* The following example creates a book of depth 5, that does NOT group identical timestamps, and groups input rows by "Symbol" and "Exchange" *
{@code
- * book = PriceBook.build(orderStream, 5, false, "Timestamp", "OrderSize", "OrderSize", "BookOp", "Price", "Symbol", "Exchange")
+ * book = PriceBook.build(orderStream, 5, false, "Timestamp", "OrderSize", "OrderSize", "BookOp", "Price", "OrderId", "Symbol", "Exchange")
* }
*
*/
public class PriceBook {
private static final int CHUNK_SIZE = 2048;
- private static final int SIDE_BUY = 0;
- private static final int SIDE_SELL = 1;
+ private static final int SIDE_BUY = 1;
+ private static final int SIDE_SELL = 2;
+ // These will need to be properly implemented
private static final int OP_INSERT = 1;
private static final int OP_REMOVE = 2;
+ private static final int OP_CANCEL = 3;
+ private static final int OP_INTERNAL_FILL = 4;
+ private static final int OP_AWAY_FILL = 5;
+
+ private static final String BID_PRC_NAME = "Bid_Price";
+ private static final String BID_TIME_NAME = "Bid_Timestamp";
+ private static final String BID_SIZE_NAME = "Bid_Size";
+ private static final String BID_ORDID_NAME = "Bid_OrderId";
- private final Map+ * during the update cycle. + */ + @Override + public void close() { + sc.close(); + fillContexts.forEach(ChunkSource.FillContext::close); + bidTimeChunk.close(); + askTimeChunk.close(); + bidSizeChunk.close(); + askSizeChunk.close(); + bidPriceChunk.close(); + askPriceChunk.close(); + bidOrdIdChunk.close(); + askOrdIdChunk.close(); + + for (final WritableChunk chunk : groupingChunks) { + chunk.close(); + } + } + + /** + * Just a helper method to create fill contexts and save them so they can be cleaned up neatly on close. + * + * @param cs the column source + * @return a new fill context for that source. + */ + ChunkSource.FillContext makeFillContext(ChunkSource cs) { + final ChunkSource.FillContext fc = cs.makeFillContext(CHUNK_SIZE, sc); + fillContexts.add(fc); + return fc; + } + } + /** * This class listens for updates from the source table and pushes each row through the BookState for the symbol * indicated for the row, emitting a new row into the output table for each input row which results in a book @@ -659,7 +1013,7 @@ public void process() { } // First process all of the new rows - final long rowsAdded = processAdded(upstream.added(), false); + final long rowsAdded = processAdded(upstream.added(), false, null); // Handle the case where the input rows generate no book state changes, we don't want to accidentally // try to inject a -1 into the row set. @@ -680,11 +1034,13 @@ public void process() { } } + /** * Build a book of bid and ask prices with the specified number of levels from the requested table, grouping input rows by the * specified set of grouping columns. Levels will be represented as a set of columns (Price, Time, Size) for each level. * * @param source the table with the source data + * @param snapshot the table with the book * @param depth the desired book depth * @param batchTimestamps set to true to batch input rows with identical timestamps into the a single output row. * @param timestampColumnName the name of the source timestamp column @@ -692,12 +1048,14 @@ public void process() { * @param sideColumnName the name of the source side column * @param opColumnName the name of the source book-op column * @param priceColumnName the name of the price column + * @param ordIdColumnName the name of the Order ID column * @param groupingCols the columns to group the source table by * * @return a new table representing the current state of the book. This table will update as the source table updates. */ @SuppressWarnings("unused") public static QueryTable build(@NotNull Table source, + Table snapshot, int depth, boolean batchTimestamps, @NotNull String timestampColumnName, @@ -705,8 +1063,10 @@ public static QueryTable build(@NotNull Table source, @NotNull String sideColumnName, @NotNull String opColumnName, @NotNull String priceColumnName, + @NotNull String ordIdColumnName, @NotNull String... groupingCols) { final PriceBook book = new PriceBook(source, + snapshot, depth, batchTimestamps, timestampColumnName, @@ -714,6 +1074,7 @@ public static QueryTable build(@NotNull Table source, sideColumnName, opColumnName, priceColumnName, + ordIdColumnName, groupingCols); return book.resultTable;