Handler Class Reference

CME FIX/FAST Market Data Handler. More...

Public Member Functions
	Handler (const HandlerSettings &)
	Constructor.
	~Handler ()
	Destructor.
void	addSecurityIdFilter (SecurityId filter)
	Add the Security Id filtering value. More...
void	addSecurityIdFilters (const SecurityIdFilters &filters)
	Add the Security Id filtering values.
void	removeSecurityIdFilter (SecurityId filter)
	Removes a filter.
void	removeAllSecurityIdFilters ()
	Removes all filters.
void	getSecurityIdFilters (SecurityIdFilters *filters) const
	Fills given collection with the registered security id filters.
void	addSecuritySymbolFilter (const Symbol &)
	Add the Security Symbol filtering value. More...
void	addSecuritySymbolFilters (const SecuritySymbolFilters &)
	Add the Security Symbol filtering values.
void	removeSecuritySymbolFilter (const Symbol &)
	Removes a filter.
void	removeAllSecuritySymbolFilters ()
	Removes all filters.
void	getSecuritySymbolFilters (SecuritySymbolFilters *) const
	Fills given collection with the registered security id filters.
void	addSecurityGroupFilter (const std::string &)
	Add the Security Group filtering value. More...
void	addSecurityGroupFilters (const SecurityGroupFilters &)
	Add the Security Group filtering values.
void	removeSecurityGroupFilter (const std::string &)
	Removes a filter.
void	removeAllSecurityGroupFilters ()
	Removes all filters.
void	getSecurityGroupFilters (SecurityGroupFilters *) const
	Fills given collection with the registered security id filters.
void	addSecurityDescriptionFilter (const std::string &)
	Add the Security Description filtering value. More...
void	addSecurityDescriptionFilters (const SecurityDescriptionFilters &)
	Add the Security Description filtering values.
void	removeSecurityDescriptionFilter (const std::string &)
	Removes a filter.
void	removeAllSecurityDescriptionFilters ()
	Removes all filters.
void	getSecurityDescriptionFilters (SecurityDescriptionFilters *) const
	Fills given collection with the registered security id filters.
void	addSubchannelFilter (SubChannelId subchannel)
	Adds sub-channel id filtering value. More...
void	addSubchannelFilter (SubchannelFilters &)
	Adds sub-channel ids filtering values. More...
void	removeSubchannelFilter (SubChannelId subchannel)
	Removes sub-channel id from filtering. More...
void	removeAllSubchannelFilters ()
	Removes all ids and restores default behavior when all packets are point of interest. More...
void	getSubchannelFilters (SubchannelFilters *filters) const
	Fills given collection with the registered security id filters.
void	logDebug (const std::string &message)
	Log a debug message.
void	logError (const std::string &message)
	Log an error message.
void	logMessage (const std::string &message)
	Log an information message.
void	logWarning (const std::string &message)
	Log a warning message.
void	backupLog ()
	Backs up current log file without stopping the Handler.
void	registerErrorListener (ErrorListener *listener)
	Registers the error listener. More...
void	registerWarningListener (WarningListener *listener)
	Registers the warning listener. More...
void	registerDirectBookChangeListener (DirectBookChangeListener *listener)
	Registers the direct book change listener. More...
void	registerDirectBookChangeListener (DirectBookChangeListener *listener, const DirectBestBidAskTrackingOptions &bbaTrackingOptions)
	Registers the direct book change listener. More...
void	registerDirectBookUpdateListener (DirectBookUpdateListener *listener)
	Registers the direct book update listener. More...
void	registerDirectBookUpdateListener (DirectBookUpdateListener *listener, const DirectBestBidAskTrackingOptions &options)
	Registers the direct book update listener. More...
void	registerImpliedBookChangeListener (ImpliedBookChangeListener *listener)
	Registers the implied book change listener. More...
void	registerImpliedBookChangeListener (ImpliedBookChangeListener *listener, const ImpliedBestBidAskTrackingOptions &options)
	Registers the implied book change listener. More...
void	registerImpliedBookUpdateListener (ImpliedBookUpdateListener *listener)
	Registers the implied book update listener. More...
void	registerImpliedBookUpdateListener (ImpliedBookUpdateListener *listener, const ImpliedBestBidAskTrackingOptions &options)
	Registers the implied book update listener. More...
void	registerConsolidatedBookUpdateListener (ConsolidatedBookUpdateListener *listener)
	Registers the consolidated book update listener. More...
void	registerConsolidatedBookUpdateListener (ConsolidatedBookUpdateListener *listener, const ConsolidatedBestBidAskTrackingOptions &options)
	Registers the consolidated book update listener. More...
void	registerMessageProcessingListener (MessageProcessingListener *listener)
	Registers the message processing listener. More...
void	registerNewsListener (NewsListener *listener)
	Registers the news listener. More...
void	registerSecurityDefinitionListener (SecurityDefinitionListener *listener)
	Registers the security definitions listener. More...
void	registerStatisticsListener (StatisticsListener *listener)
	Registers the statistics listener. More...
void	registerSecurityStatusListener (SecurityStatusListener *listener)
	Registers the security status listener. More...
void	registerTradeListener (TradeListener *listener)
	Registers the trades listener. More...
void	registerStateChangeListener (HandlerStateChangeListener *listener)
	Registers the Handler state change listener. More...
void	registerFeedListener (FeedListener *listener)
	Registers market data feed events listener. More...
void	registerThreadListener (ThreadListener *listener)
	Registers thread events listener. More...
void	clearInstrumentDefinitionsCache ()
	If security definitions cache is used, cleans it up. More...
void	getPendingMarketDataInfo (PendingMarketDataInfo &)
	Provides information on incremental market data processing state.
bool	directBookSnapshot (SecurityId securityId, DirectBookSnapshot &bookSnapshot, MarketDepth maxDepth=MarketDepthTraits::MaxDepth)
	Allows obtaining snapshot of direct book for given security. More...
bool	impliedBookSnapshot (SecurityId securityId, ImpliedBookSnapshot &bookSnapshot, MarketDepth maxDepth=MarketDepthTraits::MaxDepth)
	Allows obtaining snapshot of implied book for given security. More...
bool	consolidatedBookSnapshot (SecurityId securityId, ImpliedBookSnapshot &bookSnapshot, MarketDepth maxDepth=MarketDepthTraits::MaxDepth)
	Allows obtaining snapshot of consolidated book for given security. More...
void	start (HandlerStartupStrategy startupStrategy=HandlerStartupStrategies::LateJoin)
	Starts market data processing. More...
void	start (const NaturalRefreshOptions &options)
	Starts market data processing in natural refresh. More...
void	start (const ReplayOptions &options)
	Starts replaying previously logged data.
void	stop ()
	Stops the Handler.

