Selecting Securities of Interest

Defining Securities of Interest

By default, the Handler processes market data for all securities available in a particular market data channel. For certain channels, it may be a huge amount of data which may cause the Handler to allocate a significant amount of system resources (like a memory). From the other side, it often happens that not all securities are the point of interest. For these reasons, the Handler provides an ability to define a subset of securities for which it monitors market data, maintains books and report about other market-related events. The Handler fires no events for any security not present in the defined subset. This feature is called selecting securities or security filtering.

Selecting securities is similar to the process of filling a bag with apples. The OnixS::CME::ConflatedUDP::InstrumentSelection class must be used to gather securities into a collection for which the Handler must process market data. There're no limits on the quantity of securities which can be included into the selection.

If at least one security is added to the filter, the Handler stops raising events for all securities available in the market data channel. Since that moment the Handler fires events only for securities included in filtering.

Securities can be filtered using security id, security group, symbol, and asset attributes. For each of these attributes, the OnixS::CME::ConflatedUDP::InstrumentSelection class exposes the corresponding member returning a collection of attribute values which can be manipulated as the regular std::set.

An empty (blank) security selection causes the Handler to process market data and to trigger events for all securities on the channel.

Note

Selecting securities affects the OnixS::CME::ConflatedUDP::SecurityListener listener only. The Handler does not invoke listener members for securities out of the selection scope. Other listeners are not affected by this feature.

Warning

Filtering must be manipulated only when the Handler is not processing market data or in bounds of the OnixS::CME::ConflatedUDP::HandlerListener::onEndOfInstrumentRecovery callback with a successful recovery status. Once the Handler begins market data processing or moves out of the noted callback scope, security selection must not be modified.

Example

The following code demonstrates how to instruct the Handler to process data only for securities selected by the user:

using namespace OnixS::CME::ConflatedUDP;
 
class
InteractiveSecuritySelector
: public SecurityListener
, public HandlerListener
{
    InstrumentSelection selection_;
 
    template
    <
        class Definition
    >
    bool
    userSelectedSecurity(
        const Definition& definition)
    {
        // Given member asks user whether user wants
        // to have market data for given instrument.
        // Returned value indicates whether user
        // selected instrument.
 
        return true;
    }
 
public:
    InteractiveSecuritySelector()
    {
    }
 
    void
    onDefinition(
        Handler&,
        const Security& security,
        const InstrumentDefinitionFutureArgs& args)
    {
        if (userSelectedSecurity(args.message())
            selection_.securityIds().insert(security.id());
    }
 
    void
    onDefinition(
        Handler&,
        const Security& security,
        const InstrumentDefinitionSpreadArgs& args)
    {
        if (userSelectedSecurity(args.message())
            selection_.securityIds().insert(security.id());
    }
 
    void
    onDefinition(
        Handler&,
        const Security& security,
        const InstrumentDefinitionOptionArgs& args)
    {
        if (userSelectedSecurity(args.message())
            selection_.securityIds().insert(security.id());
    }
 
    void
    onEndOfInstrumentRecovery(
        Handler& handler,
        const RecoveryCompletionArgs& args)
    {
        if (args.status() ==
            RecoveryCompletionStatus::Succeeded)
        {
            handler.selectInstruments(selection_);
        }
    }
};
 
Handler handler;
 
InteractiveSecuritySelector selector;
 
handler.settings().listeners().security(&selector);
handler.settings().listeners().handler(&selector);
 
handler.start();