &symbolSet, AP_int64 updateType, const char headline, const char *story, const AP_float64 sourceTimestamp, const NewsDataList &newsDataList, const AP_float64 value=MDM_DEFAULT_FLOAT)

AP_MDM_API void	AP_MDM_DeleteNewsData (AP_MDM_Interface md, const char subKey, const char *newsId, const StringSet &symbolSet, const AP_float64 sourceTimestamp, const NewsDataList &newsDataList)

AP_MDM_API void	AP_MDM_DefineNewsSchema (AP_MDM_Interface md, const char subKey, const NewsDataList &newsDataList)

AP_MDM_API void	AP_MDM_SetExtraParam (AP_MDM_Interface md, const char subKey, const char paramName, const char type, const char value, const char description)

AP_MDM_API void	AP_MDM_SetExtraParams (AP_MDM_Interface *md, const std::string &subKey, const ExtraParamList &extraParamList)

AP_MDM_API void	AP_MDM_SetExtraParamValue (AP_MDM_Interface md, const char subKey, const char paramName, const char value)

AP_MDM_API void	AP_MDM_SetExtraParamsValue (AP_MDM_Interface *md, const std::string &subKey, const ExtraParamValueList &extraParamValueList)

AP_MDM_API void	AP_MDM_RemoveExtraParam (AP_MDM_Interface md, const char subKey, const char *paramName, AP_bool permanent=false)

AP_MDM_API void	AP_MDM_RemoveExtraParams (AP_MDM_Interface *md, const std::string &subKey, const StringList &paramNames, AP_bool permanent=false)

AP_MDM_API void	AP_MDM_SequenceToString (const StringSet &stringSet, std::string &result)

AP_MDM_API void	AP_MDM_DictionaryToString (const StringDictionary &stringDictionary, std::string &result)

AP_MDM_API void	AP_MDM_EscapeString (const std::string &input, std::string &result)

AP_MDM_API void	AP_MDM_ClearSubscriptionData (AP_MDM_Interface md, const char subKey)

AP_MDM_API void	AP_MDM_ClearSourceData (AP_MDM_Interface *md, AP_int64 sourceId)

AP_MDM_API void	AP_MDM_ClearData (AP_MDM_Interface *md)

AP_MDM_API void	AP_MDM_SubscriptionCommit (AP_MDM_Interface md, const char subKey, AP_TimestampSet *tss)

AP_MDM_API void	AP_MDM_SourceCommit (AP_MDM_Interface md, AP_int64 sourceId, AP_TimestampSet tss)

AP_MDM_API void	AP_MDM_Commit (AP_MDM_Interface md, AP_TimestampSet tss)

AP_MDM_API void	AP_MDM_RemoveSubscription (AP_MDM_Interface md, const char subKey)

AP_MDM_API void	AP_MDM_RemoveSourceSubscriptions (AP_MDM_Interface *md, AP_int64 sourceId)

AP_MDM_API void	AP_MDM_RemoveSubscriptions (AP_MDM_Interface *md)

AP_MDM_API void	AP_MDM_Stop (AP_MDM_Interface *md)

AP_MDM_API void	AP_MDM_Start (AP_MDM_Interface *md)

AP_MDM_API void	AP_MDM_ReportError (AP_MDM_Interface md, const char subKey, const char errMsg, AP_MDM_ErrorLevel severity, AP_TimestampSet tss)

AP_MDM_API void	AP_MDM_ReportSourceError (AP_MDM_Interface md, AP_int64 sourceId, const char errMsg, AP_MDM_ErrorLevel severity, AP_TimestampSet *tss)

AP_MDM_API void	AP_MDM_SetDecoder (AP_MDM_Interface md, AP_EventDecoder decoder)

AP_MDM_API void	AP_MDM_CreateDBEntry (AP_MDM_Interface md, const char subKey, AP_MDM_StreamType type)

AP_MDM_API void	AP_MDM_DeleteDBEntry (AP_MDM_Interface md, const char subKey)

AP_MDM_API void	AP_MDM_LogLatency (AP_MDM_Interface md, IAF_TimestampConfig config)

Detailed Description

Interface functions for the Market Data Manager.

Copyright: $Copyright (c) 2013 Progress Software Corporation and/or its subsidiaries and affiliates. All rights reserved.$ $Copyright (c) 2013-2015 Software AG, Darmstadt, Germany and/or Software AG USA Inc., Reston, VA, USA, and/or its subsidiaries and/or its affiliates and/or their licensors.$ Use, reproduction, transfer, publication or disclosure is prohibited except as specifically provided for in your License Agreement with Software AG

Macro Definition Documentation

#define MDM_DEFAULT_FLOAT 0.000001

Default float value to be used in the data setters API

#define MDM_DEFAULT_INT -999999

Default integer value to be used in the data setters API

#define MDM_DEFAULT_STRING "~#"

