func (l *EfhLogger) genUpdateTrades(oid packet.OptionId, price packet.Price, size int) {
m := efhm_trade{
efhm_header: l.genUpdateHeaderForOption(EFHM_TRADE, oid),
Price: uint32(packet.PriceTo4Dec(price)),
Size: uint32(size),
}
errs.CheckE(l.printer.PrintMessage(m))
}
func (m *IttoMessageAddOrder) SerializeTo(b gopacket.SerializeBuffer, opts gopacket.SerializeOptions) (err error) {
defer errs.PassE(&err)
errs.CheckE(m.IttoMessageCommon.SerializeTo(b, opts))
buf, err := b.AppendBytes(9)
errs.CheckE(err)
binary.BigEndian.PutUint32(buf, m.RefNumD.ToUint32())
buf[4], err = m.Side.ToByte()
errs.CheckE(err)
binary.BigEndian.PutUint32(buf[5:9], m.OId.ToUint32())
if m.Type.IsShort() {
buf, err := b.AppendBytes(4)
errs.CheckE(err)
binary.BigEndian.PutUint16(buf, uint16(packet.PriceTo2Dec(m.Price)))
binary.BigEndian.PutUint16(buf[2:], uint16(m.Size))
} else {
buf, err := b.AppendBytes(8)
errs.CheckE(err)
binary.BigEndian.PutUint32(buf, uint32(packet.PriceTo4Dec(m.Price)))
binary.BigEndian.PutUint32(buf[4:], uint32(m.Size))
}
return
}
func (s *SimLogger) MessageArrived(idm *sim.SimMessage) {
outItto := func(name string, typ nasdaq.IttoMessageType, f string, vs ...interface{}) {
s.printf("NORM %s %c ", name, typ)
s.printfln(f, vs...)
}
outBats := func(f string, vs ...interface{}) {
s.printf("NORM ORDER %02x ", idm.Pam.Layer().(bats.PitchMessage).Base().Type.ToInt())
s.printfln(f, vs...)
}
outMiax := func(name string, f string, vs ...interface{}) {
s.printf("NORM %s %02x ", name, idm.Pam.Layer().(miax.TomMessage).Base().Type.ToInt())
s.printfln(f, vs...)
}
sideChar := func(s packet.MarketSide) byte {
if s == packet.MarketSideAsk {
return 'S'
}
return byte(s)
}
switch im := idm.Pam.Layer().(type) {
case *nasdaq.IttoMessageAddOrder:
outItto("ORDER", im.Type, "%c %012x %016x %08x %08x", sideChar(im.Side), im.OId.ToUint64(), im.RefNumD.ToUint32(), im.Size, im.Price)
case *nasdaq.IttoMessageAddQuote:
outItto("QBID", im.Type, "%012x %016x %08x %08x", im.OId.ToUint64(), im.Bid.RefNumD.ToUint32(), im.Bid.Size, im.Bid.Price)
outItto("QASK", im.Type, "%012x %016x %08x %08x", im.OId.ToUint64(), im.Ask.RefNumD.ToUint32(), im.Ask.Size, im.Ask.Price)
case *nasdaq.IttoMessageSingleSideExecuted:
outItto("ORDER", im.Type, "%016x %08x", im.OrigRefNumD.ToUint32(), im.Size)
case *nasdaq.IttoMessageSingleSideExecutedWithPrice:
outItto("ORDER", im.Type, "%016x %08x", im.OrigRefNumD.ToUint32(), im.Size)
case *nasdaq.IttoMessageOrderCancel:
outItto("ORDER", im.Type, "%016x %08x", im.OrigRefNumD.ToUint32(), im.Size)
case *nasdaq.IttoMessageSingleSideReplace:
outItto("ORDER", im.Type, "%016x %016x %08x %08x", im.RefNumD.ToUint32(), im.OrigRefNumD.ToUint32(), im.Size, im.Price)
case *nasdaq.IttoMessageSingleSideDelete:
outItto("ORDER", im.Type, "%016x", im.OrigRefNumD.ToUint32())
case *nasdaq.IttoMessageSingleSideUpdate:
outItto("ORDER", im.Type, "%016x %08x %08x", im.RefNumD.ToUint32(), im.Size, im.Price)
case *nasdaq.IttoMessageQuoteReplace:
outItto("QBID", im.Type, "%016x %016x %08x %08x", im.Bid.RefNumD.ToUint32(), im.Bid.OrigRefNumD.ToUint32(), im.Bid.Size, im.Bid.Price)
outItto("QASK", im.Type, "%016x %016x %08x %08x", im.Ask.RefNumD.ToUint32(), im.Ask.OrigRefNumD.ToUint32(), im.Ask.Size, im.Ask.Price)
case *nasdaq.IttoMessageQuoteDelete:
outItto("QBID", im.Type, "%016x", im.BidOrigRefNumD.ToUint32())
outItto("QASK", im.Type, "%016x", im.AskOrigRefNumD.ToUint32())
case *nasdaq.IttoMessageBlockSingleSideDelete:
for _, r := range im.RefNumDs {
outItto("ORDER", im.Type, "%016x", r.ToUint32())
}
case *bats.PitchMessageAddOrder:
outBats("%c %012x %016x %08x %08x", sideChar(im.Side), im.Symbol.ToUint64(), im.OrderId.ToUint64(), im.Size, packet.PriceTo4Dec(im.Price))
case *bats.PitchMessageDeleteOrder:
outBats("%016x", im.OrderId.ToUint64())
case *bats.PitchMessageOrderExecuted:
outBats("%016x %08x", im.OrderId.ToUint64(), im.Size)
case *bats.PitchMessageOrderExecutedAtPriceSize:
outBats("%016x %08x", im.OrderId.ToUint64(), im.Size)
case *bats.PitchMessageReduceSize:
outBats("%016x %08x", im.OrderId.ToUint64(), im.Size)
case *bats.PitchMessageModifyOrder:
outBats("%016x %08x %08x", im.OrderId.ToUint64(), im.Size, packet.PriceTo4Dec(im.Price))
case *miax.TomMessageTom:
outMiax("TOM", "%c %08x %08x %08x %08x", sideChar(im.Side), im.ProductId.ToUint32(), packet.PriceTo4Dec(im.Price), im.Size, im.PriorityCustomerSize)
case *miax.TomMessageQuote:
outMiax("QBID", "%08x %08x %08x %08x", im.ProductId.ToUint32(), packet.PriceTo4Dec(im.Bid.Price), im.Bid.Size, im.Bid.PriorityCustomerSize)
outMiax("QASK", "%08x %08x %08x %08x", im.ProductId.ToUint32(), packet.PriceTo4Dec(im.Ask.Price), im.Ask.Size, im.Ask.PriorityCustomerSize)
}
s.efhLogger.MessageArrived(idm)
}
func (o *OperationTop) GetPrice() int {
return packet.PriceTo4Dec(o.price)
}
func (o *OperationUpdate) GetPrice() int {
o.Operation.populate()
errs.Check(o.origOrder != nil)
return packet.PriceTo4Dec(o.origOrder.Price)
}
func (o *OperationAdd) GetPrice() int {
return packet.PriceTo4Dec(o.Price)
}