Detailed Description

CME FIX/FAST Market Data Handler.

Member Function Documentation

void addSecurityDescriptionFilter

(

const std::string &

)

Add the Security Description filtering value.

Note

The filter is inclusive.

void addSecurityGroupFilter

(

const std::string &

)

Add the Security Group filtering value.

Note

The filter is inclusive.

void addSecurityIdFilter

(

SecurityId

filter)

Add the Security Id filtering value.

Note

The filter is inclusive.

void addSecuritySymbolFilter

(

const Symbol &

)

Add the Security Symbol filtering value.

Note

The filter is inclusive.

void addSubchannelFilter

(

SubChannelId

subchannel)

Adds sub-channel id filtering value.

Note

Adding new value doesn't overwrite previous value. to exclude id from filtering use appropriate remove* member.

void addSubchannelFilter

(

SubchannelFilters &

)

Adds sub-channel ids filtering values.

Note

Adding new values doesn't overwrite previous value. to exclude id from filtering use appropriate remove* member.

void clearInstrumentDefinitionsCache

(

)

If security definitions cache is used, cleans it up.

The Handler will refresh the cache during next execution.

bool consolidatedBookSnapshot	(	SecurityId	securityId,
		ImpliedBookSnapshot &	bookSnapshot,
		MarketDepth	maxDepth = MarketDepthTraits::MaxDepth
	)

Allows obtaining snapshot of consolidated book for given security.