Default string value to be used in the data setters API

Typedef Documentation

typedef SchemaItem ExtraParam

ExtraParam typedef from SchemaItem

typedef std::list<ExtraParam> ExtraParamList

A List of ExtraParam items

typedef SchemaItemValue ExtraParamValue

ExtraParamValue typedef from SchemaItemValue

typedef std::list<ExtraParamValue> ExtraParamValueList

A List of ExtraParamValue items

typedef SchemaItem NewsData

NewsData typedef from SchemaItem

typedef std::list<NewsData> NewsDataList

A List of NewsData items

typedef std::vector<StringPair> StringDictionary

A List of StringPair items

typedef std::vector<std::string> StringList

A List of strings

typedef SchemaItemValue StringPair

StringPair typedef from SchemaItemValue

typedef std::set<std::string> StringSet

A Set of strings

Enumeration Type Documentation

enum AP_MDM_ErrorLevel

Error severity

Enumerator
MDM_FATAL	Fatal level
MDM_ERROR	Error level
MDM_WARNING	Warning level
MDM_INFO	Info level

enum AP_MDM_StreamType

Basic stream enum types supported

Enumerator
MDM_UNKNOWN_STREAM	Unknown Stream type
MDM_BBA_STREAM	Best Bid/Ask Stream type
MDM_TRADE_STREAM	Trade Stream type
MDM_MBP_STREAM	Depth (Market by Price) Stream type
MDM_MBO_STREAM	Orderbook (Market by Order) Stream type
MDM_EP_STREAM	Extra Params Stream type
MDM_QUOTEBOOK_STREAM	Quotebook Stream type
MDM_NEWS_STREAM	News Stream type

enum AP_MDM_TransferMode

Data transfer modes

Enumerator
MDM_COMPOUND_DELTA	Compound Delta mode
MDM_SNAPSHOT_ONLY	Snapshot Only mode

Function Documentation

AP_MDM_API void AP_MDM_CreateDBEntry	(	AP_MDM_Interface *	md,
		const char *	subKey,
		AP_MDM_StreamType	type
	)

Create a Database store for a Datastream type for a subscription key.

This is usually done internally and not explicitly by the adapter.

Parameters

md	The AP_MDM_Interface to use.
subKey	The subscription key to create the DB for.
type	The datastream type of the database to create.

See also: AP_MDM_DeleteDBEntry

AP_MDM_API void AP_MDM_DeleteDBEntry	(	AP_MDM_Interface *	md,
		const char *	subKey
	)

Delete a Database store.

This is usually done internally and not explicitly by the adapter.

Parameters

md	The AP_MDM_Interface to use.
subKey	The subscription key to delete the DB.

See also: AP_MDM_CreateDBEntry

AP_MDM_API void AP_MDM_LogLatency	(	AP_MDM_Interface *	md,
		IAF_TimestampConfig *	config
	)

Set the latency logging configuration.

Parameters

md	The AP_MDM_Interface to use.
config	The latency logging configuration.

AP_MDM_API int AP_MDM_ProcessEvent	(	AP_MDM_Interface *	md,
		AP_TransportEvent	event,
		AP_TimestampSet *	tss
	)

Process an upstream event.

Used in the sendTransportEvent() function of the Transport.

Parameters

md	The AP_MDM_Interface to use.
event	The transport event to process.
tss	The timestamp set of the event.

AP_MDM_API void AP_MDM_ReportError	(	AP_MDM_Interface *	md,
		const char *	subKey,
		const char *	errMsg,
		AP_MDM_ErrorLevel	severity,
		AP_TimestampSet *	tss
	)

Report a source error for a specific subscription key.

Parameters

md	The AP_MDM_Interface to use.
subKey	The subscription key the error is for.
errMsg	The description of the error.
severity	The severity of the error.
tss	The timestamp set of the event.

AP_MDM_API void AP_MDM_ReportSourceError	(	AP_MDM_Interface *	md,
		AP_int64	sourceId,
		const char *	errMsg,
		AP_MDM_ErrorLevel	severity,
		AP_TimestampSet *	tss
	)

Report a source error.

Parameters

md	The AP_MDM_Interface to use.
sourceId	The source Id the error is for.
errMsg	The description of the error.
severity	The severity of the error.
tss	The timestamp set of the event.

AP_MDM_API void AP_MDM_SetDecoder	(	AP_MDM_Interface *	md,
		AP_EventDecoder *	decoder
	)

Set the event decoder.

Used in the addEventDecoder() function of the Transport.

Parameters

md	The AP_MDM_Interface to use.
decoder	The event decoder.

AP_MDM_API void AP_MDM_Start ( AP_MDM_Interface * md )

Start the Market Data interface. Used during start() in the transport.

Parameters

md	The AP_MDM_Interface to use.

See also: AP_MDM_Stop

AP_MDM_API void AP_MDM_Stop ( AP_MDM_Interface * md )

Stop the Market Data interface. Used during stop() in the transport.

Parameters

md	The AP_MDM_Interface to use.

See also: AP_MDM_Start

Classes

Macros

Typedefs

Enumerations

Functions

Detailed Description

Macro Definition Documentation

Typedef Documentation

Enumeration Type Documentation

Function Documentation