Package deltix.qsrv.hf.blocks

Class NBBOProcessor

  • All Implemented Interfaces:
    deltix.data.stream.MessageChannel<deltix.qsrv.hf.pub.InstrumentMessage>, deltix.util.lang.Disposable, java.io.Closeable, java.lang.AutoCloseable
    public class NBBOProcessor
extends java.lang.Object
implements deltix.data.stream.MessageChannel<deltix.qsrv.hf.pub.InstrumentMessage>

    • Field Summary

      Fields 
      Modifier and Type Field Description
      static java.lang.String MAX_NUM_SOURCES_DEFAULT_PROP  
      deltix.data.stream.MessageChannel<deltix.qsrv.hf.pub.InstrumentMessage> nbboOut  

    • Constructor Summary

      Constructors 
      Constructor Description
      NBBOProcessor​(deltix.data.stream.MessageChannel<deltix.qsrv.hf.pub.InstrumentMessage> nbboOut)  
      NBBOProcessor​(deltix.data.stream.MessageChannel<deltix.qsrv.hf.pub.InstrumentMessage> nbboOut, boolean aggregateSize)  
      NBBOProcessor​(deltix.data.stream.MessageChannel<deltix.qsrv.hf.pub.InstrumentMessage> nbboOut, boolean aggregateSize, int maxNumSources)  

    • Method Summary

      All Methods Instance Methods Concrete Methods 
      Modifier and Type Method Description
      void close()  
      long getBestExchange​(deltix.qsrv.hf.pub.InstrumentIdentity iid, boolean isBid)  
      double getBestPrice​(deltix.qsrv.hf.pub.InstrumentIdentity iid, boolean isBid)  
      void processQuote​(deltix.qsrv.hf.pub.InstrumentMessage msg)  
      void send​(deltix.qsrv.hf.pub.InstrumentMessage msg)  

      • Methods inherited from class java.lang.Object

        clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

    • Field Detail

      • MAX_NUM_SOURCES_DEFAULT_PROP

        public static final java.lang.String MAX_NUM_SOURCES_DEFAULT_PROP
        See Also:
        Constant Field Values

      • nbboOut

        public final deltix.data.stream.MessageChannel<deltix.qsrv.hf.pub.InstrumentMessage> nbboOut

    • Constructor Detail

      • NBBOProcessor

        public NBBOProcessor​(deltix.data.stream.MessageChannel<deltix.qsrv.hf.pub.InstrumentMessage> nbboOut)

      • NBBOProcessor

        public NBBOProcessor​(deltix.data.stream.MessageChannel<deltix.qsrv.hf.pub.InstrumentMessage> nbboOut,
                     boolean aggregateSize)

      • NBBOProcessor

        public NBBOProcessor​(deltix.data.stream.MessageChannel<deltix.qsrv.hf.pub.InstrumentMessage> nbboOut,
                     boolean aggregateSize,
                     int maxNumSources)

    • Method Detail

      • send

        public void send​(deltix.qsrv.hf.pub.InstrumentMessage msg)
        Specified by:
        send in interface deltix.data.stream.MessageChannel<deltix.qsrv.hf.pub.InstrumentMessage>

      • close

        public void close()
        Specified by:
        close in interface java.lang.AutoCloseable
        Specified by:
        close in interface java.io.Closeable
        Specified by:
        close in interface deltix.util.lang.Disposable

      • processQuote

        public void processQuote​(deltix.qsrv.hf.pub.InstrumentMessage msg)

      • getBestPrice

        public double getBestPrice​(deltix.qsrv.hf.pub.InstrumentIdentity iid,
                           boolean isBid)
        Returns:
        best price for given instrument or Double.NaN

      • getBestExchange

        public long getBestExchange​(deltix.qsrv.hf.pub.InstrumentIdentity iid,
                            boolean isBid)
        Returns:
        exchange code of exchange with best price for given instrument or ExchangeCodec.NULL