Number of levels to be copied is limited by 'maxDepth' parameter. Thus, it's possible to copy only a few levels instead of full book.

Returns

true if book was found for given security.

bool directBookSnapshot	(	SecurityId	securityId,
		DirectBookSnapshot &	bookSnapshot,
		MarketDepth	maxDepth = MarketDepthTraits::MaxDepth
	)

Allows obtaining snapshot of direct book for given security.

Number of levels to be copied is limited by 'maxDepth' parameter. Thus, it's possible to copy only a few levels instead of full book.

Returns

true if book was found for given security.

bool impliedBookSnapshot	(	SecurityId	securityId,
		ImpliedBookSnapshot &	bookSnapshot,
		MarketDepth	maxDepth = MarketDepthTraits::MaxDepth
	)

Allows obtaining snapshot of implied book for given security.

Number of levels to be copied is limited by 'maxDepth' parameter. Thus, it's possible to copy only a few levels instead of full book.

Returns

true if book was found for given security.

void registerConsolidatedBookUpdateListener

(

ConsolidatedBookUpdateListener *

listener)

Registers the consolidated book update listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerConsolidatedBookUpdateListener	(	ConsolidatedBookUpdateListener *	listener,
		const ConsolidatedBestBidAskTrackingOptions &	options
	)

Registers the consolidated book update listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerDirectBookChangeListener

(

DirectBookChangeListener *

listener)

Registers the direct book change listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerDirectBookChangeListener	(	DirectBookChangeListener *	listener,
		const DirectBestBidAskTrackingOptions &	bbaTrackingOptions
	)

Registers the direct book change listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerDirectBookUpdateListener

(

DirectBookUpdateListener *

listener)

Registers the direct book update listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerDirectBookUpdateListener	(	DirectBookUpdateListener *	listener,
		const DirectBestBidAskTrackingOptions &	options
	)

Registers the direct book update listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerErrorListener

(

ErrorListener *

listener)

Registers the error listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerFeedListener

(

FeedListener *

listener)

Registers market data feed events listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerImpliedBookChangeListener

(

ImpliedBookChangeListener *

listener)

Registers the implied book change listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerImpliedBookChangeListener	(	ImpliedBookChangeListener *	listener,
		const ImpliedBestBidAskTrackingOptions &	options
	)

Registers the implied book change listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerImpliedBookUpdateListener

(

ImpliedBookUpdateListener *

listener)

Registers the implied book update listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerImpliedBookUpdateListener	(	ImpliedBookUpdateListener *	listener,
		const ImpliedBestBidAskTrackingOptions &	options
	)

Registers the implied book update listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerMessageProcessingListener

(

MessageProcessingListener *

listener)

Registers the message processing listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerNewsListener

(

NewsListener *

listener)

Registers the news listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerSecurityDefinitionListener

(

SecurityDefinitionListener *

listener)

Registers the security definitions listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerSecurityStatusListener

(

SecurityStatusListener *

listener)

Registers the security status listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerStateChangeListener

(

HandlerStateChangeListener *

listener)

Registers the Handler state change listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerStatisticsListener

(

StatisticsListener *

listener)

Registers the statistics listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerThreadListener

(

ThreadListener *

listener)

Registers thread events listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerTradeListener

(

TradeListener *

listener)

Registers the trades listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void registerWarningListener

(

WarningListener *

listener)

Registers the warning listener.

Only single instance of listener can be associated with the Handler. Registering new listener removes previous one.

Listeners are to be associated before starting market data processing.

void removeAllSubchannelFilters

(

)

Removes all ids and restores default behavior when all packets are point of interest.

void removeSubchannelFilter

(

SubChannelId

subchannel)

Removes sub-channel id from filtering.

Note

Removing the last value restores default behavior with no filters.

void start

(

HandlerStartupStrategy

startupStrategy = HandlerStartupStrategies::LateJoin)

Starts market data processing.

Parameters

startupStrategy

identifies strategy Handler must use to join the market. By default, late joining strategy is used.

void start

(

const NaturalRefreshOptions &

options)

Starts market data processing in natural refresh.

Parameters

options

Set of options affecting behavior of the Handler while maintaining order books by natural refresh.