コード例 #1
0
  @Override
  protected final void applyTrade(MDEntry entry) {
    switch (entry.getMdUpdateAction()) {
      case New:
      case Change:
        _lastTradeQty = entry.getMdEntrySize();
        _lastTradePrice = entry.getMdEntryPx();

        _totalTradeVol += _lastTradeQty;
        _totalTraded += (_lastTradeQty * _lastTradePrice);
        break;
      case Delete:
        final int tradeQty = entry.getMdEntrySize();
        final double tradePrice = entry.getMdEntryPx();

        _totalTradeVol -= tradeQty;
        _totalTraded -= (tradeQty * tradePrice);
        break;
      case DeleteThru:
      case DeleteFrom:
      case Overlay:
      case Unknown:
        break;
    }
  }
コード例 #2
0
  @Override
  protected final void applyAsk(final MDEntry entry) {
    final int lvl = entry.getMdPriceLevel() - 1;

    switch (entry.getMdUpdateAction()) {
      case New:
        {
          _tmpEntry.set(entry.getMdEntrySize(), entry.getMdEntryPx());
          _book.insertAsk(lvl, _tmpEntry);
        }
        break;
      case Change:
        {
          final double px = entry.getMdEntryPx();
          if (px != Constants.UNSET_DOUBLE) {
            _tmpEntry.set(entry.getMdEntrySize(), px);
            _book.setAsk(lvl, _tmpEntry);
          } else {
            _book.setAskQty(lvl, entry.getMdEntrySize());
          }
        }
        break;
      case Delete:
        {
          _book.deleteAsk(lvl);
        }
        break;
      case DeleteThru:
        _book.deleteThruAsk(lvl);
        break;
      case DeleteFrom:
        _book.deleteFromAsk(lvl);
        break;
      case Overlay:
        {
          final int qty = entry.getMdEntrySize();
          if (qty != Constants.UNSET_INT) {
            _tmpEntry.set(qty, entry.getMdEntryPx());
            _book.setAsk(lvl, _tmpEntry);
          } else {
            _book.setAskPrice(lvl, entry.getMdEntryPx());
          }
        }
        break;
      case Unknown:
        break;
    }
  }
コード例 #3
0
  @Override
  protected final void applyBid(final MDEntry entry) {
    final int lvl = entry.getMdPriceLevel() - 1;

    switch (entry.getMdUpdateAction()) {
      case New:
        {
          _tmpEntry.set(entry.getMdEntrySize(), entry.getMdEntryPx());
          _book.insertBid(lvl, _tmpEntry);
        }
        break;
      case Change:
        { // should be used ONLY for qty change, but CME use for price setting as well
          final double px = entry.getMdEntryPx();
          if (px != Constants.UNSET_DOUBLE) {
            _tmpEntry.set(entry.getMdEntrySize(), px);
            _book.setBid(lvl, _tmpEntry);
          } else {
            _book.setBidQty(lvl, entry.getMdEntrySize());
          }
        }
        break;
      case Delete:
        {
          _book.deleteBid(lvl);
        }
        break;
      case DeleteThru:
        _book.deleteThruBid(lvl);
        break;
      case DeleteFrom:
        _book.deleteFromBid(lvl);
        break;
      case Overlay:
        {
          final int qty = entry.getMdEntrySize();
          if (qty != Constants.UNSET_INT) {
            _tmpEntry.set(qty, entry.getMdEntryPx());
            _book.setBid(lvl, _tmpEntry);
          } else {
            _book.setBidPrice(lvl, entry.getMdEntryPx());
          }
        }
        break;
      case Unknown:
        break;
    }
  }